波動率商品交易於股票市場價格行為影響之研究

Abstract

波動率指數(VIX)於1993年推出後，被視為判斷市場趨勢以及衡量市場波動性的首要指標，於後推出的VIX 指數期貨與選擇權則提供予市場投資人直接於市場交易波動性之平台。 為瞭解波動率指數商品推出後，對於指數現貨市場及期貨市場價格行為的衝擊，以2002年07月01日至2007年10月31日之S&P 500指數與期貨之日對數報酬資料為樣本，建構具誤差修正項之雙變量EGARCH模型，分別探討於VIX期貨與選擇權加入市場前後，對於市場價格行為的影響進行分析，得到主要結論如下：一、VIX指數商品上市具有降低現貨及期貨市場波動性、增加市場安定性的正面影響，與以往文獻中期貨市場的創建增加市場波動性的結論相悖。S&P 500現貨與期貨市場均存在明顯的波動性叢聚效果，且標準化後之市場衝擊對於報酬序列波動性具有不對稱性的影響效果；二、VIX指數選擇權上市後擴大了市場避險管道，對於市場產生結構性之影響，降低原有期權市場與現貨市場之相關性。 本研究進一步整合實證之結論以及國內台指選擇權波動率指數發展現況，建議國內金融市場應研議波動率指數相關商品開發，協助投資人建構以波動率指數為基礎之投資策略，同時協助法人機構建立以台指選擇權波動率指數為基礎的動態避險策略，規避市場波動率變化之風險，健全我國衍生性金融商品市場。

Since VIX introduction in 1993, it had been considered by many to be the world‘s premier index of the market volatility, and the recent launch of VIX derivatives offers the platform for direct volatility trading. This research examines the impact of trading in the VIX futures and VIX options on the price behavior of the underlying market. The sample is the daily closing price spanned from 2002/07/01 to 2007/10/31. We test the interrelationship between the spot market and futures market by Bivariate EC-EGARCH model. The empirical evidence shows that: (1) contrary to the past theory that the launch of derivatives increases the market volatility, the launch of VIX derivatives helps stabilize the underlying market. On the test of GARCH effect, the empirical evidence shows that both spot and futures market exhibit volatility clustering effect and the empirical result further shows the existence of asymmetric effect between markets; (2) on the effect of market structure, the introduction of VIX derivatives extends the way of hedging and lowers the correlation between futures market and spot market. Based on the empirical evidence and the current situation of Taiwan’s financial market, we further conclude that the Taiwanese version of volatility index derivatives should be developed in order for investors to construct the volatility based investing strategy. And the launch of volatility derivatives can also help cooperation to construct the dynamic hedging strategy for avoiding sudden shock on market volatility.