| 摘要: | 全球金融海嘯所引起一連串違約事件及詭譎多變的經濟波動下，投資人面對金融市場許多不確定因素及日益升高之信用風險，增加投資決策與報酬的困難度，選擇有效避險工具降低投資風險，保存資產價值，乃是重要課題。除了投資主權債券作為資金避風港外，信用衍生性金融商品的需求大幅增加，而信用違約交換(Credit Default Swaps, CDS)即為提供發生債信違約保障，成為投資人規避信用風險最主要工具。
本文以歐元區於歐債危機中金融波動大的義大利、西班牙、葡萄牙及希臘等四個國家為研究對象，自2007 年3月1日至 2015 年 10 月 30日為研究期間，探討投資人投資主權債券及以信用違約交換(CDS)等金融工具進行避險組合，其報酬及避險績效變動情況，並分析投資風險變動能否有效控制，發揮分散風險功能。實證結果發現，投資主權債券並透過信用違約交換進行避險組合下，葡萄牙風險波動幅度變大，在該國較不適合；義大利、西班牙及希臘三個國家，其避險組合報酬率及風險波動都能帶來正向助益，增加投資人報酬或降低其損失，縮小風險波動的影響，適合於三個國家之投資市場使用。
The global financial tsunami caused by a series of events of default and changeable economic turbulence, investors face many uncertainties in the financial markets and rising credit risk, making investment decisions and rewards more difficult, choose effective hedging tools to reduce investment risks and preserve asset values, is an important issue. In addition to investing in Sovereign Bonds as a financial haven, a significant increase in the demand for credit derivatives and Credit Default Swaps (CDS) that provides credit default protection, investors avoid credit risks the most important tool.
The study selects Europe debt crisis in the financial fluctuations big in the euro area countries of Italy, Spain, Portugal and Greece, four a national for research object, since on March 1, 2007 to October 31, 2015 for research during, discussion investors investment Sovereign Bonds and the to Credit Default Swaps, financial tool for hedge combination, its remuneration and the hedge performance changes situation, and analysis investment of risk changes can effective control, play dispersed risk function. The empirical results found, investment Sovereign Bonds and through Credit Default Swaps for hedge combination, Portugal risk fluctuations range variable big, in the country more not for; In Italy, Spain and Greece, it’s hedge combination can brings help to remuneration rate and the risk fluctuations, increased investors’s remuneration or reduced loss, narrowed risk fluctuations of effect, so for three a national of investment market using. |
