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Empirical Analysis Based On Effectiveness Of IVIX In China's Capital Market

Posted on:2019-11-16Degree:MasterType:Thesis
Country:ChinaCandidate:Y X WangFull Text:PDF
GTID:2429330596951868Subject:Finance
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Volatility and its derivatives have matured relatively in foreign financial markets,and relevant researches have been further developed.Many arbitrage products have emerged.By contrast,the options market has just started in our country.On November28 th,2016,the new IVIX officially launched which modeled according to the new method of variance swap employed on new VIX index in 2003.Through the index we can learn about the market's expectations of future volatility in 30 days.The purpose of the introduction of IVIX index is to measure future volatility of securities in the domestic market.This paper research on the relationship of first option product IVIX in our country and relevant market index relied on domestic and foreign research materials based on data processing and empirical analysis to verify the effectiveness of IVIX.Each chapter in this paper has hierarchical relationship.The second chapter discussed basic theories and methods so as to provide proper methods for later chapters.The third chapter provides comprehensive understanding of research object.The fourth chapter makes a deep research on the reasons for the corresponding characteristics of the research object considering the relationship between the IVIX and the stock market.The fifth chapter explores whether the vicissitudes of other markets also influence IVIX.This paper used OLS regression analysis to verify that IVIX showed positive Monday effect and negative Tuesday and Thursday effect.Adjusted equation showedthat IVIX showed information of the Shanghai index daily yield,the asymmetry characteristics of Shanghai composite index daily yield and Shenzhen component index daily yield,the Shanghai index daily change rate of transaction value and the Shenzhen component index daily change rate of transaction value and HSI volatility Index daily change rate of transaction value.According to the adjusted model,we constructed hedging portfolio and added IVIX index could hedge the losses effectively reducing the risk.After studying the basic characteristics of China's first volatility index IVIX,the paper studied the correlation of IVIX with the mainland market,the Hong Kong market and the international market to verify the effectiveness of the IVIX and affirmed the value of IVIX.
Keywords/Search Tags:IVIX, wave cone, OLS regression
PDF Full Text Request
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