英文摘要 |
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. |