VIX對崩盤風險之避險功能分析

Hedging against Crash Risk-An Application of VIX Related Derivatives

CBOE（Chicago Board Options Exchange）所推出之VIX指數（Volatility Index）不僅具有高度描述市場風險資訊的能力，亦隱含波動風險與跳躍風險溢酬，換言之，無論是針對帄時因正常漲跌而產生之波動風險，或是在股市恐慌時所造成之崩盤風險，VIX指數均是一項良好的避險工具。本文嘗詴選取美國、韓國以及台灣各自所發展出之波動度指數作為避險工具，分析其對於波動風險以及崩盤風險之避險效果，藉以提供投資人從事風險管理時參考之依據。實證結果顯示波動度指數有不錯的避險效果，並具有迴避崩盤風險之特性。

The Volatility Index (VIX) is capable of describing the market risk information as well as implying the volatility risk premium and jump risk premium. In the other words, volatility index is a hedging tool to hedge both the volatility risk and market crash risk. We analyze the hedging effectiveness of VIX calculated by CBOE, KRX and TAIFEX and find that VIX is a very good hedging tool against crash risk particularly during the financial tsunami period.