The Effects of Volatility Derivatives Trading onStock Market Price Behavior
碩士 === 國立臺灣大學 === 國際企業學研究所 === 96 === Since VIX introduction in 1993, it had been considered by many to be the world‘s premier index of the market volatility, and the recent launch of VIX derivatives offers the platform for direct volatility trading. This research examines the impact of trading in t...
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ndltd-TW-096NTU053200142016-05-11T04:16:25Z http://ndltd.ncl.edu.tw/handle/20750827374261836084 The Effects of Volatility Derivatives Trading onStock Market Price Behavior 波動率商品交易於股票市場價格行為影響之研究 Hao-Hsun Huang 黃浩舜 碩士 國立臺灣大學 國際企業學研究所 96 Since VIX introduction in 1993, it had been considered by many to be the world‘s premier index of the market volatility, and the recent launch of VIX derivatives offers the platform for direct volatility trading. This research examines the impact of trading in the VIX futures and VIX options on the price behavior of the underlying market. The sample is the daily closing price spanned from 2002/07/01 to 2007/10/31. We test the interrelationship between the spot market and futures market by Bivariate EC-EGARCH model. The empirical evidence shows that: (1) contrary to the past theory that the launch of derivatives increases the market volatility, the launch of VIX derivatives helps stabilize the underlying market. On the test of GARCH effect, the empirical evidence shows that both spot and futures market exhibit volatility clustering effect and the empirical result further shows the existence of asymmetric effect between markets; (2) on the effect of market structure, the introduction of VIX derivatives extends the way of hedging and lowers the correlation between futures market and spot market. Based on the empirical evidence and the current situation of Taiwan’s financial market, we further conclude that the Taiwanese version of volatility index derivatives should be developed in order for investors to construct the volatility based investing strategy. And the launch of volatility derivatives can also help cooperation to construct the dynamic hedging strategy for avoiding sudden shock on market volatility. 邱宏仁 2008 學位論文 ; thesis 80 zh-TW |
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碩士 === 國立臺灣大學 === 國際企業學研究所 === 96 === Since VIX introduction in 1993, it had been considered by many to be the world‘s premier index of the market volatility, and the recent launch of VIX derivatives offers the platform for direct volatility trading.
This research examines the impact of trading in the VIX futures and VIX options on the price behavior of the underlying market. The sample is the daily closing price spanned from 2002/07/01 to 2007/10/31. We test the interrelationship between the spot market and futures market by Bivariate EC-EGARCH model. The empirical evidence shows that: (1) contrary to the past theory that the launch of derivatives increases the market volatility, the launch of VIX derivatives helps stabilize the underlying market. On the test of GARCH effect, the empirical evidence shows that both spot and futures market exhibit volatility clustering effect and the empirical result further shows the existence of asymmetric effect between markets; (2) on the effect of market structure, the introduction of VIX derivatives extends the way of hedging and lowers the correlation between futures market and spot market.
Based on the empirical evidence and the current situation of Taiwan’s financial market, we further conclude that the Taiwanese version of volatility index derivatives should be developed in order for investors to construct the volatility based investing strategy. And the launch of volatility derivatives can also help cooperation to construct the dynamic hedging strategy for avoiding sudden shock on market volatility.
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author2 |
邱宏仁 |
author_facet |
邱宏仁 Hao-Hsun Huang 黃浩舜 |
author |
Hao-Hsun Huang 黃浩舜 |
spellingShingle |
Hao-Hsun Huang 黃浩舜 The Effects of Volatility Derivatives Trading onStock Market Price Behavior |
author_sort |
Hao-Hsun Huang |
title |
The Effects of Volatility Derivatives Trading onStock Market Price Behavior |
title_short |
The Effects of Volatility Derivatives Trading onStock Market Price Behavior |
title_full |
The Effects of Volatility Derivatives Trading onStock Market Price Behavior |
title_fullStr |
The Effects of Volatility Derivatives Trading onStock Market Price Behavior |
title_full_unstemmed |
The Effects of Volatility Derivatives Trading onStock Market Price Behavior |
title_sort |
effects of volatility derivatives trading onstock market price behavior |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/20750827374261836084 |
work_keys_str_mv |
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