市場不確性與高收益公司債風險溢酬

本研究以iShares高收益公司債券作為研究標的，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，在控制攸關變數影響因素後，將市場不確定性因素劃分為金融市場不確定性因素與政策不確定性因素，觀測對美國高收益公司債風險溢酬變化之影響，實證模型採用馬可夫轉換模型進行估計。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顯著相關，而美國股市變化與風險溢酬則呈現正向顯著關係，此外，高收益公司債成交量、利率結構期間及投資人情緒變化，皆一致與高收益公司債風險溢酬呈現負向相關，這些結果皆顥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。

This study conducts the empirical analysis of high-yield corporate bonds of the iShares. Sample period covers from October 18, 2013 to March 31, 2021. After controlling for the impact of relevant variables, we divide market uncertainties into financial market uncertainty and economic policy uncertainty to examine whether there is a significant effect on risk premium of five-year high-yield corporate bonds. Empirical model adopts Markov switching models to measure the effect of different market uncertainties on the change in risk premium for U.S. high-yield corporate bonds. The overall results show that the risk premium of high-yield corporate bonds is not correlated with the uncertainty of U.S. economic policy, while the changes in U.S. stock market present a significant relation with the risk premium of U.S. high yield corporate bonds. Furthermore, trading volume of high yield corporate bond, term structure of bond interest rate and investor’s sentiment present negatively effects on risk premiums of high yield corporate bond. This suggests that investors should consider the potential risk of insufficient information efficiency in the high yield corporate bond market when they tend to decide investment portfolio.