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| Title: | 避險資產VIX改善股市交易短期擇時能力
Improving timing ability of trading in stock market by Safe Haven’s VIX |
| Authors: | 林庭旭
Lin, Ting-Hsu |
| Contributors: | 張興華
Jhang, Sing-Hua
林庭旭
Lin, Ting-Hsu |
| Keywords: | 避險資產
波動率指數
擇時
交易策略
Safe haven
VIX
Timing
Trading strategy |
| Date: | 2018 |
| Issue Date: | 2018-07-31 13:45:31 (UTC+8) |
| Abstract: | 本研究透過三個避險資產(Safe Haven)VIX──美國十年債期貨VIX、日圓期貨VIX、黃金ETF VIX向上或向下穿越自身月均線代表短期走強或走弱來衡量避險資產的狀態，同時藉由風險偏好差異帶來的資產供需改變所造成價格漲跌的概念，來預測股市價格動態，決定在每個時間點是否買進或賣出股市。其底層邏輯為：避險資產VIX向上穿越月均線代表短期走強、避險資產傾向下跌，在風險偏好上升之下，風險資產如股票市場則傾向於上漲。而我們確實證明了以避險資產VIX所產生之買賣訊號具有逆勢的效果，尤其是買進訊號，買進訊號發出前股市顯著下跌，發出後則股市顯著上漲，顯見其優秀的短期擇時能力。而我們將避險資產VIX產生的買賣訊號進行回溯測試，與技術指標交易策略、買進持有策略進行夏普值比較，結果顯示避險資產VIX策略風險溢酬(夏普值)除了美洲地區指數與部分產業外，較買進持有策略顯著改善，但搭配技術指標之混合策略效果並不好，原因是避險資產VIX策略對短線變動敏感，為避開下跌風險已犧牲許多交易機會，策略在市時間比例僅約40%，因此在搭配技術指標後無法改善風險溢酬。
We design a proxy to measure safe havens’ short term dynamic process by safe havens’ VIXs (Cboe 10-year U.S. Treasury Note Volatility Index, Cboe FX Yen Volatility Index, Cboe Gold ETF Volatility Index), and design the trading signal by the prices rise over or drop down from the 20-day moving average (MA) prices. The basic logic is that if prices of safe havens’ VIXs rise and cross over 20-day MA, it indicates a decreasing risk preference so safe havens tend to fall and equities tend to rise. Indeed, we have proved that the “contrarian” characteristic exists on the trading signal generated by safe havens’ VIXs, especially buy signals. The results showed that the equities dropped significantly before buy signals coming out, and the signals are followed by significantly equities rising, which indicates a good timing ability in short term. Furthermore, we run the back-test to the trading signals generated by the safe havens’ VIXs to get the Sharpe Ratio and compared them with technical indicators trading strategies and buy holding strategies, and the results showed that the risk premium (Sharpe Ratio) of safe havens’ VIX trading strategy is significantly better than buy-and-hold strategy, excepted for Americas index and some industries. However, the results are bad when combining the trading signal of safe havens’ VIXs and that of technical indices. The reason why this situation occurs is the lack of The proportion of strategy time. Safe havens’ VIX trading strategy is sensitive to short-term changes, so the strategy ignores many of the trading opportunities for avoiding from tremendous losses. Therefore, combining the signals from safe havens’ VIXs and technical indices is not a good idea in this case. |
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| Description: | 碩士
國立政治大學
金融學系
105352019 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105352019 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.MB.022.2018.F06 |
| Appears in Collections: | [金融學系] 學位論文
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