Real Diagnosis Study for Trading Strategies of Index derivatives by using the volatility index of Taiwan Futures Exchange

• Main Authors: Wei-Yang Wang, 王維揚
• Other Authors: Chia-Cheng Ho
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/69628389516280434126

碩士 === 國立中正大學 === 財務金融所 === 96 === Our research uses VIX (the volatility index calculated with new method) and VXO (the volatility index calculated with used method) for Taiwan as research objections, both are established by Taiwan Futures Exchange (TAIFEX), to investigate the daily and intra-day volatility movement and characteristic, and so lead to the main logical concept for trading strategies. Our study finds that both VIX and VXO have the significant inverse relationship with the weighted index return. However, VXO presents more significant asymmetric relation than VIX. The above result coincides with the relative research at home and abroad. Furthermore, in order to observe intra-day movement, we divided the research period into two groups, the upward trend and downward trend. We find, in the downward trend group, both VIX and VXO present as a significantly rising trend with the weighted index return; in the upward trend group, only VXO generally presents as day decline style, and the changes of VIX are less visible. In the mean reversion test of volatility index, we adopt the variance ratio test of Poterba and the self-related test of Summer (1998). Our study find the volatility index has obvious characteristic of the mean reversion as well. Finally, our study take the attribute of the mean reversion and the volatility index, on behalf of the investor fear psychology, as the trading strategy when to buy or sell the Taiwan index futures. The reward of his strategy is substantial. Besides, applying the volatility index into the usual sell strategy of options, comparing to the control group, would get better return risk off and raise the total remuneration.