風險偏好、VIX期貨基差與 S＆P 500期貨報酬

Risk Appetite, VIX Futures Basis, and S&P 500 Index Futures Returns

本研究以報酬分配、52週高點比率與歷史高點比率捕捉投資人的風險偏好，透過線性迴歸為基礎的決策樹模型探討風險偏好程度是否會影響VIX期貨基差對S＆P 500期貨報酬的影響，並進一步分析在考慮了投資人的風險偏好程度後，是否會能改善VIX期貨基差對S＆P 500期貨報酬的預測績效。實證結果顯示，在相對低的報酬、遠離52週高點及歷史高點時，投資人的風險偏好程度較低，此時VIX期貨基差對S＆P 500期貨報酬會產生正向影響；在相對高的報酬、接近52週高點及歷史高點時，投資人的風險偏好程度較高，此促使VIX期貨基差對S＆P 500期貨報酬產生負向影響。在預測方面，以報酬分配或52週高點比率作為區分風險偏好程度的變數較能提高VIX期貨基差對S＆P 500期貨報酬的預測績效。 This study examines the impact of the VIX futures basis on S&P 500 index futures returns based on the degree of risk appetite using the linear-regression-based tree model. We use return distributions, 52-week high ratio and historical high ratio to capture the investors' risk appetite. Furthermore, we analyze whether the forecasting performance of VIX futures basis on S&P 500 futures return can be improved by considering the influence of risk appetite. The results show that when the return is lower or the price is far from its 52-week high or historical high, the investors' risk appetite is lower, the impact of the VIX futures basis on S&P 500 index futures returns is positive; when the return is higher or the price is nearness its 52-week high or historical high, the investors' risk appetite is higher, the VIX futures basis has a negative effect on subsequent S&P 500 index futures returns. Finally, the forecasting performance of VIX futures basis on S&P 500 futures return improves when using return distributions and 52-week high ratio to distinguish risk appetite.