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| Title: | 波動率風險與公司債橫斷面報酬的關係
The Relationship Between Volatility Risk and the Cross-Section of Corporate Bond Returns |
| Authors: | 姜品威
Chiang, Pin-Wei |
| Contributors: | 岳夢蘭
Yueh, Meng-Lan
姜品威
Chiang, Pin-Wei |
| Keywords: | 公司債
MOVE指數
VIX指數
UNC指數
橫斷面
Corporate bonds
VIX index
MOVE index
UNC index
Cross-section |
| Date: | 2025 |
| Issue Date: | 2025-08-04 14:07:37 (UTC+8) |
| Abstract: | 本研究旨在探討波動率風險與總體經濟不確定性是否為公司債定價的重要風險因子。分別以VIX指數、MOVE指數與UNC指數作為代表變數，衡量股市波動性、公債波動性與總體經濟不確定性，分析三項指數所提供之資訊是否具有差異性。VIX指數反映投資人對未來股市波動的預期，MOVE指數則捕捉公債市場參與者對利率變動的不確定性，UNC指數則衡量總體經濟環境中「無法預測的波動性」。本研究Fama-MacBeth橫斷面迴歸的實證結果顯示：具有較高 𝛽𝑉𝐼𝑋的公司債，其未來報酬率顯著低於𝛽𝑉𝐼𝑋較低者，顯示投資人對股市波動風險要求負向風險溢酬；𝛽𝑈𝑁𝐶亦呈現相同結果，即總體不確定性亦為重要的風險來源。相較之下，𝛽𝑀𝑂𝑉𝐸對公司債報酬率並無顯著解釋力，顯示公債波動風險未被公司債市場定價。
This study aims to examine whether volatility risk and macroeconomic uncertainty are important risk factors in the pricing of corporate bonds. The VIX, MOVE, and UNC indices are used to capture equity market volatility, treasury market volatility, and macroeconomic uncertainty, respectively. Correlation analysis reveals that these three indices convey distinct types of information: the VIX reflects investors’ expectations of future equity market volatility, the MOVE index captures uncertainty about interest rate movements among treasury market participants, and the UNC index measures the "unpredictable volatility" within the broader economic environment. Besides, based on the empirical results of the Fama-MacBeth cross-sectional regression, corporate bonds with higher 𝛽𝑉𝐼𝑋 exhibit significantly lower future returns compared to those with lower 𝛽𝑉𝐼𝑋, suggesting that investors demand a risk premium for exposure to equity market volatility. A similar pattern is observed for the 𝛽𝑈𝑁𝐶, indicating that macroeconomic uncertainty is also a priced source of risk. In contrast, the 𝛽𝑀𝑂𝑉𝐸 shows no significant explanatory power for corporate bond returns, implying that interest rate volatility is not priced in the corporate bond market. |
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| Description: | 碩士
國立政治大學
財務管理學系
112357029 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112357029 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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