[[alternative]]A study on the dynamic relationships between VIX and stock markets in Asia

[[abstract]] 波動率的變化可以說是金融商品中最難以捉摸的變數，對於衍生性金融商品的價格、避險、以及風險控管，扮演著相當重要的測量角色。有鑒於美國股市在亞洲市場一向扮演著領先的角色，其與亞洲股票市場之漲跌中具有一定的相關性。本文有別於以往的文獻研究，是以VIX波動指數為主要研究重點，觀察其波動變化對於台灣股市、日本股市、南韓股市、新加坡股市、香港股市與MSCI AC亞太指數的影響，並透過GJR-GARCH(1,1)-M模型分析各國波動情形。本文研究期間為2003年9月9日至2008年12月31日，採日資料進行實證分析。本文研究目的主要有二：一為VIX指數波動對於亞洲股票市場是否有其影響性；二、本文亦針對其不對稱性加以分析探討，深入分析VIX指數波動對亞洲股市的影響程度。本研究結果發現VIX指數與亞洲股市之波動成同向波動，當VIX指數上升，亞洲股市波動增加，反之，VIX指數下降，亞洲股市波動下降；另外，GJR-GARCH(1,1)-M得以適切捕捉各國股市之波動情形，亞洲股市之負向未預期衝擊比正向未預期衝擊引起更大的波動，存在波動不對稱的槓桿效果，實證結果不僅對於美國股市的波動得以更有效掌握，對於投資人在投資策略上亦將有極大的助益與參考價值。[[abstract]] The fluctuation rate change may say is variable which in the financial commodity ascertained most with difficulty, regarding the derivative financial commodity price, takes refuge from danger, as well as the risk control, is acting the quite important survey role. Is always acting the leading role in view of the American Stock market in the Asian market, it has certain relevance rise and drop of with in the Asia Stock market. This article is different with the former literature search, is take VIX fluctuation index as the main research key, observes its fluctuation change regarding the Taiwan stock market, the Japanese Stock market, the South Korean Stock market, the Singapore Stock market, the Hong Kong Stock market and MSCI the AC Asian and Pacific index influence, and penetrated the GJR-GARCH(1,1)-M model analysis various countries fluctuation situation, this article studied the period is from September 9th, 2003 to December 31, 2008, picked the date material to carry on the empirical analysis. This article studies the goal mainly to have two: One is VIX index fluctuation regarding Asia Stock market whether has its influentia; Second, this article also aims at its dissymmetry to analyze the discussion, analyzes VIX index fluctuation thoroughly to the Asia stock market's influence. This findings discovered VIX index and Asian Stock market fluctuation the cocurrent fluctuation, when VIX index rise, the Asian Stock market fluctuation increases, otherwise, VIX index drops, the Asian Stock market fluctuation drops; Moreover, GJR-GARCH(1,1)-M can catch fluctuation of situation appropriately various countries' stock market, the Asian stock market the negative inexpectancy impact causes a bigger fluctuation compared to the forward inexpectancy impact, the existence fluctuation asymmetrical release lever effect, the real diagnosis result not can only grasp effectively regarding the American Stock market's fluctuation, will also have enormous being of help regarding the investor in the investment strategy with the reference value