The relationship between TAIEX return and implied volatility spread in option markets

• Main Authors: Wen-IChen, 陳文儀
• Other Authors: Tse-Shih Wang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/24348914524737766423

碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 104 === This study aims to examine the relationship among domestic TW VIX index and TWSE index return as well as implied volatility spread and TWSE index return to verify how they influence on each other and whether there exists causality.This study uses time series data and applies unit root test, vector autoregressive (VAR) model,Granger causality test, impulse-response function, and decomposition of variance to conclude the following findings. 1.There exists an inverse relationship between TW VIX index and TWSE index return. TW VIX index leads TWSE index return by 3 time periods, and there is only unidirectional causality from TW VIX index to TWSE index return. 2.There is a positive relationship between implied volatility spread (CV-PV) and TWSE index return. It also shows a feedback relationship between these two variables as they lead and lag behind from each other.