| Summary: | 碩士 === 國立中興大學 === 應用數學系所 === 94 === In 1993, the Chicago Board Options Exchange (CBOE) presented the Volatility Index (VIX) of S&P100, which is used for estimate investors’ expectation to the volatility of stock market in the future, afterwards, it is widely accepted by market. Because it can describe the change of investors’ various expectation concretely, it is also called “The investor fear gauge”. With the development of financial theory and in order to press close to the market more, CBOE reorganized VIX index of S&P500the in September, 2003.
TAIFEX presented TXO on December 24, 2001, but it hasn’t had similar VIX index at present, therefore, it couldn’t provide more information to the investors in option market. This research will imitate the new VIX of CBOE for the features of the market of TXO, then to reorganized TVIX, via this way to observe the relation among TXO, the return of Taiwan weighted stock index and the historical volatility, and expect to find out the useful models and offer efficient investment reference to investors. The outcome of this study shows that TVIX have negative and asymmetric relation with the return of stock index, and the relation between of return and TVIX which at lag 1 to 5 is significant. Moreover, TVIX has positive relation with historical volatility. In addition, TVIX hadn’t mean reverting phenomenon during the research years.
|
|---|
