投資人情緒對債券ETF的影響

The Impact of Investor Sentiment on Bond ETF

近年來台灣債券ETF市場成長快速，其發行規模已經來到亞太地區第一名。Csontó (2014)研究指出市場不確定性上升將牽動不同金融資產交易的相關性顯著上升，因而改變投資人最佳資產配置組合，故本研究主要是探討股票市場的投資人情緒與債券市場的投資人關注，在市場存在低或高不確定性期間，將如何影響債券ETF的溢酬？結果發現在股票市場不確定性高升的情境下，股票市場的投資人情緒對債券ETF的溢酬有顯著跨市負向影響，而投資人關注提升則有助於債券ETF的溢酬，此一現象主要是出現在風險等級較低的RR2債券ETF。另外觀察不同溢價程度的債券ETF其30天內報酬變化後，我們建構一個同時做多放空的投資策略，驗證發現台指選擇權波動率可以預測投資組合及高折價債券ETF的報酬。

Recently, bond exchange-traded funds (ETFs) have grown rapidly in Taiwan with the largest scale in Asia. According to Csontó (2014), increasing correlation between financial assets during high-volatility periods would change the composition of the optimal portfolio if asset allocation decisions consider regime shifts. This paper examines whether the stock market sentiment and the bond market investor attention would affect bond ETF premiums during different regimes classified by VIX. We find that the stock market sentiment indeed has a significantly negative cross-market impact on the bond ETF premiums and investor attention actually aids to increase the bond ETF premium during high-volatility periods. Evidence is primarily arising from the bond ETFs with the low risk level labelled by “RR2”. Furthermore, we rank bond ETFs by their premiums to investigate their changes in returns over subsequent 30 days and establish a portfolio by longing bond ETFs with discounts and shorting bond ETFs with premiums. Our results show that VIX could predict portfolio returns and returns of bond ETFs with large discounts.