波動指數共移對美國債券期貨市場報酬之實證研究

Abstract

本研究旨在探討波動指數共移對美國債券期貨市場報酬的影響。採用量化數據分析方法，透過實證研究波動指數共移對美國債券期貨市場報酬之影響，找出二者間之關聯性，提出有效的投資策略建議。

透過對2000年至2023年美聯儲（Fed）貨幣政策的深入分析，本文梳理了不同經濟階段對債券市場的影響，特別是在快速升息周期對固定收益市場造成的衝擊。本研究總結了波動指數共移對債券期貨市場報酬的影響，並基於研究結果提出了具體的投資建議。從波動指數共移之共同因子的多空交易策略，其結果說明當模型預測未來報酬會低的投組實際上的報酬較低，模型預測報酬會高的投組實際上的報酬較高。根據此模型的預測值進行投資，可以獲得正的報酬。故使用波動指數共移之共同因子建構出的多空交易策略有預測能力及經濟意涵。這些建議旨在幫助投資者在面對市場波動時，能夠制定更好投資策略，從而實現收益最大化。

This study aims to explore the impact of volatility index co-movement on the returns of the U.S. bond futures market. Utilizing quantitative data analysis, it empirically examines the influence of volatility index co-movement on U.S. bond futures market returns, identifies the correlation between the two, and proposes effective investment strategy recommendations.

Through an in-depth analysis of the Federal Reserve's monetary policy from 2000 to 2023, the paper delineates the impact of different economic phases on the bond market, especially the challenges posed during rapid interest rate hike cycles. The research concludes the impact of volatility index co-movement on bond futures market returns and provides specific investment recommendations based on the findings. These suggestions aim to assist investors in formulating better investment strategies to maximize returns amid market fluctuations.