本研究以事件研究法探討新冠疫情(COVID-19)對交易波動性商品的影響。 實證內容以 2017 年至 2020 年 VIX 期貨作為研究對象，並以世界衛生組織公佈之 新冠疫情大流行階段 2020 年 3 月 11 日作為新冠疫情開始日，結合 Trading Volatility 所提供波動性交易指標作為每日進出市場之依據，探討在新冠疫情期間交易 VIX 期貨是否會產生異常報酬。
實證結果顯示，以該交易指標作為每日進出市場之依據，在疫情前及疫情期間 確實會有不同效果，尤其是以收盤前 45 分鐘及 60 分鐘價格結算報酬時，其結果 會更加明顯。另外，本研究為了提高交易指標可用性，在交易策略上額外加上交易 門檻及波段交易策略，發現加入後新冠疫情對交易 VIX 期貨的影響會更明顯。因 此，以 Trading Volatility 所提供之波動性交易指標實證新冠疫情對於交易 VIX 期 貨確實會有所影響。

This study employs the event study method to investigate the impact of the COVID-
19 pandemic on trading volatility products. The empirical analysis focuses on VIX futures from 2017 to 2020 as the research subject. The World Health Organization's declaration of the COVID-19 outbreak on March 11, 2020, is considered the starting point of the pandemic phase. By utilizing the Trading Volatility index as a daily market entry and exit indicator, the study examines whether trading VIX futures during the COVID-19 period generates abnormal returns.

The empirical findings indicate that using the trading indicators as the basis for daily market entry and exit shows different effects before and during the pandemic, particularly when settling returns based on prices in the last 45 and 60 minutes of the trading day. Furthermore, to enhance the usability of the trading indicator, this study incorporates trading thresholds and swing trading into the trading strategy. The results demonstrate that the impact of the COVID-19 pandemic on trading VIX futures becomes more pronounced when these additional trading elements are included. Therefore, empirical evidence based on the Trading Volatility indicators confirm the influence of the COVID- 19 pandemic on trading VIX futures.

論文審定書 ....................................................................................................................... i 摘要 .................................................................................................................................. ii Abstract............................................................................................................................ iii
目次 ................................................................................................................................. iv
圖目錄 .............................................................................................................................. v
表目錄 ............................................................................................................................. vi
第一章 緒論 .............................................................................................................. 1
第二章 文獻回顧 ...................................................................................................... 4
第一節 波動率交易(VolatilityTrading)......................................................4 第二節 VIX 指數與 VIX 期貨 ......................................................................... 7
第三節 新冠疫情如何影響金融市場 ............................................................ 10
第四節 交易策略指標 .................................................................................... 12
第三章 研究方法 .................................................................................................... 20
第一節 資料來源與研究期間 ........................................................................ 20
第二節 敘述統計 ............................................................................................ 22
第四章 實證結果 .................................................................................................... 26
第ㄧ節 全樣本期間實證結果 ........................................................................ 26
第二節 疫情期間實證結果 ............................................................................ 29
第三節 波段交易 ............................................................................................ 32
第五章 結論 ............................................................................................................ 35
參考資料 ........................................................................................................................ 37

Albulescu, C. T. (2021). COVID-19 and the United States financial markets’ volatility. Finance research letters, 38, 101699.
Alexander, C., & Korovilas, D. (2012). Understanding ETNs on VIX futures. Available at SSRN 2043061.
Alexander, C., Kapraun, J., & Korovilas, D. (2015). Trading and Investing in Volatility Products. Financial Markets, Institutions & Instruments, 24(4), 313–347.
Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities?. Research in international business and finance, 54, 101249.
Bennett, C., & Gil, M. A. (2012). Volatility trading. Trading volatility, Correlation, Term Structure and Skew, Santander Equity Derivatives.
Carr, P., & Wu, L. (2009). Variance risk premiums. The Review of Financial Studies, 22(3), 1311-1341.
Chen, Y. L., & Tsai, W. C. (2017). Determinants of price discovery in the VIX futures market. Journal of Empirical Finance, 43, 59-73.
Cheng, I. H. (2020). Volatility markets underreacted to the early stages of the COVID- 19 pandemic. The Review of Asset Pricing Studies, 10(4), 635-668.
Christensen, B. J., and Prabhala, N. R. (1998). The relation between realized and implied volatility. Journal of Financial Economics, 50, 125–150.
Duan, J. C., & Yeh, C. Y. (2010). Jump and volatility risk premiums implied by VIX. Journal of Economic Dynamics and Control, 34(11), 2232-2244.
Fassas, A. (2016). The relationship between VIX futures term structure and S&P500 returns. Available at SSRN 2841384.
Fernandez-Perez, A., Frijns, B., & Tourani-Rad, A. (2017). When no news is good news–The decrease in investor fear after the FOMC announcement. Journal of Empirical Finance, 41, 187-199.
Haroon, O., & Rizvi, S. A. R. (2020). COVID-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of behavioral and experimental finance, 27, 100343.
Johnson, T. L. (2017). Risk premia and the vix term structure. Journal of Financial and Quantitative Analysis, 52(6), 2461-2490.
Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal ofEnvironmental Research and Public Health, 17(8), 2800.
Nossman, M., & Wilhelmsson, A. (2009). Is the VIX futures market able to predict the
VIX index? A test of the expectation hypothesis. The Journal of Alternative Investments, 12(2), 54-67.
Ornelas, J. R. H., & Mauad, R. B. (2019). Volatility risk premia and future commodity returns. Journal of International Money and Finance, 96, 341-360.
Ruetz, M. (2019). VIX Futures Return Decomposition (Doctoral dissertation,University of Minnesota).
Shu, J., & Zhang, J. E. (2012). Causality in the VIX futures market. Journal of Futures Markets, 32(1), 24-46.
Wang, Y. H. (2013). Volatility information in the trading activity of stocks, options, and volatility options. Journal of Futures Markets, 33(8), 752-773.
Whaley, R. E. (2000). The investor fear gauge. Journal of Portfolio Management, 26, 12–26.
Whaley, R. E. (2013). Trading volatility: At what cost?. The Journal of Portfolio Management, 40(1), 95-108.
Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance research letters, 36, 101528.
Zhang, J.E., Shu, J. and Brenner, M. (2010), The new market for volatility trading. J. Fut. Mark., 30: 809-833.
周雨田,、陳唯帆、殷正華(2011)，VIX 對崩盤風險之避險功能分析，Journal of Futures and Options Vol.4 No.2 November 2011