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dc.contributor.author鄭安婷en_US
dc.contributor.authorCheng An-Tingen_US
dc.contributor.author周雨田en_US
dc.contributor.author謝國文en_US
dc.contributor.authorRay Yeutien Chouen_US
dc.contributor.authorGwowen Shiehen_US
dc.date.accessioned2014-12-12T01:17:44Z-
dc.date.available2014-12-12T01:17:44Z-
dc.date.issued2007en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT009531545en_US
dc.identifier.urihttp://hdl.handle.net/11536/39099-
dc.description.abstract本文主要是應用Engle(2002)提出的動態條件相關係數(dynamic conditional correlation, DCC)模型,探討S&P 500股價指數與波動率指數(VIX)之間的關係。實證結果顯示S&P 500股價指數與VIX指數之間具有明顯的動態負向關係,處於波動率高的期間,兩者之間的負向相關係更為明顯。另外,結果也證實兩者之間具有不對稱性關係,也就是說VIX指數在S&P 500指數下跌時的變化量大於S&P500指數上漲時的變化量,且在低波動率時期,不對稱效果更為明顯。接著,探討波動性指數是否能夠做為股票市場的買進及賣出訊息,我們發現波動率為相對低點時(波動率低於5%與10%個樣本值時),持有股票的報酬率大致為正的,只有在極端的情況下(波動率在低於1%時),投資人短期持有才為負報酬;而在波動率為相對高點時(波動率高於90%、95%及99%個樣本值時),在持有短期至中期的報酬率均為正的,顯示高波動率時期對投資人而言,應採取買進持有的策略;相反的,在波動率較低的時期,只有在極端的情況下,投資人應該進行賣空股票的策略。zh_TW
dc.description.abstractThis study provides dynamic time-varying viewpoint by using the Dynamic Conditional Correlation (DCC) model of Engle (2002) to estimate the time-varying correlation between volatility index and stock index and we also investigate the relationship during four distinct sub-periods which pertain to different trading environments. The empirical analysis shows that there is a strong negative relationship between the returns of VIX and S&P 500 index and the negative correlation is stronger in high-volatility trading environments than in low-volatility markets. In addition, we demonstrate that there exists an asymmetric relationship between returns of VIX and S&P 500 index, and the VIX returns’ response to negative S&P 500 index returns is sharper in low-volatility periods. Subsequently, we examine whether VIX can identify buying or selling opportunities in stock market. A “sell signal” just occurred when the VIX level is extremely low. On the other hand, high or very high VIX levels indeed over-sold markets and hence can be viewed as short-term to middle-term “buy signals”.en_US
dc.language.isoen_USen_US
dc.subject波動性指數zh_TW
dc.subject隱含波動度zh_TW
dc.subjectDCC模型zh_TW
dc.subject動態條件相關係數zh_TW
dc.subjectVolatility Indexen_US
dc.subjectImplied Volatilityen_US
dc.subjectDCC Modelen_US
dc.subjectDynamic Correlationen_US
dc.titleVIX指數之動態相關性與預測能力研究zh_TW
dc.titleDynamic Correlation and Predictive Ability of VIXen_US
dc.typeThesisen_US
dc.contributor.department管理科學系所zh_TW
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