市場敏感度與戰略物資ETF分析

The Study of Market Sensitivity and Strategic Materials ETF

本研究探討戰略物資Exchange-Traded Fund（ETF）與金融市場的關聯性，研究期間從2010年11月1日至2024年1月31日，總計3332日之日資料。使用向量自我迴歸模型（Vector Autoregression model，VAR）的衝擊反應函數（Impulse Response Function，IRF）檢測衝擊持續性與影響效果；變異數分解函數（Variance Decomposition Function，VDF）能觀察變數的誤差變異對其他變數的預測變異解釋力。實證結果顯示VIX對REMX（稀土ETF）和GDX（貴金屬ETF）具有顯著影響，同時對SPX（標普500指數）的敏感度亦高。CRB商品期貨指數在大多數情況下對其他ETF影響不顯著，但對PYZ（原物料ETF）表現出較高的敏感度。未平倉比（PCR）主要受其自身過去數據的抑制作用影響，但也對自身和VIX有較大影響。此外，未平倉比對SPX和VIX的敏感度較高，表明市場情緒和波動率對其具有重要影響。

This study examines the relationship between exchange-traded funds (ETFs) that track strategic materials and the performance of financial markets. The research period is from 1 November 2010 to 31 January 2024, encompassing a total of 3,332 days of data. The Impulse Response Function (IRF) of the Vector Autoregression model (VAR) can be employed to detect the persistence and impact of shocks. Similarly, the Variance Decomposition Function (VDF) can be utilized to observe the impact of the error variation of variables on other variables. The predictive variance explanatory power of the variable is to be determined. The empirical results demonstrate that VIX exerts a considerable influence on REMX (rare earth ETF) and GDX (precious metal ETF), while also exhibiting a notable degree of sensitivity to SPX (S&P 500 Index). The CRB index exerts an insignificant impact on other ETFs in the majority of cases. However, it demonstrates heightened sensitivity to PYZ (raw materials ETF). PCR is predominantly influenced by the inhibitory effect of its own historical data, yet it also exhibits a pronounced impact on itself and VIX. Moreover, PCR displays high sensitivity to SPX and VIX, indicating that market sentiment and volatility exert a significant influence on it.