日內隱含波動率對未來報酬的資訊內涵

Abstract

過去有些文獻研究利用隱含波動率指數(VIX)的每日收盤價來預測未來股市的報酬，然而，本文利用隱含波動率的日內資料做實證研究，探討它對未來報酬的資訊內涵。資料期間為1999年一月至2009年十月。首先，我們討論VIX的日內平均數和VIX每日收盤價對於未來報酬之關係。再來我們加入日內VIX的高階標準動差來檢驗是否對S&P 500指數的未來報酬有更多的解釋能力。第二，我們檢測由規模和帳面市值比分類的投資組合報酬和VIX相關變數之關係，並且加入四個過去學者已證明可以解釋超額報酬的變數。此外，我們一樣加入日內VIX的高階標準動差檢測是否有更多的資訊內涵。最後，由於我們的資料期間包括了2008年金融危機，所以我們把2008年六月為分水嶺分隔為金融危機前與金融危機期間，討論不同的波動率水準期間是否影響波動率與未來報酬之關係。研究發現，VIX的日內平均數對於較長天期報酬具有較好的解釋能力;不同波動率水準的期間會對未來報酬的資訊內涵的表現有所不同。

Prior studies find that daily implied volatility index predicts returns on future market. However, this study empirically investigates the information content of intraday implied volatility for future returns during the period from January 1999 to October 2009. First, we discuss the relationship between future returns on S&P 500 and mean of intraday VIX levels (MIVIX) and daily close VIX levels, respectively. Then we add the higher standardized moments of intraday implied volatility to test if they have more explanatory ability for future returns. Second, we examine portfolios sorted by size and book-to-market equity and control for the four Fama and French and momentum factors. Besides, we also test if the higher standardized moments of intraday implied volatility have information content after controlling for those initial variables. Finally, we divide the financial crisis period from our sample period since our full sample period includes the 2008 financial crisis. Thus, we test if the relationship with VIX levels and future returns could be not identical when we select different classes of VIX levels period. We find that the relationship between MIVIX and future returns is stronger for the longer holding periods. Different classes of VIX levels could influence the relationship with VIX levels and future returns.