| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 95 === This thesis constructs the market volatility index of which underlying asset is Taipei Stock Exchange Capitalization Weighted Stock Index (TAIEX) and TAIEX futures respectively. In the research period, TAIEX was usually lower than TAIEX futures. The average implied volatility of call of which underlying asset is TAIEX is lower than of which underlying asset is TAIEX futures, and the average implied volatility of put is opposite.
We also observe that the spread of implied volatility between call and put was lager when we used TAIEX as underlying asset. Using TAIEX futures as underlying asset would make the spread smaller. Even so, the difference between volatility index calculated by TAIEX and by TAIEX futures is negligible. Because the volatility index (VIX) is constructed by call and put, this procedure would make bias smaller.
Besides, the other results of this research are as follow：
1. The changes of VIX negatively correlated with the market return, and there is asymmetric characteristics between VIX and the market return.
2. The average intraday VIX went up as the minutes ticked away.
3. According to the mean reverting characteristic of VIX, we constructed timing strategy for options market.After considering transaction costs, the strategy could not get abnormal returns. However, the control group of timing strategy could increase the rate of return per risk.
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