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。

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.

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

一、	中文部分
許溪南、郭玟秀、鄭乃誠(2005)，「投資人情緒與股價報酬波動之互動關係：台灣股市之實證」，台灣金融財務季刊，6：3，107-121。

 
二、	英文部分
Baker, M. and J. C. Stein (2004) “Market liquidity as a sentiment indicator,” Journal of Financial Markets, 7, 271-299.
Boscaljon, B., G. Filbeck, and X. Zhao (2011) “Market timing using the VIX for style rotation,” Financial Services Review, 20, 35-44.
Brown, G. W. and M. T. Cliff (2004) “Investor sentiment and the near-term stock market,” Journal of Empirical Finance, 11:1, 1-27.
Copeland, M. M. and T. E. Copeland (1999) “Market timing: Style and size rotation using the VIX,” Financial Analysts Journal, 55, 73-81.
De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann (1990) “Noise trader risk in financial markets,” Journal of Political Economy, 98:4, 703-738.
Fleming, J., B. Ostdiek, and R. E. Whaley (1995) “Predicting stock market volatility: A new measure,” Journal of Futures Market, 15:3, 265-302.
Giot, P. (2002) “Implied volatility indices as leading indicators of stock index returns?,” Working Paper No. 2002/50, University of Leuvain.
Hartmann, U. and F. Ramirez (2013) “Real time detection of turning points in financial time series,” Munich: GRIN Verlag.
Larry, C. (1999), “Extreme volatility trading,” Futures, 38.
Larry, C. (2002), “Timing your S&P trades with VIX,” Futures, 46.
Qadan, M. and G. Cohen (2011) “Is it profitable to invest according to the VIX fear index?,” Journal of Modern Accounting and Auditing, 7:1, 86-90.
Rephael, A. B., S. Kandel, and A. Wohl (2012) “Measuring investor sentiment with mutual fund flows,” Journal of Financial Economic, 104, 363-382.
Schmelling, M. (2009) “Investor sentiment and stock returns: Some international evidence,” Journal of Empirical Finance, 16:3, 394-408.
Simon, D. P. (2003) “The Nasdaq volatility index during and after the bubble,” Journal of Derivatives, 11, 9-24.
Simon, D. P. and R. A. Wiggins (2001) “S&P futures returns and contrary sentiment indicators,” Journal of Futures Market, 21:5, 447-462.
Simon D. P. and Jim Campasano (2014) “The VIX futures basis: Evidence and trading strategies,”Journal of Derivatives, Spring, 54-69
Traub, H., L. Ferreira, M. Mcardle and M. Antognelli (2000) “Fear and greed in global asset allocation,” Journal of Investing, 9:1, 21-37.
Treadway, P. T. and M. C. S. Wong (2013) “Investing in the age of sovereign defaults: How to preserve your wealth in the coming crisis,” New Jersey: Wiley.
Whaley, R. E. (2000) “The investor fear gauge,” Journal of Portfolio Management, 26:3, 12-17.