| 摘要: | 本文研究主要是當全球金融市場發生重大事件時，在各事件前20日、事件後20日，對日圓、瑞士法郎的走勢影響，使用S&P500、VIX、GOLD為觀察指標。分別就日圓、瑞士法郎和觀察指標S&P500、VIX、GOLD，運用簡單線性迴歸分析模型，衡量顯著程度及其相關性，探討此兩個避險貨幣與指標之間的變動關係。
事件研究期間為2008年至2020年，依照發生的時間排列，包括：雷曼兄弟金融危機(2008)、日本大地震(2011)、美國結束QE(2014)、俄羅斯金融危機(2014)、瑞郎黑天鵝(2014)、人民幣匯率改革(2015)、美國聯準會升息(2015)、英國脫歐公投(2016)、中美貿易戰(2018)、肺炎疫情黑天鵝(2020)。
實證結果顯示，在十件全球金融重大事件中，當市場面臨下行風險發生時，日圓在迴歸分析中的P-值呈現顯著性的比例較瑞士法郎高，亦即日圓對於市場的波動敏感程度較高，在事件前20日、事件後20日，皆有市場投資者將資產兌換成日圓，進而促使日圓升值，成為市場公認的避險貨幣。
同時也觀察到瑞士法郎在研究事件中，雖然迴歸分析的P-值大多偏向不顯著，但相關係數大多為正向關係，與觀察指標呈同一方向，表示瑞士法郎還是具有規避風險的特質。
關鍵詞：全球金融事件、匯率、避險、迴歸模型
;The purpose of this study was to investigate the impact on the trend of the Japanese Yen and Swiss franc 20 days before and after the Major Financial Events occur in the global financial market. S&P500, VIX, and GOLD are used as observation indicators. With the observation indicators S&P500, VIX, GOLD, a simple regression analysis model is used to measure the significance and its correlation, and to explore the relationship between these two safe-haven currencies and indicators.
The period of events in this study is from 2008 to 2020. According to the time of occurrence, including: Lehman Brothers Financial Crisis (2008), Japan Earthquake (2011), The United States end of QE (2014), Russia Financial Crisis (2014) , Black Swan Event (2014), the reform of RMB exchange rate (2015), US Federal Reserve raise interest rates (2015), The United Kingdom European Union membership referendum (2016), U.S.-China trade war (2018), COVID-19 (2020).
The results indicated that in the ten major global financial events, when the market is facing downside risks, the percentage of the Yen in the regression analysis showing a significant P-value than the Swiss franc, that is, the Yen is more sensitive to market fluctuations. 20 days before and after the event, market investors converted their assets into Japanese Yen, which appreciates the Japanese Yen and became a safe-haven currency recognized by the market.
At the same time, it is also observed that in research events of Swiss franc, although most of the P-values of regression analysis are not significant, the correlation coefficients are mostly positive, and are in the same direction as the observed indicators, indicating that Swiss franc still has the characteristics of risk aversion.
Keywords：global financial events, exchange rates, hedge, regression models |
