VIX as Market Timing Indicator-Empirical Evidence from G-7 Stock Markets

• Main Authors: Shao-Wen Tong, 佟劭文
• Other Authors: Jen-Sin Lee
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/rmt6cm

碩士 === 義守大學 === 財務金融學系 === 102 === During investing stock markets, investors always try to find out an effective way of timing that can not only get the stable and high profits but also reduce investment risk. In this thesis, we use Chicago Board Options Exchange (CBOE) Volatility index (VIX) as market timing indicator to invest G-7 stock markets. In addition, we also designed investment opportunities that provide investors extremely high stock returns. According to our research empirical results, the successful rates of our investment opportunities are really high. While VIX index above 30, stock markets are in high level of panic, stock indexes drop quickly. It is an optimal timing to buy stocks, which investors can buy stocks at low price. We also consider the feature of the stock index which is quick fall and slow rise, definite “break-out” signal (VIX index below 20 till VIX index bounce to 20). Investors who sell stock at break-out signal can sell at high price.There are four major features of VIX index: effective timing, provide high returns, international usage and collect data easily. Investors can use VIX index as market timing indicator to invest G-7 stock markets.