由於隱含波動度具有前瞻性的特質，以往有許多學者探討隱含波動度與標的股價指數間的關聯性，但多利用線性模型。而本研究與其他文獻不同之處在於，本文利用馬可夫轉換模型分析隱含波動度VIX和VXN(VIX為S&P500指數的隱含波動度，而VXN為Nasdaq-100指數的隱含波動度)，馬可夫轉換模型為非線性模型，可捕捉不同區間轉換與不規則跳動，隱含波動度在特殊金融事件發生時會突然竄高，馬可夫轉換模型相對於一般線性模型更可捕捉此跳動，並將隱含波動度分為兩個區間。 　　經由多變量迴歸分析後，本研究也發現隱含波動度的變動以及技術指標的趨勢（偏離五天移動平均值）皆會影響標的股價指數的報酬，但隱含波動度變動對於股價指數報酬的影響高於技術指標，且不同區間存在不同現象。 / Implied volatility indices are forward-looking, and lots of researches discuss the relationship between the implied volatility and underlying stock market returns. Dif-ferent from other studies, we use Marcov switching model to examine the implied volatility indices: S&P 500 volatility index (VIX) and NASDAQ-100 volatility index (VXN), then we separately exploit the different regime behavior about the relationship between implied volatility change, technical indicators and stock market returns. As a result, S&P 500 index and NASDAQ-100 index respond in opposite direc-tions to positive and negative S&P 500 volatility index (VIX) and NASDAQ volatility index (VXN) changes, where technical indicators do not have that much influence on stock market returns. In addition, the impact of implied volatility change, technical indicators to stock market returns indeed depend on different regimes.

Stock market volatility has been an important subject in the finance literature for which now an enormous body of research exists. Volatility modelling and forecasting have been in the epicentre of this line of research and although more than a few models have been proposed and key parameters on improving volatility forecasts have been considered, finance research has still to reach a consensus on this topic. This thesis enters the ongoing debate by carrying out empirical investigations by comparing models from the current pool of models as well as exploring and proposing the use of further key parameters in improving the accuracy of volatility modelling and forecasting. The importance of accurately forecasting volatility is paramount for the functioning of the economy and everyone involved in finance activities. For governments, the banking system, institutional and individual investors, researchers and academics, knowledge, understanding and the ability to forecast and proxy volatility accurately is a determining factor for making sound economic decisions. Four are the main contributions of this thesis. First, the findings of a volatility forecasting model comparison reveal that the GARCH genre of models are superior compared to the more ‘simple' models and models preferred by practitioners. Second, with the use of backward recursion forecasts we identify the appropriate in-sample length for producing accurate volatility forecasts, a parameter considered for the first time in the finance literature. Third, further model comparisons are conducted within a Value-at-Risk setting between the RiskMetrics model preferred by practitioners, and the more complex GARCH type models, arriving to the conclusion that GARCH type models are dominant. Finally, two further parameters, the Volatility Index (VIX) and Trading Volume, are considered and their contribution is assessed in the modelling and forecasting process of a selection of GARCH type models. We discover that although accuracy is improved upon, GARCH type forecasts are still superior.

CBOE於2006年2月推出了VIX選擇權，本論文利用2006年2月24日至2010年6月30日的VIX選擇權資料，計算出其隱含波動度，結果發現VIX選擇權的隱含波動度具有以下性質：(1)隱含波動度隨著價內外程度的提高而上升，故其笑狀波幅大致呈現由左下至右上的型態；(2)隱含波動度隨著到期時間的減少而上升，愈長期的合約平均來說隱含波動度愈低；(3)隨著到期時間的減少，笑狀波幅的斜率更為增加，即隨著到期日的接近，微笑波幅更為陡峭，價內和價外選擇權的隱含波動度的差距加大；(4)VIX和VIX的波動度具有正向的不對稱關係，即VIX的上漲將使VIX波動度上升，且VIX上漲使VIX波動度上升的幅度大於VIX下跌使VIX波動度下降的幅度。 VIX選擇權中，除了價內外程度，到期時間也扮演著相當重要的角色。不論是從樣本內的配適度或是從評價結果來看，加入到期時間因子後，誤差都有大幅的改善，顯示到期時間對於評價選擇權價格很重要，以價內外程度和到期時間作為解釋變數的模型在評價上擁有最高的準確度，而且評價誤差相當穩定，在各個年度當中並沒有明顯的落差。 而本文最佳的模型與Wang ＆ Daigler (2011)使用過去各個模型得到的評價誤差作比較，即便和Wang認為最佳的Whaley模型相比，誤差仍然勝過Whaley模型，因此我們可以推論市場上的交易者或許仍然是採用較簡單的方式來評價選擇權，而非透過類似Lin ＆ Chang此類複雜的模型。

