波動性偏態指標與臺灣加權股價指數變動率間的關聯

Connections between Volatility Skew Measures and TAIEX Return

本文使用2002年1月至2013年12月的臺灣市場相關數據，透過歷史波動率與隱含波動率的組合，計算出六種波動性偏態指標；並觀察不同價性、不同成交量篩選門檻，以及金融風暴期間、現貨與選擇權市場間的關聯。結果顯示，臺灣證券交易所加權股價指數的變動率與波動性偏態指標具有和過去文獻一致的關聯性。亦即當市場偏向牛市氣氛時，由歷史與隱含波動率算出的賣權波動性偏態指標，會有縮小的統計特徵，而且其後的現貨市場也會有偏悲觀的趨勢，或是績效變差的轉移特徵。而當市場偏向熊市氣氛時，買權波動性偏態指標，會有放大的統計特徵，而且其後的現貨市場也會有偏樂觀的趨勢，或是績效轉佳的特徵。投資人可以參考本研究結果，納入波動性偏態指標的資訊來制訂投資決策。

With the considerations of moneyness, liquidity filters, sampling periods, realized and implied volatilities, this paper applies six volatility skew measures to examine the information contents between the spot and option markets in Taiwan from January 2002 to December 2013. We find that these measures significantly correlate with the TAIEX return series, and their relationships are consistent with the expected directions as explained in the literatures. Specifically, when bearish/bullish perception arises, the skew measures of implied volatilities of puts and calls become higher/lower, and the skew measures turn smaller/larger. Moreover, the spot market becomes more pessimistic/optimistic and performs poorly/well. This suggests that investors can exploit the information from volatility skew measures for various investment demands in dealing with their equity positions.