台指選擇權隱含波動率指標之資訊內涵

美國CBOE於1993年推出以隱含波動率為計算基礎的波動率指標VIX，提供市場參與者對市場未來短期波動的參考依據，其他如法國、德國、瑞士等國也推出其市場指數之波動率指標。CBOE復於2003年9月公佈VIX的新計算方式，並於2004年推出VIX之期貨交易。本文綜合比較各國波動率指標建構方法，再利用台指選擇權模擬加權指數之波動率指標，以找出最適合加權指數波動率指標建構方法，並驗證該指標本身之特性以及與加權指數間之關係。實證結果發現：（1）波動率指標確可做為未來實際波動率之良好估計值；（2）波動率指標與加權指數間有不對稱之負向關係；（3）波動率指標具有均數回歸之現象；（4）波動率指標於指數下跌時，可做為良好的反向交易指標。In 1993, CBOE introduced the Volatility Index (VIX) which was based on the implied volatility of S&P100 index options. Other countries, such as France, Germany and Switzerland, have developed volatility indices of their own equity markets. Subsequently, CBOE again proposed a new model of volatility for both VIX and VXN in September of 2003 and launched VIX Futures on March 26, 2004. In this article, we first compare the characteristics and construction methodology of the volatility indices across different countries. Then, we use the data of TAIEX index options to construct the volatility index for TAIEX (VXT) and test its forecasting power with historical estimation method. We also examine the relationship between the VXT and TAIEX. The results suggest that VXT is a good estimator of future volatility. Furthermore, VXT has negative and asymmetric relationship with TAIEX. Thirdly, VXT tends to exhibit mean-reverting behavior in our sample. Last but not the least, VXT may be a good contrarian trading indicator when the market plunges.