A study on the dynamic relationships between VIX and stock markets in Asia

• Main Authors: Chao-ming Wang, 王昭銘
• Other Authors: Wan-hsiu Cheng
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/18448583473240510355

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 97 === 　　The fluctuation rate change may say is variable which in the financial commodity ascertained most with difficulty, regarding the derivative financial commodity price, takes refuge from danger, as well as the risk control, is acting the quite important survey role. Is always acting the leading role in view of the American Stock market in the Asian market, it has certain relevance rise and drop of with in the Asia Stock market. This article is different with the former literature search, is take VIX fluctuation index as the main research key, observes its fluctuation change regarding the Taiwan stock market, the Japanese Stock market, the South Korean Stock market, the Singapore Stock market, the Hong Kong Stock market and MSCI the AC Asian and Pacific index influence, and penetrated the GJR-GARCH(1,1)-M model analysis various countries fluctuation situation, this article studied the period is from September 9th, 2003 to December 31, 2008, picked the date material to carry on the empirical analysis. This article studies the goal mainly to have two: One is VIX index fluctuation regarding Asia Stock market whether has its influentia; Second, this article also aims at its dissymmetry to analyze the discussion, analyzes VIX index fluctuation thoroughly to the Asia stock market''s influence. This findings discovered VIX index and Asian Stock market fluctuation the cocurrent fluctuation, when VIX index rise, the Asian Stock market fluctuation increases, otherwise, VIX index drops, the Asian Stock market fluctuation drops; Moreover, GJR-GARCH(1,1)-M can catch fluctuation of situation appropriately various countries'' stock market, the Asian stock market the negative inexpectancy impact causes a bigger fluctuation compared to the forward inexpectancy impact, the existence fluctuation asymmetrical release lever effect, the real diagnosis result not can only grasp effectively regarding the American Stock market''s fluctuation, will also have enormous being of help regarding the investor in the investment strategy with the reference value.