An Empirical Study of Volatility Index Trading Strategy in Stock Market

• Main Authors: Sfeng-Yuan Cho, 周聖淵
• Other Authors: Lin Lin
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/55192666940391058587

碩士 === 國立暨南國際大學 === 管理學院經營管理碩士學位學程碩士在職專班 === 100 === This article uses the U.S. S & P index VIX composed of 16 kinds of trading strategies，view the U.S. S & P index，the Taiwan Weighted Index，the Hong Kong Hang Seng Index and Japan's Nikkei 225 index from 1993-2012 in four different regions of the rate of return effect. And the Monte Carlo method (Monte Carlo Simulation) simulation of the optimum parameters. The study found that the profitability of the Hong Kong Hang Seng Index in 2000，2000 Taiwan's Weighted index of profitability best. Which day less significant by 225 profitability. In addition，we found that the financial theory and empirical research consistent trading strategy，VIX index volatility the greater the more profit for investors.