| 摘要: | 本文研究探討應用技術指標於VIX指數(Volatility Index, VIX) ，能否在VIX期貨市場中獲得超額報酬，VIX指數又稱恐慌指數，因為在股市大幅下跌期間，VIX指數會上升，經常被投資人作為市場氣氛的判斷工具，VIX指數本身是一個不能被交易的資產，2004年CBOE推出VIX期貨商品，當時投資人開始可以透過VIX期貨進行投資，選擇對未來波動率趨勢的預測或將VIX期貨加入投資組合以避險投資組合風險，本研究樣本期間為2007年1月3日至2022年3月25日的日資料，使用賣出持有策略以及選用布林通道(Bollinger Band, BB)、隨機指標(Stochastic Oscillator, KD)及相對強弱指標(Relative Strength Index, RSI)指標進行獲利性的分析，結果表明使用技術指標並不能獲得超額報酬，賣出持有策略仍是VIX期貨中最好的策略。
This paper studies whether the application of technical indicators to the VIX index (Volatility Index, VIX) can obtain substantial returns in the VIX future market. The VIX index is also known as the fear gauge index, because the VIX index will rise during a sharp decline in the stock market. As such, investors utilize VIX to read market sentiment since the VIX index cannot be traded as an asset. In 2004, CBOE launched VIX futures, which let investors began to invest through this market index. Investors can choose to predict future volatility trends or add VIX futures to hedge the risk of the portfolio. The sample period of this research is the daily data from January first, 2007 to March 25th 2022, using the sell and hold strategy, the Bollinger Band (BB), Stochastic Oscillator (KD), and Relative Strength Index (RSI) indicators to analyze the profitability. The results show that using technical indicators cannot obtain excess returns, and the sell and hold strategy is still the best strategy in VIX futures. |
