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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林建甫(Chien-Fu Lin) | |
| dc.contributor.author | Ching-Chun Wang | en |
| dc.contributor.author | 王靖淳 | zh_TW |
| dc.date.accessioned | 2021-06-07T17:41:02Z | - |
| dc.date.copyright | 2020-07-27 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-07-17 | |
| dc.identifier.citation | 1.周賓凰、張宇志、林美珍，2007，「投資人情緒與股票報酬互動關係」，《證券市場發展季刊》，第19卷第2期，第153–190頁。 2.鄭義、胡僑芸與林忠義，2005，「波動率指數 VIX 於臺指選擇權市場之應用」， 《臺灣期貨市場》，第 7 卷，第13-33頁。 3.鄭高輯、林泉源，2010，「投資人情緒對投機型股票報酬之影響」，《商略學報》，第2卷第1期，第21–35頁。 1.Blair, B. J., Poon, S. H. and Taylor, S. J., 2001, “Forecasting S P 100 Volatility: The Incremental Information Content of Implied Volatilities and High–Frequency Index Returns,” Journal of Econometrics, 105, 5–26. 2.Brown, G. W. and Cliff, M. T., 2004, “Investor Sentiment and the Near–term Stock Market,” Journal of Empirical Finance ,11, 1–27. 3.Brown, G. W. and Cliff, M. T., 2005, “Investor Sentiment and Asset Valuation,” Journal of Business ,78(2), 405–440. 4.Chen, E. T. and Clements, A. , 2007, “S P 500 Implied Volatility and Monetary Policy,” Finance Research Letters 4, 227–232. 5.Chang, C. L., McAleer , M. and Wang ,Y. A., 2016, “Modelling Volatility Spillovers for Bioethanol, Sugarcane and Corn,” Tinbergen Institute Discussion Papers,16–014/III, The Netherlands. 6.Corrado, C. J. and Miller, T.W., 2005, “The Forecast Quality of CBOE Implied Volatility Indexes, ” Journal of Futures Markets, 25, 339–373. 7.Copeland, M. and Copeland, T. E., 2016, “VIX Versus Size,” The Journal of Portfolio Management, 42 (3) ,76–8. 8.Fleming, J., Ostdiek, B. and Whaley R. E. , 1995, “Predicting Stock Market Volatility: a New Measure, ” Journal of Futures Markets, Vol.15, 265–302. 9.Giot, P., 2002, “The Information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk,” Working Paper, CORE, University of Louvain. 10.Ozair, M. , 2014, “What does the VIX Actually Measure? An Analysis of the Causation of SPX and VIX,” Journal of Finance and Risk Perspectives, Vol. 3(2), 83–132. 11.Sarwar, G., 2012, “Is VIX and Investor Fear Gauge in BRIC Equity Markets?” Journal of Multinational Financial Management, 22, 3, 55–65. 12.Simon, D. and Wiggins, R., 2001, “S P Futures and Contrary Sentiment Indicators,” Journal of Futures Market ,21, 447–462. 13.Smales, L. A., 2016, “Risk–on/risk–off：Financial Market Response to Investor Fear”, Finance Research Letters ,17 , 125–134. 14.Traub, H. D. , Ferreira, L., McArdle, M. and Antognelli, M. , 2000, “Fear and Greed in Global Asset Allocation,” The Journal of Investing, Vol.9, No. 1, Spring 2000 ,21-37. 15.Whaley, R. E., 2000,, “The Investor Fear Gauge,” Journal of Portfolio Management ,26,12–17. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15482 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-07T17:41:02Z (GMT). No. of bitstreams: 1 U0001-1707202013102100.pdf: 1564624 bytes, checksum: b6b63aec559d215801eafefed6010a6e (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 中文摘要.......................................................................i Abstract......................................................................ii 目錄..........................................................................iii 表目錄.........................................................................iv 圖目錄.........................................................................v 壹、緒論.......................................................................1 （一）研究背景與動機............................................................1 （二）研究目的..................................................................2 （三）研究架構..................................................................3 貳、歷史與文獻回顧..............................................................4 （一）VIX指數介紹...............................................................4 （二）S P500報酬率指數介紹......................................................5 （三）文獻回顧.................................................................8 參、實證模型...................................................................12 （一）資料來源與變數定義........................................................12 （二）實證方法.................................................................14 肆、實證分析...................................................................19 （一）變數分析結果.............................................................19 （二）模型分析結果.............................................................22 伍、結論......................................................................29 （一）結論與建議...............................................................29 （二）未來研究方向.............................................................30 參考文獻......................................................................31 | |
| dc.language.iso | zh-TW | |
| dc.subject | Granger檢定 | zh_TW |
| dc.subject | VIX指數 | zh_TW |
| dc.subject | S P500指數 | zh_TW |
| dc.subject | 投資人情緒 | zh_TW |
| dc.subject | VAR模型 | zh_TW |
| dc.subject | VIX Index | en |
| dc.subject | Granger Test | en |
| dc.subject | VAR model | en |
| dc.subject | investor sentiment | en |
| dc.subject | S P500 | en |
| dc.title | 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 | zh_TW |
| dc.title | The Effect of Investor Sentiment on Aggregate Market -A Study between VIX Index and S P500 TR Index | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明朗(Been-Lon Chen),姚睿(Ruey Yau),許振明(Chen-Min Hsu) | |
| dc.subject.keyword | VIX指數,S P500指數,投資人情緒,VAR模型,Granger檢定, | zh_TW |
| dc.subject.keyword | VIX Index,S P500,investor sentiment,VAR model,Granger Test, | en |
| dc.relation.page | 32 | |
| dc.identifier.doi | 10.6342/NTU202001596 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2020-07-17 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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