The Information Content of VIX as Timing Indicator on Stock Market

• Main Authors: CHEN, KUANG-HUI, 陳洸輝
• Other Authors: YUAN, SHU-FANG
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/579bg4

碩士 === 南華大學 === 企業管理學系管理科學碩博士班 === 105 === 　　The purpose of this paper is to examine whether the VIX index (VIX) in Taiwan reflects the market sentiment in the market. The Taiwan’s VIX index published by Taiwan Futures Exchange which is referred to CBOE’s VIX launched in 1993 is used as the timing indicator. The empirical period is sampled from the daily data of January 1, 2013 to December 31, 2016. According to the empirical result, it found Taiwan’s VIX is efficiently to be used as the buying signal in reflecting the market’s overfear condition, but the timing ability for the selling signal in reflecting the market’s overconfident is insignificant. In briefly, the timing ability of Taiwan’s VIX is asymmetric.