博碩士論文 etd-0524116-110422 詳細資訊


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姓名 秦唯衽(Wei-Zen Chin) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 104學年第2學期
論文名稱(中) 高波動度VIX期貨價差交易策略
論文名稱(英) The VIX futures basis strategy with high volatility
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    紙本論文:5 年後公開 (2021-06-24 公開)

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    論文語文/頁數 英文/44
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    摘要(中) 本研究探討VIX期貨價差上是否可以預測現貨價格的波動率指數和影響力交易策略。這項研究的採用日內數據2005至2011年,變數為近月期貨(Front VIX futures),次月期貨(Second VIX futures),每日價差(Daily roll)被定義為近月VIX期貨價格與波動率指數之間的差異除以距離到期間的交易日,本研究主軸為波動率指數期貨從2005年到2011年不具有VIX現貨價格變動的預測能力,但確具有VIX期貨價格變化的預測能力。結果表明VIX 期貨價差和期貨價格有一個反比關係。根據樣本資料,正價差存在整體樣本區間大約72%的比例。從上述的發現,我們制定VIX futures價差交易策略,即投資者發現正價差時藉由VIX futures 價格和價差反向的關係可以採用放空VIX futres並放空 S&P500 ETF進行避險,而在逆價差時藉由持VIX futures 並持有S&P 500ETF 進行避險 ,以上述的策略模式進行交易。總體而言,分析支持的觀點,即VIX期貨價差並不準確反映VIX現貨指數的均值回歸(Mean-reversing)特性,而是發現取得的價差收斂獲利的途徑。
    摘要(英) This study explores whether VIX futures basis can predict spot VIX prices and influence trading strategies. This study’s adopts intraday data from 2005 to 2011, with dependent variables being the differences among the front futures, second futures, and the daily roll, which divided the gap which VIX futures point minus the spot point into duration until the VIX futures contract settlement. The study demonstrates that the VIX futures basis does not have significant forecast power for VIX spot price changes from 2005 through 2011, yet have negative relationship for VIX futures point variation. The test indicates that VIX futures basis and futures price have an inverse relationship. According to the sample, a contango situation appears approximately 72% of the time. From these results, we develop trading strategies, in which investors can short VIX futures contracts when the basis is in contango and buy VIX futures contracts when the basis is in backwardation, with the market exposure of these positions hedged through the S&P500 index. Overall, the analysis supports the view that the VIX futures basis does not accurately reflect mean-reverting properties of the VIX spot index, but rather replicates a risk premium that can be harvested.
    關鍵字(中)
  • 期貨交易策略
  • 價差交易
  • VIX 價差預測效果
  • 價差收斂
  • 波動度均值回歸
  • 關鍵字(英)
  • VIX futures basis forecast
  • Basis convergence
  • Basis trading
  • Futures trading strategy
  • Volatility convergence
  • 論文目次 CONTENTS
    論文審定書 i
    摘要 ii
    Abstract iii
    CONTENTS iv
    I. Introduction 1
    II. Literature Review 3
    III. Describe VIX Futures Market 4
    IV. The Forecast Ability of the Basis 8
    V. VIX Futures Trading Strategies 11
    VI. Conclusion 24
    References 27
    參考文獻 References
    Brenner, M., and D. Galai, (1989), “New Financial Instruments for Hedging Changes in Volatility”,Financial Analyst’s Journal, July-August 1989, 61–65
    Dupoyet, B., Daigler, R. T.,& Chen, Z. (2011). A simplified Pricing Model for Volatility Futures . Journal of Futures Markets, 31(4), 307-339.
    Fleming, J., B. Ostdiek, and R. Whaley, (1993), “Predicting Stock Market Volatility: A New Measure”,Duke University working paper.
    Gorton, G., & Rouwenhorst, K. (2006). Facts and fanatasies about commodity futures, Financial Analysts Journal, 62(2),47-68.
    Mixon, S.(2007). The implied volatility term structure of stock index options, Journal of Empirical Finance 41, 333-354.
    Modest, D. M. and Sundaresan, M., “The Relationship Between Spot and futures Prices in Stock Index Futures Markets: Some Preliminary Evidence”, Journal of Futures Markets, (1983),Vol.3:15-41。
    Nossman, M. & Wilhemsson, A.(2009). Is the VIX futures market able to predict the VIX index? A test of the expectation hypothesis, The Journal of Alternative Investments 12:2, 54-67.
    Pavlova, I. & Daigler, R. (2008). The non-convergence of the VIX Futures at expiration. Review of the Future Markets, 17(2), 201-223.
    Whaley, R. E. (1993). Derivatives on market volatility hedging tools long overdue. The Journal of Derivatives 1:1, 71-84.
    Zhang, J., Shu, J. & Brenner, M. (2010). The new market for volatility trading. Journal of Futures Markets 30, 809-833.
    Zhang, J. & Zhu, Y. (2006), VIX Futures, Journal of Futures Markets 26, 521-531.
    口試委員
  • 陳佑倫 - 召集委員
  • 翁培師 - 委員
  • 蕭育仁 - 委員
  • 蔡維哲 - 指導教授
  • 口試日期 2016-06-17 繳交日期 2016-06-24

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