The Relationship Between Volatility Index in TXO and Market Quality─a Quantile Regression Approach

• Main Authors: Hsiu-ying Chen, 陳秀盈
• Other Authors: Ming-hsien Chen
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/99026183817301673332

碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === In 2003, CBOE amend Volatility Index（VIX） to measure the investors fear index. When the higher the volatility index, on behalf of investors expect the future stock price volatility index the more severe, which means that investors feel the future is the panic; on the other hand, when the lower volatility index, on behalf of investors expect stock index future. The lower volatility means that investors are optimistic about the future. The thesis explores the VIX as a market sentiment in Taiwan to proxy the market quality: the liquidity, returns and volatility impact. The sample used in this study listed on the Taiwan Stock Exchange a total of 11 exchange trade funds, which examine the files match the efficiency of its ETF trading （market quality） on the VIX. Empirical results indicate that the most likely to influence Taiwan''s right to choose the quality of market volatility index variable for the volatility index-GARCH volatility, value addition for the transaction, returns, and the last for the bid-ask spread. GARCH VIX volatility in Taiwan shows a very significant positive relationship, that is, if the historical volatility will be higher the higher the VIX future, then the option will show the price rise. We could base GARCH model to estimate the predicted value for VIX options trading as a reference basis.