淡江大學機構典藏:Item 987654321/126735
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    題名: VIX期貨與VIX交易所交易商品價格發現的實證研究
    其他題名: An Empirical Study on Price Discovery between VIX Futures and VIX Exchange Trading Products
    作者: 洪瑞成;邱建良;葉宗翰
    關鍵詞: VIX Futures;VIX ETPs;Price Discovery;VECM;Modified Information Share
    日期: 2018-04
    上傳時間: 2025-03-20 09:22:00 (UTC+8)
    出版者: 台灣期貨交易所
    摘要: This study uses the modified information share (MIS) approach of Lien and Shrestha (2009) to measure relative price discovery ability between VIX futures and VIX ETPs (VXX and VIXY) during 2012 to 2016. The empirical results of VECM model indicate that there are bi-directional feedbacks between VIX futures and VIX ETPs. In addition, the MIS shows that the VIX ETPs dominates in price discovery process for most of the time during research period; however, the regression analysis exhibits that the relative price discovery ability of VIX futures significantly increases when VIX and VVIX raise. These results imply that the information of market risk mainly occurs in VIX futures market, and are consistent with market-wide information hypothesis and liquidity hypothesis.
    關聯: 期貨與選擇權學刊，11(1)，Pp.39-73
    DOI: 10.6846/TKU.2017.00271
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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