投資人情緒是否可以正確預期整體市場走勢? -以VIX指數及S P500報酬率指數為例

Abstract

本篇論文欲利用芝加哥選擇權交易所波動率指數（VIX Index）以及美國S P500報酬率指數（S P500 Total Return Index）探討在整體金融市場穩定時以及金融海嘯、COVID-19等全球經濟相對較不穩定時，投資人情緒是否可以正確預期整體金融市場走勢。將研究期間分為全樣本期間2010年1月至2020年3月、金融海嘯期間2008年以及2020年COVID-19期間，透過向量自我迴歸模型（VAR model）以及 Granger Causality Test 檢驗兩個指數間的因果關係。 本文主要有以下發現： 1. 於2010年至2020年經濟波動度相對較大時期，VIX指數及S P500報酬率指數兩者之間具有相互影響關係，且在Granger因果關係檢定下顯示出VIX指數具有領先S P500報酬率指數之特性，意旨在經濟穩定下投資人情緒能夠有效的預期整體金融市場走勢。 2. 而於金融海嘯及COVID-19期間，投資人對市場產生不理性預期而導致VIX指數及S P500報酬率指數之間不具顯著關聯，故在景氣波動較大時與VIX掛鉤之避險型產品不具領先績效。 故由本研究可知當全球金融市場景氣愈差時，VIX 指數會面臨無法正確反映整體金融市場走勢的窘境，進一步提供投資人作為當市場表現不佳時，操作與VIX相關的避險型產品之投資參考資訊。

It is known that investor sentiment may affect the aggregate market, so this study focus on the relationship between VIX Index and S P500 Total Return Index. The study period is divided into a full sample period from January 2010 to March 2020,the Financial crisis of 2008 and then the COVID-19 of 2020. Using Sims（1980）VAR model to analyze the causality relationship between the fluctuation of the VIX and total return of S P500. The empirical result shows that when the overall financial market is relatively stable, the VIX Index and the S P500 Total Return Index have a significant feedback relationship, which means that investors can anticipate economic trends accurately. However, the VIX Index had no significant impact on the S P 500 when both the Financial crisis in 2008 and the Coronavirus in 2020. Therefore, the VIX index cannot correctly predict the market during economic instability.