本文目的在檢視台灣之VIX指標(VIX, Volatility Index)於反映市場投資人情緒上，是否具有擇時的資訊內涵。本文引用台灣期貨交易所公布之VIX指標做為研究標的，該標的主要參考美國芝加哥選擇權交易所於1993年所推出CBOE 計算VIX 的模式，以台股選擇權的隱含波動度建構台灣市場的波動度指標。本文之研究期間為2013 年1 月1 日至2016 年12 月31 日，採台股指數日頻資料進行實證分析。本研究發現台灣市場波動度指數確實具有擇時能力，然而它的擇時能力表現僅顯示在反映市場過度恐慌的買訊上，但是對於反映市場過度樂觀的賣訊上，則未見顯著的擇時效果，換言之，台指選擇權所建立的VIX指數為一不對稱的擇時指標。 The purpose of this paper is to examine whether the VIX index (VIX) in Taiwan reflects the market sentiment in the market. The Taiwan's VIX index published by Taiwan Futures Exchange which is referred to CBOE's VIX launched in 1993 is used as the timing indicator. The empirical period is sampled from the daily data of January 1, 2013 to December 31, 2016. According to the empirical result, it found Taiwan's VIX is efficiently to be used as the buying signal in reflecting the market's overfear condition, but the timing ability for the selling signal in reflecting the market's overconfident is insignificant. In briefly, the timing ability of Taiwan's VIX is asymmetric.
