VIX期貨與VIX交易所交易商品價格發現的實證研究

An Empirical Study on Price Discovery between VIX Futures and VIX Exchange Trading Products

本研究透過Lien and Shrestha （2009）所提出的修正後資訊比例模型衡量不同市場對於價格發現的貢獻程度來探討2012年至2016年VIX期貨與VIX ETPs （VXX、VIXY）之間價格發現能力的強弱。在研究期間中，VECM顯示彼此間存在雙向的回饋機制，VXX領先VIX期貨，VIXY領先VIX期貨，VXX則領先VIXY；修正後資訊比例模型亦顯示VXX在價格發現中具有較強的主導地位。在迴歸分析中，發現在市場上波動程度增加時，反而會使VIX期貨之價格發現能力提升，故投資人可能在市場產生波動變化時，增加投資VIX期貨市場藉此避險。在VIX期貨相對VIXY價格發現中，相對成交量與相對流動性變動率會正向影響VIX期貨價格發現能力，而VXX之相對成交量提高時，則亦會提高其價格發現能力，因而本研究之結論與價格發現理論中之市場資訊假說、流動性假說一致。

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.