系統識別號 | U0002-2906201722464500 |
---|---|
DOI | 10.6846/TKU.2017.01060 |
論文名稱(中文) | VIX在槓桿型與反向型ETF的擇時能力之研究 |
論文名稱(英文) | The research of market timing of VIX for leveraged and inverse ETFs |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 管理科學學系企業經營碩士在職專班 |
系所名稱(英文) | Executive Master's Program of Business Administration (EMBA) in Management Sciences |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 105 |
學期 | 2 |
出版年 | 106 |
研究生(中文) | 張正怡 |
研究生(英文) | Cheng-Yi Chang |
學號 | 704620169 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2017-06-16 |
論文頁數 | 25頁 |
口試委員 |
指導教授
-
莊忠柱
委員 - 林忠機 委員 - 曹銳勤 |
關鍵字(中) |
槓桿型ETF 反向型ETF VIX 擇時指標 |
關鍵字(英) |
leveraged ETF inversed ETF Volatility Index market timing |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
波動率指數(Volatility Index, VIX)是股市擇時之重要參考指標之一,本研究旨在利用VIX為槓桿型與反向型ETF的擇時指標,利用VIX的買入賣出訊號,建構出投資組合,並觀察其投資績效表現。 本研究所採取之投資策略下槓桿型ETF總投資成功率55.67%;反向型ETF總投資成功率48.15%,即本研究所採取之投資策略分別有55.67%及48.15%的比率為正報酬。由上述結果可知,VIX在反向型ETF有五成的機率可以掌握股票市場的波動率程度,並可有效反應投資人情緒,因而VIX可作為反向型ETF的擇時指標。此外,賣出槓桿型ETF投資成功率達57.3%,而買入反向型ETF投資成功率為66.67%,即市場呈現空頭市場時,賣出槓桿型ETF與買入反向型ETF的投資成功率較高,因而本研究的研究結果可作為投資人投資決策的參考。 |
英文摘要 |
This research is aimed at using Volatility Index (VIX) as the market timing indicator of leveraged and inversed ETF, while using VIX’s buy/sell signals to construct investment portfolios, and to observe their performance. The success rate of entire investment under the leveraged ETF strategy had reached 55.67%, while the success rate under the inversed ETF strategy had reached 48.15%, which indicates that strategies taken in this research had created 55.67% and 48.15% positive return rates, respectively. To sum it up, as the VIX has around 50% chances to know the stock market volatility and efficiently reflect investors’ emotion, VIX may be a market timing indicator of inversed ETF. Moreover, the success rate of selling leveraged ETF had reached 57.3%, while the success rate of purchasing inversed ETF had reached 66.67%, which means when it is in bear market, shorting leveraged ETF and longing inversed ETF are able to create better success rate. |
第三語言摘要 | |
論文目次 |
目錄 淡江大學研究生論文中文提要 Ⅰ Abstract Ⅱ 目錄 Ⅲ 表目錄 Ⅴ 圖目錄 Ⅵ 第一章 前言 1 1.1 研究背景與動機 1 1.2 研究目的 6 1.3 研究範圍與限制 6 1.4 研究架構 7 第二章 研究方法與實證模型 9 2.1 樣本與資料來源 9 2.2 實證模型 9 第三章 實證結果分析 14 3.1 VIX在槓桿型與反向型ETF的擇時能力 14 3.2 槓桿型與反向型ETF投資組合的報酬績效之比較 15 3.3 穩健性分析 17 第四章 結論與建議 19 4.1 結論 19 4.2 建議 19 參考文獻 21 附錄一 樣本基金的基本資料 24 表目錄 表1.1台灣規模前5大ETF 3 表1.2槓桿型與反向型ETF、期貨、選擇權與信用交易之融資融券異同比較4 表2.1槓桿型與反向型ETF的實際交易比例分佈 9 表2.2槓桿型與反向型ETF買賣訊號彙總表 10 表3.1台灣槓桿型ETF各項投資績效分析 15 表3.2台灣反向型ETF各項投資績效分析 15 表3.3槓桿型與反向型ETF投資績效前五名之比較及投資時點 17 表3.4不同VIX門檻值的穩健性分析 18 圖目錄 圖1.1歷年全球槓桿型與反向型市值及檔數成長圖 2 圖1.2歷年全球槓桿型與反向型資產管理規模累計與分佈圖 2 圖1.3研究流程 8 |
參考文獻 |
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