Analysis of factors on stock market uncertainty:The Use of VIX
碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 96 === This study examines the impact of factors on stock market uncertainty and volatility. The factors on stock market uncertainty are the scheduled macroeconomic news announcements and the Federal Open Market Committee (FOMC) meetings. For that purpose, the behav...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/51874937825781748027 |
| Summary: | 碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 96 === This study examines the impact of factors on stock market uncertainty and volatility. The factors on stock market uncertainty are the scheduled macroeconomic news announcements and the Federal Open Market Committee (FOMC) meetings. For that purpose, the behavior of the implied volatility of the S&P500 (VIX) is investigated around the FOMC meeting days and around the selected scheduled macroeconomic news releases days. The results support the first hypothesis that VIX drops at the announcements days except ISM Purchasing Managers Index releases. Of the macroeconomic news releases, the housing starts report has the largest impact on uncertainty, whereas investors regard the announcements of Customer Confidence Index and PPI and CPI as significant. The results also reveal that investors regard the FOMC meetings as highly significant for measuring stock market uncertainty. According to the result, there is only weak evidence of VIX will drop more as the announcements are better to prediction than the releases are worse. This empirical result does not fully support the second hypothesis.
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