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    請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/83674


    題名: VIX 相關交易策略之探討
    作者: 盧昱衡;Yu-Heng, Lu
    貢獻者: 財務金融學系在職專班
    關鍵詞: VIX指標;擇時指標;過度恐慌;VIX;trading strategies;futures;trading indicator
    日期: 2020-07-29
    上傳時間: 2020-09-02 16:52:39 (UTC+8)
    出版者: 國立中央大學
    摘要: 本文目的在探討VIX指數(VIX, Volatility)的交易策略。VIX指數又稱為恐慌指數,在股市過度恐慌而VIX指數飆高之時,反而往往是相對低點;而以VIX指數作為標的之VIX期貨也具有長期正價差之特性,本文以VIX反應過度恐慌作為擇時指標建立相關交易策略:以VIX指數作為Mini-S&P500指數期貨的進出場依據,以及以臺灣期貨交易所公布的台灣VIX指數作為台指期貨的進出場依據,另探討VIX期貨的連續賣出策略。本文之研究期間涵蓋自2008年1月11日至2020年4月15日間的日資料,建立Mini-S&P500指數期貨以及台指期貨的交易策略模型,輔以技術指標移動平均線和真實平均區間ATR作為進出場以及停損的依據。另VIX期貨賣出策略的研究期間起2013年1月16日迄2020年4月15日。本文探討以VIX指數為核心建構的交易策略是否在日頻率的時間週期內對比買進持有(buy and hold)策略具有風險與報酬上的優勢。

    本文的研究期間涵蓋了2008年金融海嘯與武漢肺炎(COVID-19)的空頭走勢,以及其餘大部分時間的股市多頭走勢,本研究發現以VIX指數作為擇時指標提供買訊在日頻率的交易確實具有避險增益的能力。相較於買進持有策略,等待VIX指數飆高後回落再行進場確實具有風險與報酬上之優勢。而VIX期貨的連續賣出策略輔以適當之停損也可做為長期使用之交易策略,可作為中長線投資人之投資決策參考。
    ;The purpose of this article is to discuss the trading strategy of the VIX index (VIX, Volatility). The VIX index is also known as the fear index. When the stock market is excessive panic and the VIX index is soaring, it is often a relatively low point; and the VIX futures with the VIX index as the target also have the characteristics of long-term positive spreads. This article uses VIX to react to excessive fear. Establish relevant trading strategies as timing indicators: use the VIX index as the entry and exit basis for Mini-S&P500 futures, the VIX index announced by the Taiwan Futures Exchange as the entry and exit basis for Taiwan index futures, and the continuous selling strategy of VIX futures. In the research period of this article, the daily data from January 11, 2008 to April 15, 2020 establishes a trading strategy model, supplemented by the technical indicator moving average and the real average interval ATR as the basis for entry and exit and stop loss and profit, Discuss whether the trading strategy constructed with the VIX index as the core has the risk and reward advantages over the buy-and-hold strategy in the time period in units of days.

    The research period of this article covers the 2008 financial crisis and the short trend of coronavirus (COVID-19), as well as the long-term stock market bullish trend. This study found that transactions using the VIX index as a timing indicator in daily units do have The ability to hedge gains. Compared with the buy-and-hold strategy, entering the market after the VIX index has soared does have advantages in risk and reward. The continuous selling strategy of VIX futures supplemented by appropriate stop-loss can also be used as a long-term trading strategy, which can be used as a reference for investment decisions of medium and long-term investors.
    顯示於類別:[財務金融學系碩士在職專班] 博碩士論文

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