A Study of The Relationship between VIX and Financial Market
碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 102 === A study the relationship with U.S stock market、foreign exchange makret、U.S bond market、curde oil futures and XAU from 1995 to 2013 weelky data. Further to accord differnet events to realized the change. Our empirical findings are summarized as follows...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/77722928936552645427 |
| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 102 === A study the relationship with U.S stock market、foreign exchange makret、U.S bond market、curde oil futures and XAU from 1995 to 2013 weelky data. Further to accord differnet events to realized the change.
Our empirical findings are summarized as follows: 1.There are more dependance about VIX and short tern above ten year U.S bond and otherwise un-U.S connect with long tern U.S bond; 2.AUD and EUR was connect with VIX no matter financial crisis or other events; 3.DJI. have relevance to financial crisis, and Nasdaq got more connect with VIX no matter financial crisis or other events; 4. VIX react by the B.OILc to the expect the future 5.in the long term VIX correlated with the XAU and the Asian financial crisis.
Conclusion: Combined VIX and Financial market to observe events impact and further.
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