https://scholars.lib.ntu.edu.tw/handle/123456789/414923
標題: | The Asymmetric Relation between Time-Varying Risk Aversion and VIX Index | 其他標題: | 投資人風險趨避程度與VIX的不對稱關係 | 作者: | Yen-Ming Chen WANG YAW-HUEI |
公開日期: | 十二月-2017 | 卷: | 10 | 期: | 3 | 起(迄)頁: | 45 - 84 | 來源出版物: | 期貨與選擇權學刊 | 摘要: | This study derives the time-varying risk aversion and examines whether investors' risk aversion is asymmetric to the level and change of the Chicago Board Options Exchange (CBOE) Market Volatility Index (VIX). The empirical results on a daily basis indicate that risk aversion has an asymmetric relation with VIX level and change, which also holds during the period of financial crisis. However, the relation becomes less significant when the analysis is implemented on a monthly basis and disappears when the influence of macroeconomic variables are considered. Obviously, the formation of risk aversion depends on the economic condition. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414923 |
顯示於: | 財務金融學系 |
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