This thesis analyses the impact of announcements of macroeconomic indicators in United States on price development of the VIX Futures, S&P500 Futures and EUR/USD FX rate. Theoretical part contains construction and description of individual markets. Empirical part investigates the reaction of market prices after 1, 10 and 30 minutes after announcement of an individual indicator value on a market surprise demonstrated as a difference between reported value and analysts' expectations. We tried to find a systematic reaction of market participants and the pace of absorption of new information into the market price. There have been found minimum of situations, where we explained the market move as a linear combination of market surprise. However, there was a several cases, where the market did not adjust to announced information quickly and was inefficient in a short period. In the second part of empirical research we tested all significant models on an out-sample data. The goal was to determine whether the market inefficiencies persisted and stable profit could be achieved. We analysed the brutto performance, then netto performance including all transaction costs. Finally, we defined a simple trading rules with a purpose of profit stabilization and lowering the riskiness of trades. For VIX Futures and EUR/USD markets we achieved a low loss, respectively negligible profit. For S&P 500 Futures we obtained a profit strategies for all selected indicators, total profit was high with a very low volatility of invested capital.

Cette recherche doctorale est consacrée à l’étude de la vaisselle céramique des territoires du Centre-Est de la France (Île-de-France, sud de la Champagne et nord de la Bourgogne), pour la période couvrant le milieu du VIe et la fin du Ve siècle av. J.-C. En l’absence de déposition céramique dans les tombes, l’étude se focalise sur les contextes d’habitats, dont la documentation s’est multipliée ces 30 dernières années grâce à la systématisation d’une archéologie préventive. Si la céramique du site de Vix est considérée dans ce travail, elle est confrontée à l’ensemble des sites d’habitats pris en compte dans le contexte régional. Un corpus conséquent de 67 sites est sélectionné au sein d’un inventaire préalable de 414 sites. Plusieurs dizaines de milliers de restes céramiques et environ 7000 vases sont présentés, analysés et remis en contexte. Le catalogue (deux volumes), élaboré comme un outil de référence, présente de manière raisonnée la documentation des sites, les études et les planches du mobilier céramique. Le volume de texte (volume I) réunit les différentes étapes de l’analyse synthétique. À la suite de la présentation des cadres de l’étude et des réflexions méthodologiques, est exposée l’analyse chrono-culturelle. La mise au point d’un système de description et de classement typologique des productions céramiques non tournées et façonnées au tour, permet d’élaborer une analyse quantitative et qualitative des corpus de sites et des assemblages mobiliers. L’analyse chronologique fondée sur la mise en évidence de faciès typologiques caractéristiques, s’appuie sur un traitement statistique par sériation automatique. Elle met en évidence une évolution progressive des répertoires et débouche sur la définition d’une périodisation en cinq étapes qui affine le séquençage de la période. La position chronologique de ces étapes est analysée sur la base du croisement avec d’autres indices mobiliers (parures métalliques ou autres, céramiques d’importation…) permettant d’évaluer leur correspondance avec les périodes du Ha D1, Ha D1/2, Ha D2, Ha D3 et LTA1 de la chronologie allemande conventionnelle. D’un point de vue culturel, la zone d’étude et le Centre-Est d’une manière générale, affirment dès le Hallstatt, une certaines unité avec de relatives sous entités et influences discernables, se différenciant des zones culturelles plus atlantiques, septentrionales (domaine Aisne-Marne), mais aussi des territoires « nord-alpin » de l’Est et du Sud-Est. La répartition du décor peint « vixéen » est un marqueur emblématique de cet espace. Les phénomènes d’influences régionales et de marges culturelles sont étudiés. Certaines singularités régionales s’affirment davantage à partir de LT A, particulièrement appréhendables dans un espace Sénon, elles annoncent les territoires de la fin de l’âge du Fer. À partir de l’élaboration de ce cadre chrono-culturel, l’économie de l’artisanat céramique est envisagée par l’analyse des modes de production, de diffusion et de consommation, permettant d’aborder la valeur hiérarchique des différents « services » céramiques. Si la vaisselle non tournée correspond à des productions locales nombreuses, peu diffusées et à une standardisation d’usage commun qui illustre une société rurale traditionnelle, la vaisselle façonnée au tour se présente comme une production innovante, très spécialisée et de statut luxueux, qui est initiée au Ha D2/3 dans le contexte spécifique des résidences aristocratiques, notamment du site de Vix et n’apparaît que dans les contextes privilégiés. Sur la base des connaissances réunies sur les habitats et des informations tirées de cette étude, une hiérarchisation des formes de l’habitat, tenant compte de la pluralité des apports et indices, est proposée. Elle permet d’alimenter les réflexions sur les dynamiques sociales et culturelles des sociétés, prévalant à l’organisation territoriale et au développement historique de ces populations celtiques. / This thesis examines pottery dating from the middle of the 6th to the end of the 5th century BC, from Central-Eastern France, an area located between Northern Burgundy and the western confines of the Ile de France region. Confronted by the absence of pottery in well dated funerary contexts, the focus of this study is on settlement contexts, the documentation of which has multiplied in the last 30 years thanks to a systematic approach to archaeology and its professionalization. The pottery assemblages of Vix are of course included in this work and they are compared to assemblages from other regional settlement sites. 67 sites have been selected from a corpus of 414. Tens of thousands of sherds and over 7000 vessels are presented, analyzed and subsequently replaced into context. The catalogue (two volumes) has been developed to be used as a reference tool; it includes documentation on each site, pottery studies and illustrations of the vessels. The volume 1 presents the different stages of this analysis. After the presentation of the study’s framework and methodology, the chrono-cultural analysis uses a pre-determined descriptive system and a typological classification of what is known as the “traditional” hand thrown pottery production and of the “new” productions of wheel thrown pottery. This has led to the elaboration of a quantitative and qualitative examination of the sites and the pottery assemblages. The chronological approach is based on the definition of characteristic assemblage facies using statistical analysis and computerized serialization. This approach highlights a progressive evolution of pottery that can be divided into five phases, thus sequencing pottery for the whole period. The position of each phase is defined by comparison with objects such as jewelry or other metallic objects, imported pottery, etc. in order to correlate them with the Ha D1, Ha D1/2, Ha D2, Ha D3 and LTA1 periods of the conventional German chronology. The variation in pottery typology has brought to the fore the specifics of regional productions from as early as the Hallstatt period. These productions can be distinguished from the Atlantic and Northern (Aisne-Marne domain) cultural entities but also from the North-Alpine zone to the East and South-East. The distribution of the “Vix” painted motifs is emblematic of these productions. The phenomena of local influences and cultural fringes are also studied. Other regional originalities appear more visible during the LTA and are particularly present in the Sénon area announcing the cultural territories of the end of the Middle and Late Iron Age. Using the chrono-cultural framework other aspects of pottery production, diffusion and consumption have been studied and used to determine the hierarchy of certain pottery services. We can consider that hand thrown pottery corresponds to the many local productions defined by their limited diffusion and their standardization for common use, which is intrinsic to a traditional rural society. Wheel-thrown pottery can however be seen as an innovation, a specialized production and a sign of luxury that first appears during the Hallstat D2/3 in aristocratic residences such as Vix. Using the information from settlements and the results of this study, different settlement types have been placed within a hierarchical framework taking into account the plurality of the input and elements is proposed. These different aspects are employed in defining the social and cultural interactions that prevail over the organisation and the historical development of Celtic communities.

