The Relationship between Volatility of Volatility and Return: Evidence on Taiwan Index Futures

• Main Authors: Tsai, Cheng-Han, 蔡承翰
• Other Authors: Tsai, Shih-Chuan
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/94725569702220273876

碩士 === 國立臺灣師範大學 === 管理研究所 === 104 === This study discusses the relationship between the volatility-of-volatility and the monthly return of Taiwan index futures. After considering market risk, skewness, kurtosis, and open-interest, the phenomenon that volatility-of-volatility affects the return of Taiwan index futures still exists. Base on empirical research when the volatility-of-volatility increases, the monthly return decreases simultaneously. Moreover, there is a specific relation between the monthly return of Taiwan index futures and skewness or kurtosis, even open-interest. The OLS regression estimate also coincides with the relation for all factors between return. The reason for volatility-of-volatility leading the return to decreases could be based on two concepts. First, investors who prefer uncertainty of risk might pay some premium in order to gain higher uncertainty of risk. Second, the higher the heterogeneity for preference in the uncertainty of risk, the greater decreases in premium. Among other variables that have effects on monthly return only return skewness has a significant effect.