台股指數與平均真實區間指數之關係:在金融海嘯時期可預測嗎?

Abstract

在金融海嘯發生後，已有相當多研究顯示在金融海嘯時的波動率上漲與下跌有不對稱性產生。ATR指標是J.Welles Wilder在提出波動率指標這個概念時第一個所提出的指標，其計算方式相較於其他指標對於初學波動率的投資者較容易計算。然而，在眾多波動率指標當中卻較少學者使用ATR指標作為研究標的，因此本文以ATR指標來驗證是否能與其他波動性指標得出相同的結論？結果發現ATR指標在金融海嘯時不對性相當明顯。應用在台股指數報酬預測方面分為短期金融海嘯發生時(2007~2011)與長期(2003~2017)來看，兩者預測結果完全相反；金融海嘯發生時因為台股屢創新低，使ATR一直呈現高點導致台股指數預期報酬均為負數；長期來看每當ATR創新高則會使股指數預期報酬均為正值。因此本研究認為ATR在發生金融危機時與平時沒金融危機時用來預測都有相當不錯的表現力。

After the financial tsunami, a considerable number of studies have shown that the volatility in the financial tsunami rise and fall there is asymmetry. The ATR indicator is J.Welles Wilder's first proposed index when presenting the concept of volatility index, Its calculation method compared to other indicators for beginner volatility of the investors is easier to calculate. However, among the many volatility indicators, less scholars use the ATR indicator as the subject of research. Therefore, this paper uses the ATR indicator to verify whether the same conclusions can be drawn from other volatility indicators. The results showed that the asymmetry of ATR indicators is quite obvious in the financial tsunami. In the case of short-term financial tsunami (2007 ~ 2011) and long-term (2003 ~ 2017), the forecast results are completely opposite. When Taiwan Stock Index getting lower and lower as a result of the financial tsunami occurred, so that ATR has been a high point led to the expected return for the Taiwan index are negative. In the long-term, whenever ATR is high point, the expected return on the stock index is positive. Therefore, this study believes that ATR in the event of financial crisis and usually did not use the financial crisis to predict have a very good expression.