Abstract: | 本論文研究了公司的隱含波動率是否受到央行數位貨幣波動度的影響。我們的樣本期間涵蓋了2010年至2018年,總共包含了美國2,853家上市公司。首先,我們發現央行數位貨幣的變化對公司的隱含波動度有正向影響;其次,公司體質越好可以降低央行數位貨幣變化與公司隱含波動度之間的關係;第三,Z-score較高的公司可以降低兩者之間的影響,尤其是在投機級和未評級的公司中;最後,為了避免內生性問題的存在,我們採用聯立方程模型(SEM)進行測試,並發現我們的結果在排除內生性問題後仍然穩健。我們的研究提醒企業管理者須關注央行數位貨幣的發展,並為政策制定者提供了一些想法。;The paper investigates whether a firm′s implied volatility is affected by the volatility of central bank digital currencies. Our sample covers 2,853 listed companies in the United States from 2010 to 2018. First, we find the variation of central bank digital currency has a positive impact on a firm’s implied volatility. Second, the healthier firms’ conditions can reduce the relationship between central bank digital currency variation and a firm’s implied volatility. Third, firms with a higher Z-score can reduce this impact, especially in speculative-rated and unrated firms. Finally, to eliminate the endogeneity problem, we adopt simultaneous equation models (SEM) and find our results are still robust after excluding endogenous concerns. Our research provides a reminder for corporate managers and new implications for policymakers. |