The Relationship between VIX Index,Stock Market Return and Investor Sentiment with Different Investor Categories

• Main Authors: Yu-Hsiang Tsou, 鄒宇翔
• Other Authors: Shew-Huei Kuo
• Format: Others
• Language: en_US
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/95984654640076410848

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === We investigate the relationship between the stock market return and the VIX index in Taiwan. We also add the sentiment variable in our analysis. In our analysis, we divide the options trading data into different investor categories: whole market, individual investors, non-individual investors, and further divide non-individual investors into market makers and the institution investors to examine and compare their behaviors. The VIX index is considered to reflect the investors’ expectations of the future stock market volatility. In our research, we find the evidence which stock market return has a significant, negative, contemporaneous effect on the VIX index of all investor categories in general. This result is consistent with the past literatures. Most investors trading index options are based on hedging. The investors trade more index options when the stock market is bearish, because investors expect that future market will still be bearish when the stock market is bearish. In this thesis, we also use the whole day and different time data to examine and compare our result, we find the results of different time and whole day are different. These results indicate the behaviors of different investor type are different in different time. Considering that there may be an asymmetric relationship between the stock market return and the VIX index, we use TAR model to examine it. We find a significant, negative, contemporaneous relationship between the VIX indices of whole market and stock market return only exist when the previous VIX index of the whole market is higher than threshold, and the negative relationship between the VIX index of individual investors and stock market only exist when the previous VIX index of the whole market is high, too. Finally, we find all VIX index is not affected by investment sentiment in general situations. This result is not surprising, and it’s consistent with the past literatures, because most investors trading index options are based on hedging.