A Study on the Relationship between Volatility Index and Stock Index－A Viewpoint from Portfolio Insurance Demand and Leverage Effect

• Main Authors: Yi-Fen Chen, 陳怡棻
• Other Authors: Richard Lu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/98kxm7

碩士 === 逢甲大學 === 風險管理與保險研究所 === 100 === The objective of this thesis is to investigate if there are leverage effect and hedging effect in Taiwan and US stock markets. The leverage effect refers to the fact that falling stock prices are associated with higher stock volatility. While stock prices are falling, stock investors desiring to insure their portfolios will probably buy index put. This buying pressure cause index put price and its implied volatility higher. Thus, considering both effects, there is a negative relationship between volatility index (VIX) and stock index. By using ordinary least squares regression, the results show that the stock index causes significantly negative impact on volatility index. In addition, when the stock index falls, the volatility index rises. By quantile regression, the results support large increases in the volatility index (the upper quantile of the volatility index change) are mainly caused by the falling the stock index. This might be due to the increasing hedging demand when the stock index is getting lower.