市埸不確定性對高收益公司債風險溢酬之影響

為了探討市場不確定性因素對美國高收益公司債風險溢酬變化的影響，本研究以iShares五年期間高收益公司債作為研究標的，樣本期間擷取2013年10月18日年至2021年3月31日之日頻資料，收集高收益債每日收盤價及成交量，在控制美國標準普爾500指數與十年公債與一年期國庫券之利差影響後，將市埸不確定因素劃分為金融市埸不確定因素與政策不確定因素，並以恐慌指數(Volatility Index, VIX) 作為在金融市埸投資人投資情緒，對於總體環境、政策環境及經濟層面的衡量，則採用美國經濟政策不確定因素(United States Economic Policy Uncertainty)，據以作為市場不確定性因素代理變數及觀測對美國高收益公司債風險溢酬變化之影響，模型採用馬可夫轉換模型，實證結果發現美國高收益公司債風險溢酬與美國經濟政策不確定因素並無相關，而美國股市變化與風險溢酬則呈現正相顯注關係，此外，高收益公司債成交量、債券利率結構期間的變化及投資人情緒與高收益公司債風險溢酬成負向相關，這些結果皆顯示高收益公司債風險溢酬變化，並無法有效反應金融市場的不確定性風險，如此也建議投資人在進行投資決策時，應考量高收益公司債券市場具有資訊效率不足的潛在風險。

關鍵字

高收益公司債；風險溢酬；恐慌指數；美國經濟政策不確定因素

並列摘要

To examine the impact of market uncertainty on the change of risk premium of U.S. high-yield corporate bonds, this study uses iShares five-year high-yield corporate bonds as the subject of the study, and collects daily closing prices and volumes of high-yield bonds from October 18, 2013 to March 31, 2021. After controlling for the impact of spreads between the S&P 500 Index and 10-year bonds and one-year treasury bills, the market uncertainties are classified into financial market uncertainties and policy uncertainties, and the Volatility Index (VIX) is used as a measure of investor sentiment in the financial market. The model uses a Markov transformation model to measure the impact of market uncertainty on the change of risk premium of U.S. high-yield corporate bonds and the results show that the risk premium of U.S. high-yield corporate bonds is not correlated with the uncertainty of U.S. economic policy, while the change of U.S. stock market is correlated with the risk premium of U.S. high yield corporate bonds. In addition, high yield corporate bond turnover, changes in bond interest rate structure and investor sentiment are negatively correlated with high yield corporate bond risk premiums. This suggests that investors should consider the potential risk of insufficient information efficiency in the high yield corporate bond market when making investment decisions.