流動性與VIX指數對股市動能策略市場之研究

The Impact of Liquidity and VIX Index on Momentum Strategies

10.6840/cycu201800058

黃筠珺

美國股票市場 ； 動能策略 ； 市場流動性 ； VIX 指標 ； American stock market ； momentum strategy ； market liquidity ； VIX index

中原大學財務金融學系學位論文

2018年

碩士

李彥賢;鄭憲永

繁體中文

本篇研究採用 1990 年到 2014 年的美國股市月資料,探討美國股票市場之動能策略 與市場流動性、VIX 指數的關聯性分析,同時也考量市場狀態的改變是否造成二者與動 能策略之間的關聯性改變。本研究藉由 Karolyi et al. (2012)對流動性的定義加以權重計 算市場流動性,與 VIX 指數作為投資人情緒之定義,並設定投資人情緒變動和牛熊市場 為市場狀態,檢視市場流動性和投資人情緒對動能策略的影響。本研究實證結果為市場 流動性對動能策略報酬有顯著正向影響,並且隨著持有期(K)的增加,動能策略報酬率受 到股票流動性的影響程度會遞減。此外,動能策略報酬率也會受到 VIX 指數的負向影 響,當 VIX 指數愈大時,動能策略報酬率愈小。最後,在不同的市場狀態下,如投資人 情緒變動或市場呈現牛熊市等,動能策略報酬仍可能受到流動性和投資人情緒的影響。

The purpose of this thesis is to investgate the relation of stock market liquidity, VIX index and momentum strategy using monthly data during 1990 to 2014 in American stock market. Moreover, this thesis examines whether the relation of stock market liquidity, VIX index and momentum strategy will change in the different market state. The method to carry out this thesis refers to Karolyi et al. (2012) for the definition of liquidity and is calculated with weight. VIX Index is the investor sentiment proxy variable. With respect to the market states are the change of investor sentiment and in the bull or bear market. The empirical results show that the liquidity has a significant positive impact on momentum strategy, and the effect is weaker as soon as the holding period is becoming longer. Not only liquidity but VIX index inflects momentum strategy. When VIX index get higher, the returns on momentum strategy will decrease. In different market state, such as investor sentiment change, in the bull or bear market, momentum returns will also be influenced by liquidity and VIX Index.

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