避險資產與已開發國家股票市場及新興市場之關係比較研究

本研究期間為2000年1月3日至2021年9月8日，樣本爲黃金、美國公債利率、VIX、日圓、瑞士法郎等避險資產，以及MSCI已開發國家股價指數與新興國家股價指數，運用雙變量VAR-GARCH模型等方法進行研究，分析五種避險資產分別與已開發國家、新興國家股市之跨市場波動外溢效果及避險效果。首先，探討變數間之報酬連動與波動外溢效果發現，VIX會負向影響已開發國家股市及新興國家股市報酬；而黃金、美國公債與瑞郎僅正向影響新興國家股市報酬，此代表就已開發國家股市而言，僅有VIX為避險資產；新興國家股市中VIX與美國公債可為避險資產。於跨市場之訊息衝擊外溢效果(ARCH)發現，已開發國家及新興國家股市前期非預期衝擊皆會加劇黃金、美國公債與日圓之波動度。VIX、瑞郎前期衝擊均會加劇兩類國家股市之波動度。日圓之衝擊僅加劇已開發國家股市之波動度；美國公債之衝擊僅會加劇新興國家股市之波動度。其次，本研究發現跨市場GARCH效果與前述ARCH效果符號相反。其中已開發國家及新興國家股市前期波動度皆會減緩黃金、美國公債與日圓之波動度。另外，VIX及瑞郎前期波動皆會減緩已開發及新興國家股市之波動度。而已開發及新興國家股市前期波動卻會加劇VIX及瑞郎之波動度。再者，於全樣本期間發現兩類國家股市投資人之投資組合最適權重排序相同但比重略有差異，比重最高為美國公債，其次為日圓，接續為瑞郎，再者爲黃金，最後為VIX。在次貸危機及新冠疫情期間，兩類國家股市投資於美國公債之最適權重皆上升至100%；已開發國家股市投資人較傾向利用日圓避險；新興國家股市投資人則較傾向選擇瑞郎進行避險。於全期樣本、次貸危機、疫情等期間，兩類國家股市投資人利用黃金、美國公債進行避險時應採取反向策略；而VIX及日圓應採取同向避險策略操作。瑞郎於全期樣本及次貸危機期間，避險策略應採取反向操作；於新冠疫情期間應改採同向操作。觀察避險績效得知，於全樣本及次貸危機期間無論已開發國家或新興國家股市，美國公債之避險效果最好，其次爲日圓，第三為瑞郎。最後，發現於次貸危機、疫情期間五種資產之避險效果皆比樣本全期顯著提升，代表此五種資產可在危機期間發揮不錯之避險功效。

關鍵字

已開發國家股市；新興國家股市；避險資產；波動外溢效果；避險績效；美國公債

並列摘要

The sample variables include five safe-haven assets such as the gold, U.S. Treasury bond, VIX, Japanese yen, and Swiss franc, as well as the MSCI developed countries stock price index and emerging countries stock price index. Using bivariate VAR-GARCH model, this research analyzes the cross-market volatility spillover effects and hedging effects among the five safe-haven assets, developed stock markets and emerging stock markets. First, regarding the return linkage across markets, it is found that the VIX has a negative impact on the developed stock markets and emerging stock markets; while the gold, U.S. T-bond and Swiss franc have negative impacts on the emerging stock markets. This result suggests that only VIX is a safe-haven asset for developed markets, and the VIX and U.S. T-bonds can be safe-haven assets for emerging markets. Second, regarding the cross-market ARCH effects, the unexpected shocks of both developed and emerging stock markets have heightening effects on the gold, US T-bond and the yen. On the other hand, the past shocks of the VIX and the Swiss franc have heightening effects on both countries' stock markets. The past shocks of the yen only have heightening effects on the developed markets, while the past shocks of the U.S. T-bond only have heightening effects on the emerging markets. Third, regarding the cross-market GARCH effects, the effects of the past volatilities across markets is the opposite of the ARCH effects. The past volatilities of developed and emerging markets have calming effects on the gold, US T-bond and the yen. Additionally, the past volatilities of the VIX and Swiss franc have calming effects on both developed and emerging markets. However, the past volatilities of developed and emerging markets have heightening effects on the VIX and Swiss franc. Finally, during the full sample period, the ranks of the optimal weights of safe-haven assets in the portfolios are the same, but the weights are slightly different. During the crisis, the optimal weight of U.S. T-bond rose to 100% in both stock markets. Investors in the developed markets prefer to choose the yen to hedge risks, while investors in emerging markets tend to choose the Swiss franc during the crisis. The result shows that a long position taken in the developed or emerging stock markets should be hedged by a short position on the gold and US T-bonds. But the hedge of VIX and Japanese yen is formed by either being long or being short on both stock and assets. For the Swiss franc hedge, investors should take opposite position durning the subprime mortgage crisis, but they should take the same position during the COVID-19 pandemic. In the full sample and the subprime mortgage crisis, the hedging effectiveness is highest for US T-bonds, followed by the Japanese yen, and the third is the Swiss franc. The hedging effectiveness of the five assets rose significantly during the crisis, indicating that these five assets can provide effective hedging effects during the crisis.