影響公司債ETF流動性的因素 — 利率與VIX

Abstract

本篇論文透過不同的模型驗證了利率與VIX對提升公司債ETF的流動性有顯著的正面影響；當利率上升時，無論是公司債ETF的週轉率還是買賣價差都有顯著地改善，而其中又以短天期債券利率走勢對公司債ETF流動性的影響最為強烈；當VIX上升時，公司債ETF的流動性顯著提升，而其中當VIX高於中位數時，VIX變化對公司債ETF流動性的影響較為強烈；兩項因素影響公司債ETF流動性的效果較適用於投資級債券佔比較高的公司債ETF，利率與VIX上升對投資級債券佔比較低公司債ETF的流動性影響較不顯著。

This study demonstrates through different models that interest rates and VIX have a significant positive effect on the liquidity of corporate bond ETFs. Corporate bond ETF turnover rate and bid-ask spread are improved as interest rates rise, and short- term interest rates have a greater impact on the liquidity of corporate bond ETFs than long-terms interest rates. The liquidity of corporate bond ETFs increases with an increase in VIX, and the impact of VIX on corporate bond ETF liquidity is more pronounced in the group which VIX is above the median. The effect of interest rates and VIX on the liquidity of corporate bond ETFs is more applicable to those ETFs with a higher proportion of investment-grade bonds. In other words, interest rates and VIX have no significant effect on the liquidity of the corporate bond ETFs with a lower proportion of investment-grade bonds.