波動度指數與投資組合關係之探討

Abstract

VIX為美國市場波動性的基準，測量股市大盤指數近期選擇權波動的市場預期，通常表示市場的財務不確定性的狀況，也稱為投資人恐慌指標。2003年COBE更新VIX的算法，繼續提供了每分鐘投資人對於未來三十天的股市波動預期。波動度指數是一個報酬領先指標，當波動度指數增加，則大型投資組合表現會較佳，價值型投資組合表現優於成長型的投資組合。本研究發現不同類型的投資組合，確實有不同的報酬，藉由不同的波動來擇時是有可能的。當持有時間愈久，波動度指數的變動對於報酬影響愈大。而且具有持有的天數愈多時其t值就統計上愈顯著的趨勢，大小型投資組合的現象比價值型成長型來的明顯。實證研究可以得知，不論是使用VIX、VXD、VXN當成指標，大部分情況下價值減成長的累積報酬，分別以VIX10％、VXD10％、VXN10％時最高，大部份情況下大型減小型的累積報酬，分別以VIX變動超過-10％、VXD變動超過-10％、VXN變動超過10％最高。觀察表13~18的投資策略，結果發現十二種投資策略中有五種情形是超過一半以上的機會，累積報酬會是正的。

VIX is the benchmark of American stock market volatility. VIX measures market expectations of near term volatility conveyed by stock index option prices. VIX is often referred to as the investor fear gauge, because volatility often signifies financial turmoil. CBOE has renewed the VIX methodology in 2003, and continued to provide a minute-by-minute snapshot of expected stock market volatility over the next 30 calendar days. VIX is a leading indicator. When VIX increases portfolios of large-capitalization stocks outperform portfolios of small-capitalization stocks and value-based portfolios outperform growth-based portfolios. We observed that different portfolios have different returns, so we can choose portfolio by different volatility. When the holding period is longer, t-statistic is more significant, especially for portfolios of large-capitalization. No matter we use VIX, VXD or VXN as a indicator, accumulative return(VF-GF) is the highest in VIX10％,VXD10％, and VXN10％, and accumulative return(SPF-VLF) is the highest in VIX-10％,VXD-10％, and VXN10％ under most circumstance. Observing table 13~18, there are 5 out of 12 investing strategies that its accumulative return will be positive exceeding 50％.