The Construction and Analysis of the Volatility Index of Taiwan’s Option Market

• Main Authors: Fu-Ta Chang, 張富達
• Other Authors: Chuang-Chang Chang
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/05327899586246114326

碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 92 === In light of the booming volume of the option trade, the growing study on the sentiment indicator and the lack of analysis method for the domestic option market, this thesis aims to introduce the construction of volatility index (VIX) applied to the major markets worldwide. The reference index, such as the VIX for US, the VX1 and VX6 for the French and the VDAX for the German market will be discusses in depth in order to build up the domestic VIX and its further analysis. By adopting the Black-Scholes model together with the method by CBOE (Chicago Board Option Exchange), 12 sets of VIX are constituted with its respective parameters. The employment of statistic test helps to identify which VIX would apply to Taiwan’s weighted index. Furthermore, the emphasis will be placed upon the correlation and significance level between the VIX and the weighted index with different time interval. By doing so, the VIX could be clearly depicted responding to the weighed index, upward or downward together with factors contributing to it. And the regression model would thus be conducted. The result shows that VIX and the weighted index are in moderate correlated negatively，which constitutes an efficient contrary indicator. Moreover, the study proves that in Oct, Nov and Dec, the correlation coefficient is above –0.9, a figure that would apply to approximately 90% of the variance of the weighted index. When the median and the first quartile of the month reach the 5% significance level, the critical value is what’s at the high for the weighted index. Whereas when the median and the third quartile of the month reach the 95% significance level, the critical value is where the averaged low weighted index hit. With regard to what may contribute the VIX, the indication from the regression analysis for hypothesis factors and the best independent variance choice by SAS. The following factors are related to the weighted index, that is the daily trading volume, the independent index figure, the reward from the previous day and the advance or decline of wave band. What concerns the Taiwan Index Future are the spread and daily amplitude. And what concerns the period is season, whereas the reward from the day and the day previous are VIX-linked. The regression model perfectly demonstrate the VIX’s variance of 40.04%.