英文摘要 |
Past literatures revealed that volatility index (VIX) of Chicago Board Options Exchange (CBOE) is an important market timing indicator. In this paper, we focus on the Taiwan and China market and investigate whether VIX index can be used as an indicator of market timing in these two markets. In contrast to the past literatures, we took 'slow rise and quick fall' into consideration when researching the credibility of VIX index. The empirical results show that VIX index can be utilized as a market timing indicator in Taiwan and China market. The VIX index has a significant contribution in the investment performance, especially when after these two markets launched the qualified foreign institutional investors (QFII) scheme, the average success rate of our investment strategy is 89.47%, and the average return is 28.35%. |