本研究透過Lien and Shrestha (2009) 所提出的修正後資訊比例模型衡量不同市場對於價格發現的貢獻程度來探討2013年至2016年VIX期貨與VIX ETPs(VXX、VIXY)之間價格發現能力的強弱。在研究期間中，VECM顯示彼此間存在雙向的回饋機制，VXX領先VIX期貨，VIXY領先VIX期貨，VXX則領先VIXY；修正後資訊比例模型亦顯示VXX在價格發現中具有較強的主導地位。在迴歸分析中，發現在市場上波動程度增加時，反而會使VIX期貨之價格發現能力提升，故投資人可能在市場產生波動變化時，增加投資VIX期貨市場藉此避險。在VIX期貨相對VIXY價格發現中，相對成交量與相對流動性變動率會正向影響VIX期貨價格發現能力，而VXX之相對成交量提高時，則亦會提高其價格發現能力，因而本研究之結論與價格發現理論中之市場資訊假說、流動性假說一致。

This study uses the modified information share (MIS) approach of Lien and Shrestha (2009) to measure relative price discovery ability between VIX futures and VIX ETPs (VXX and VIXY) during 2013 to 2016. The empirical results of VECM model indicate that there are bi-directional feedbacks between VIX futures and VIX ETPs. In addition, the MIS shows that the VIX ETPs dominates in price discovery process for most of the time during research period; however, the regression analysis exhibits that the relative price discovery ability of VIX futures significantly increases when VIX and VVIX raise. These results imply that the information of market risk mainly occurs in VIX futures market, and are consistent with market-wide information hypothesis and liquidity hypothesis.

目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構 7
第四節 研究流程圖 8
第二章 VIX指數相關商品內容介紹與相關文獻回顧 9
第一節 VIX期貨及VIX ETPs商品介紹 9
第二節 相關文獻回顧 15
第三章 研究方法 36
第一節 單根檢定 37
第二節 共整合檢定 40
第三節 向量誤差修正模型 44
第四節 修正後資訊比例模型 45
第五節 影響價格發現能力因素分析 50
第四章 實證結果與分析 56
第一節 驗證資料說明與處理 56
第二節 基本敘述統計量 58
第三節 單根檢定 66
第四節 共整合檢定 68
第五節 向量誤差修正模型 69
第六節 修正後資訊比例模型 73
第五章 結論 87
參 考 文 獻 89
一、國內文獻 89
二、國外文獻 89

表目錄
表2.1.1 VIX期貨契約目前內容表 11
表2.1.2 VXX及VIXY目前內容表 14
表2.2.1 文獻回顧整理 30
表4.2.1 VIX期貨、VXX與VIXY每分鐘報酬率之基本敘述統計 59
表4.2.2 VIX期貨、VXX與VIXY每日報酬率之基本敘述統計 62
表4.2.3 變數之基本敘述統計 64
表4.2.4 變數之基本敘述統計 65
表4.3.1 單根檢定 67
表4.4.1 VIX期貨、VXX與VIXY之共整合檢定 68
表4.5.1 VIX期貨與VXX之向量誤差修正模型 71
表4.5.2 VIX期貨與VIXY之向量誤差修正模型 72
表4.6.1 修正後資訊比例敘述統計量 75
表4.6.2 VIX期貨相對VXX價格發現加入變數之迴歸結果 79
表4.6.3 VIX期貨相對VIXY價格發現加入變數之迴歸結果 82
表4.6.4 VXX相對VIXY價格發現加入變數之迴歸結果 85
表4.6.5 變數之相關係數 86

圖目錄
圖1.1.1 VXX與VXZ每年平均日成交量(股) 3
圖1.1.2 VIXY與VIXM每年平均日成交量(股) 3
圖1.4.1 研究流程圖 8
圖2.1.1 VIX期貨平均日交易量及平均未平倉量(口數) 10
圖2.1.2 VXX平均日成交量及收盤價 12
圖2.1.3 VIXY平均日成交量及收盤價 12
圖2.1.4 CDRt中持有權重 13
圖4.1.1 VIX期貨、VXX與VIXY每日收盤價之時間序列圖 57
圖4.2.1 VX時間序列資料之趨勢圖 60
圖4.2.2 VXX時間序列資料之趨勢圖 60
圖4.2.3 VIXY時間序列資料之趨勢圖 60
圖4.2.4 VVIX、RVVIX與VVRP之趨勢圖 63

一、國內文獻
謝文良，（2002），「價格發現、資訊傳遞、與市場整合—台股期貨市場之研究」，財務金融學刊，第十卷第三期，頁 1－31。
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