恐慌指數、外溢效果與台灣股票市場報酬率

VIX Index, Spillover Effect and Taiwan Stock Market Returns

傅澤偉；張哲豪；林曼莉

恐慌指數 ； 外溢效果 ； 台股指數報酬率 ； ARDL模型 ； Fear Index ； Spillover Effect ； Taiwan Stock Market Return ； ARDL Model

亞太經濟管理評論

24卷1&2期（2021 / 03 / 01）

1 - 22

繁體中文

本研究採取動態ARDL模型來了解外溢效果及恐慌指數對台股指數報酬率的遞延影響。因果關係結果顯示：（1）美國COBE的VIX指數及美國Nasdaq指數報酬率對台股加權指數報酬率均有顯著的遞延影響，亦即美國市場的變動會外溢到台灣市場。（2）台指選擇權波動率對於台股加權指數報酬率有顯著負向遞延影響且與美國COBE的VIX指數有很高程度的替換性。（3）投資人可以用美國Nasdaq報酬率及COBE VIX恐慌指數來建構一個簡易的台股指數投資策略。

This study also adopts a dynamic model to understand the deferred impact of the spillover effect and fear index on Taiwan stock market. The causal relationship results show that (1) The return of the US COBE's VIX index and the US Nasdaq index have a significant deferred effect on the return of the weighted index of Taiwan stocks, that is, changes in the US market will spill over to the Taiwan market. (2) The volatility of the Taiwan stock index option has a significant negative deferred effect on the return of the weighted index of the Taiwan stock market, and it has a high degree of substitution with the US COBE VIX. (3) To establish a simple investment stragtegy for Taiwan stock market, the investor can evaluate the US Nasdaq rate of return and the COBE VIX fear index.

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