投資人風險趨避程度與VIX的不對稱關係

Abstract

本研究旨在研究投資人風險趨避程度的變化是否對VIX的改變量具有不對稱的影響，其次我們找了其他總體經濟變數來探討其與風險趨避程度的關係。我們以Bollerslev, Gilbson and Zhou在2011年所提出的方法做基礎，藉此得到每日投資人風險趨避程度的估計值。我們的研究發現，以日資料做觀察，投資人風險趨避程度的變動對VIX以及VIX的改變量都具有不對稱效果，但是當我們以月資料觀察時，不對稱效果顯著性下降，且在加入總體經濟變數後，不對稱效果不再存在，也顯示了風險趨避程度與經濟環境有所關聯。

In this paper, the main issue we want to discuss is that whether the investors’ risk aversion is asymmetric to the VIX levels and innovations. We will also examine relationship between time-varying risk aversion and some variables other than VIX. Our method is based on Bollerslev, Gilbson and Zhou (2011) who use the moment condition involving VIX and realized volatilities to approximate the investors’ risk aversion. We extend the method to a daily basis and obtain the daily risk aversion series. We find that risk aversion has an asymmetric relationship with VIX levels and innovations on a daily basis. The relation become less significant when changing the data into a monthly basis and the asymmetric relation disappears when including the macro-variables. The macro- variables also have explanatory power on risk aversion. It suggest that risk aversion is economic state-dependent.