1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 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
作者 姜品威
Chiang, Pin-Wei
貢獻者 岳夢蘭
Yueh, Meng-Lan
姜品威
Chiang, Pin-Wei
關鍵詞 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
日期 2025
上傳時間 4-Aug-2025 14:07:37 (UTC+8)
摘要 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.
參考文獻 Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299. Bali, T. G., Subrahmanyam, A., & Wen, Q. (2021). The macroeconomic uncertainty premium in the corporate bond market. Journal of Financial and Quantitative Analysis, 56(5), 1653-1678. Chung, K. H., Wang, J., & Wu, C. (2019). Volatility and the cross-section of corporate bond returns. Journal of Financial Economics, 133(2), 397-417. Dickerson, A., Julliard, C., & Mueller, P. (2023). The corporate bond factor zoo. UNSW Business School Research Paper Forthcoming. Dickerson, A., Mueller, P., & Robotti, C. (2023). Priced risk in corporate bonds. Journal of Financial Economics, 150(2), 103707. Dick-Nielsen, J. (2014). How to clean enhanced TRACE data. Available at SSRN 2337908. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. Gebhardt, W. R., Hvidkjaer, S., & Swaminathan, B. (2005). The cross-section of expected corporate bond returns: Betas or characteristics?. Journal of Financial Economics, 75(1), 85-114. Jostova, G., Nikolova, S., Philipov, A., & Stahel, C. W. (2013). Momentum in corporate bond returns. Review of Financial Studies, 26(7), 1649-1693. Jurado, K., Ludvigson, S. C., & Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177-1216. Li, L. (2002). Macroeconomic factors and the correlation of stock and bond returns. Available at SSRN 363641. Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99(3), 628-650. Ludvigson, S. C., & Ng, S. (2009). Macro factors in bond risk premia. Review of Financial Studies, 22(12), 5027-5067. Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica: Journal of the Econometric Society, 867-887. Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642-685. Yang, Z., & Zhou, Y. (2017). Quantitative easing and volatility spillovers across countries and asset classes. Management Science, 63(2), 333-354.
描述 碩士
國立政治大學
財務管理學系
112357029
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357029
資料類型 thesis
dc.contributor.advisor 岳夢蘭zh_TW
dc.contributor.advisor Yueh, Meng-Lanen_US
dc.contributor.author (Authors) 姜品威zh_TW
dc.contributor.author (Authors) Chiang, Pin-Weien_US
dc.creator (作者) 姜品威zh_TW
dc.creator (作者) Chiang, Pin-Weien_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 14:07:37 (UTC+8)-
dc.date.available 4-Aug-2025 14:07:37 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 14:07:37 (UTC+8)-
dc.identifier (Other Identifiers) G0112357029en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158507-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 112357029zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents 第一章 緒論 1 第二章 文獻回顧 3 第三章 研究方法 5 第一節 資料庫與篩選過程 5 第二節 VIX指數、MOVE指數、UNC指數簡介 6 第三節 實證模型與變數定義 8 第四章 實證結果 12 第一節 敘述統計分析 12 第二節 單變量投資組合分析 15 第三節 雙變量投資組合分析 16 第四節 Fama-MacBeth迴歸 17 第五節 延伸分析 19 第五章 結論 22 附錄 24 參考文獻 30zh_TW
dc.format.extent 993356 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357029en_US
dc.subject (關鍵詞) 公司債zh_TW
dc.subject (關鍵詞) MOVE指數zh_TW
dc.subject (關鍵詞) VIX指數zh_TW
dc.subject (關鍵詞) UNC指數zh_TW
dc.subject (關鍵詞) 橫斷面zh_TW
dc.subject (關鍵詞) Corporate bondsen_US
dc.subject (關鍵詞) VIX indexen_US
dc.subject (關鍵詞) MOVE indexen_US
dc.subject (關鍵詞) UNC indexen_US
dc.subject (關鍵詞) Cross-sectionen_US
dc.title (題名) 波動率風險與公司債橫斷面報酬的關係zh_TW
dc.title (題名) The Relationship Between Volatility Risk and the Cross-Section of Corporate Bond Returnsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299. Bali, T. G., Subrahmanyam, A., & Wen, Q. (2021). The macroeconomic uncertainty premium in the corporate bond market. Journal of Financial and Quantitative Analysis, 56(5), 1653-1678. Chung, K. H., Wang, J., & Wu, C. (2019). Volatility and the cross-section of corporate bond returns. Journal of Financial Economics, 133(2), 397-417. Dickerson, A., Julliard, C., & Mueller, P. (2023). The corporate bond factor zoo. UNSW Business School Research Paper Forthcoming. Dickerson, A., Mueller, P., & Robotti, C. (2023). Priced risk in corporate bonds. Journal of Financial Economics, 150(2), 103707. Dick-Nielsen, J. (2014). How to clean enhanced TRACE data. Available at SSRN 2337908. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. Gebhardt, W. R., Hvidkjaer, S., & Swaminathan, B. (2005). The cross-section of expected corporate bond returns: Betas or characteristics?. Journal of Financial Economics, 75(1), 85-114. Jostova, G., Nikolova, S., Philipov, A., & Stahel, C. W. (2013). Momentum in corporate bond returns. Review of Financial Studies, 26(7), 1649-1693. Jurado, K., Ludvigson, S. C., & Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177-1216. Li, L. (2002). Macroeconomic factors and the correlation of stock and bond returns. Available at SSRN 363641. Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99(3), 628-650. Ludvigson, S. C., & Ng, S. (2009). Macro factors in bond risk premia. Review of Financial Studies, 22(12), 5027-5067. Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica: Journal of the Econometric Society, 867-887. Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642-685. Yang, Z., & Zhou, Y. (2017). Quantitative easing and volatility spillovers across countries and asset classes. Management Science, 63(2), 333-354.zh_TW