Dynamic relationships between S&P 500 stock index and volatility index

Abstract

[[abstract]]本研究探討S&P500 股價指數與波動率指數之間的關係，實證結果顯示S &P500 股價指數與波動率指數通常具有負向關係，但有些時候波動率指 數會與其標的股價指數呈現正向關係變動， 處於波動率高的期間， 投資 者的不安情緒增高， 股票市場及波動率指數的波動變得更劇烈， 動態相 關性也會變得較弱，且波動率指數與S&P 500 股價指數呈現正相關的頻 率會增加。[[abstract]]This study examines the relationships between S&P 500 stock index and volatility index. The results indicate that the relationships between S&P 500 stock index and volatility index is usually negative. But sometimes volatility index does not move opposite its underlying index. During the high volatility period, the investor fear is greater. The stock market and volatility index are more volatile, the dynamic correlation between S&P 500 stock index and volatility index becomes weaker. And volatility index moves in the same direction with S&P 500 stock index more often