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| 研究生： |
張純菁 Chang, Chung Ching |
|---|---|
| 論文名稱： |
Investor sentiment and the return-implied volatility relation Investor sentiment and the return-implied volatility relation |
| 指導教授： |
周冠男
Chou, Robin K. |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2012 |
| 畢業學年度： | 100 |
| 語文別： | 英文 |
| 論文頁數： | 54 |
| 中文關鍵詞： | 投資人情緒 、隱含波動度 |
| 外文關鍵詞： | investor sentiment, implied volatility |
| 相關次數： | 點閱：352 下載：22 |
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We examine how investor sentiment affects the changes in implied volatility, and discover investor sentiment has impact on the size of the changes in implied volatility through returns, especially when returns are negative. We examine the short-tern relation between the S&P 500 index returns and the changes of VIX from January 1990 to January 2011, and between the NASDAQ-100 index returns and the changes of VXN from February 2001 to January 2011 with proxy for beginning-of-period investor sentiment at both the daily and weekly level. We find that during high sentiment periods, the negative and asymmetric relation of return to changes in implied volatility can be mitigated significantly. When returns are segregated into positive and negative returns, investor sentiment has different impact on the size of changes in implied volatility. In negative returns, investors are more panic than in positive returns, but the panic can be mitigated significantly when investors are in high sentiment. Thus, sentiment can alter the risk attitude of investors and reduce their panic in the future, especially when market has negative performance.
Abstract…………………………………………………………………………………………………………………………IV
List of Tables……………………………………………………………………………………………………………V
Chapter 1. Introduction…………………………………………………………………………………1
1.1. Motivation of the study……………………………………………………………………1
1.2. Objective of the study………………………………………………………………………2
1.3. Chapter outlines………………………………………………………………………………………2
Chapter 2. Literature Review.…………………………………………………………………3
2.1. Empirical evidence on negative return-volatility relation……………………………………………………………………………………………………………………………3
2.2. The leverage and volatility feedback hypotheses………6
2.2.1. The leverage hypothesis………………………………………………………………6
2.2.2. The volatility feedback hypothesis…………………………………7
2.3. Empirical evidence about the impact of investor sentiment on return-volatility relation…………………………………………8
Chapter 3. Data Description and Research Methodology……………………………………………………………………………………………………………………10
3.1. Data and Variable Description………………………………………………………10
3.1.1. Sample period and index variable…………………………………………10
3.1.2. Investor sentiment index………………………………………………………………12
3.2. Methodology………………………………………………………………………………………………………13
3.3. Hypothesis…………………………………………………………………………………………………………15
Chapter 4. Empirical Results……………………………………………………………………17
4.1. Summary statistics of return, volatility and investor sentiment…………………………………………………………………………………………………………………………17
4.1.1. Daily summary statistics………………………………………………………………17
4.1.2. Weekly summary statistics……………………………………………………………17
4.2. Empirical result for daily data…………………………………………………18
4.2.1. Daily results of changes in VIX……………………………………………18
4.2.2. Daily results of changes in VXN……………………………………………19
4.2.3. Conclusions of daily results……………………………………………………20
4.3 Empirical result for weekly data…………………………………………………21
4.3.1. Weekly results of changes in VIX…………………………………………21
4.3.2. Weekly results of changes in VXN…………………………………………23
4.3.3. Conclusions of weekly results…………………………………………………23
Chapter 5. Conclusion………………………………………………………………………………………24
References………………………………………………………………………………………………………………………53
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