台灣股市與期貨、選擇權市場自開放交易以來，成交量急遽增加。但是投資人往往因為心理因素追高殺低，使得投資績效不彰。本研究使用2005年3月至2005年11月的五分鐘資料，進行交易策略的研究。本研究先以近月份選擇權隱含波動率計算隱含波動率指數（VIX），再利用向量自我迴歸模型（VAR）進行領先落後模型測試。其結果發現，以落後期數為四期的向量自我迴歸模型最能解釋指數報酬率與隱含波動率指數的關係，而以落後五期的向量自我迴歸模型最能解釋期貨報酬率與隱含波動率指數的關係。本研究根據上述兩個模型進行交易策略實證，其報酬率分別為16.57%、16.67%。本研究之策略可以免去投資人心理上的障礙而使投資更有紀律。

The trading volume sharply increased since the stocks, futures and options market has been opened. But investors don’t get much return because the psychological factor. This research used the data between March 2005 and November 2005 to analysis the trading strategy. We use the imply volatility of the near month option to calculate the volatility index (VIX). Then we use the vector auto-regression model (VAR) to analysis the relationship of lead-behind. We find 4 periods lag between index return and VIX is most suitable. 5 periods lag between futures return and VIX is most suitable. We use two model to examine the trading strategy, the returns are 16.57% and 16.67%. The research can avoid the fear of invertors and enhance the discipline of trade.

中文部分
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