美國經濟不確定性對台灣債券ETF三大法人買賣超之影響

Abstract

本研究主要在探討美國經濟不確定性對台灣三大法人（外資、投信、自營商）於債券ETF市場之買賣超行為影響。隨著債券ETF市場快速發展，法人資金對全球不確定性風險的敏感度亦日益提高，特別在政策與市場波動升高期間，其資產配置行為值得深入分析。本研究以2019年1月至2025年2月期間台灣上市之28檔債券ETF為樣本，採用多元線性迴歸模型，驗證美國三項不確定性指標:經濟政策不確定性指數（EPU）、恐慌指數（VIX）與選擇權波動率指數（MOVE）對法人買賣超金額之影響，並納入控制變數及債券類型之虛擬變數進行分析。實證結果發現，EPU上升時，法人顯著增加債券ETF的配置，並偏好長天期與美國公債ETF，展現明顯風險趨避行為。VIX指數雖代表股市風險情緒上升，但其對法人債券ETF買賣超影響並不顯著。MOVE指數上升則促使法人減碼債券部位，尤其是長天期債券ETF。控制變數亦顯示法人投資行為受債券報酬率、公債殖利率變動與市場因素共同影響。整體而言，本研究確認美國經濟政策不確定性對台灣三大法人債券ETF資金配置具關鍵影響，研究成果有助於補充固定收益市場中法人行為之相關文獻，亦可作為投資人決策與政策制定機關監理債券ETF市場風險的重要參考依據。

This study investigates the impact of U.S. economic uncertainty on the net trading behavior of Taiwan’s three major institutional investors—foreign investors, investment trusts, and proprietary dealers—in the bond ETF market. As the bond ETF market in Taiwan has grown rapidly, institutional investors have become increasingly sensitive to global uncertainty risks, especially during periods of heightened policy and market volatility. Understanding how institutions adjust their asset allocation under such conditions is therefore a critical issue for both academia and practice.Using a sample of 28 bond ETFs listed in Taiwan between January 2019 and February 2025, this study employs multiple linear regression models to examine the influence of three U.S. uncertainty indicators—the Economic Policy Uncertainty Index (EPU), the CBOE Volatility Index (VIX), and the MOVE Index (bond market option-implied volatility). The analysis also includes several control variables and dummy variables representing bond type characteristics.Empirical results reveal that a rise in the EPU index significantly increases institutional investors’ allocation to bond ETFs, particularly those with longer durations and U.S. Treasury exposure, indicating clear risk-averse behavior in response to policy uncertainty. In contrast, the VIX, while reflecting increased equity market risk sentiment, does not exert a significant effect on bond ETF trading. Meanwhile, an increase in the MOVE index tends to reduce bond ETF holdings, especially long-duration bonds, reflecting institutional concern over interest rate volatility. Control variables also show that institutional behavior is jointly influenced by bond returns, government yield movements, and market conditions.Overall, this study confirms that U.S. economic policy uncertainty is a key determinant of institutional investors’ allocation to bond ETFs in Taiwan. The findings enrich the literature on institutional behavior in fixed-income markets and offer valuable insights for investors and policymakers in managing bond ETF-related risks during periods of global uncertainty.