VIX as Market Timing Indicator–Evidence from Six Countries in East Asia Markets

• Main Authors: Yi-Jie Lin, 林依潔
• Other Authors: Jen-Sin Lee
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/7mn835

碩士 === 義守大學 === 管理碩博士班 === 102 === Market timing is one of active investment strategies, which investors try to buy at the lowest price and sell at the highest price of stock market. Market timing has received considerable attention in finance. In this study, using volatility index (VIX) of Chicago Board Options Exchange (CBOE) as the investor’s market timing indicator is our central concept. It also discuss whether can utilize VIX index as an indicator of market timing in six countries of East Asia (Korea, Taiwan, Hong Kong, Japan and China), further construct the investing strategy which buy at the lowest price, sell at the highest price to get profits. In contrast to the past literatures, this study try to consider the moving feature of stock index that slow rise and quick fall. In addition, we used VIX level to divide market state and examine the lag order between VIX index and stock indexes, we used Vector Auto-regression (VAR) model. This study authenticate investing strategy find out investing performance. In case investment strategies can reach high profits and VIX can catch investor sentiment, it will be useful for investors to reduce investment risk and improve returns.