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results, supporting the simpler-is-better contention. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of stock index option pricing models. In Chapter IV, I explore risk pricing through a model of time-changed Lévy processes based on the joint evidence from individual stock options and underlying stocks. I specify a pricing kernel that prices idiosyncratic and systematic risks. This approach to examining risk premia on stocks deviates from existing studies. The empirical results show that the market pays positive premia for idiosyncratic and market jump-diffusion risk, and idiosyncratic volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The positive premium on idiosyncratic risk runs contrary to the implications of traditional capital asset pricing theory.

Investors herd when they follow the investment decisions of other market participants and ignore their own private information, causing asset valuations to deviate from their fundamentals. This paper examines herding in the South African equity market by examining the impact of investor fear on herding behavior, using a survivorship-bias free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the global financial crisis of 2007/08. The results suggest no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, investor herd behaviour appears to be sensitive to spill-over effects from the US investor fear-gauge, suggesting interconnectedness with global financial markets. Therefore, these findings suggest that fear plays an important role in enforcing irrational behaviour.

This study examines the Chicago Board Option Exchange (CBOE) Volatility Index (VIX) which is the implied volatility calculated from short-term option prices on the Standards & Poor’s 500 stock index (S&P 500). Findings suggest VIX overestimates average volatility by approximately 3% but explains 55% of S&P 500’s proceeding month’s volatility. The implied volatility (IV) from options on the VIX add additional explanatory power for the S&P’s 500 proceeding kurtosis values (a measure of tail risk). The VIX option’s volatility smirks did not add additional explanatory power for explaining the S&P 500 volatility or kurtosis. A simple trading rule based on buying the S&P 500 whether the VIX, IV from the options on the VIX, and the VIX option’s volatility smirk decline over the preceding month results in an additional 0.96% return in the following month. However, this only occurs approximately 10% of the time and does not outperform a simple buy-and-hold strategy as the strategy has the investor out of the market the majority of the time.

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