dc.contributor.advisor | 周冠男 | zh_TW |
dc.contributor.advisor | Robin K. Chou | en_US |
dc.contributor.author (Authors) | 詹佳倫 | zh_TW |
dc.contributor.author (Authors) | Chan, Chia-Lun | en_US |
dc.creator (作者) | 詹佳倫 | zh_TW |
dc.creator (作者) | Chan, Chia-Lun | en_US |
dc.date (日期) | 2023 | en_US |
dc.date.accessioned | 1-Sep-2023 15:11:15 (UTC+8) | - |
dc.date.available | 1-Sep-2023 15:11:15 (UTC+8) | - |
dc.date.issued (上傳時間) | 1-Sep-2023 15:11:15 (UTC+8) | - |
dc.identifier (Other Identifiers) | G0110932132 | en_US |
dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/146970 | - |
dc.description (描述) | 碩士 | zh_TW |
dc.description (描述) | 國立政治大學 | zh_TW |
dc.description (描述) | 經營管理碩士學程(EMBA) | zh_TW |
dc.description (描述) | 110932132 | zh_TW |
dc.description.abstract (摘要) | 金融海嘯過後,由美國開了第一槍實施寬鬆政策,除了破天荒的QE手段,美國聯準會基準利率更長期維持在近乎於零,在老大哥帶領下,全球皆實施低利率政策,而「高收益債券型基金」長期為國人喜好之投資商品,主要原因為台灣人熱愛有配息之商品,在上述時空背景之下,國人大量申購高收益債券型基金,當作退休後投資規劃首選。一切在2022年後疫情時代發生改變,因應全球通貨膨脹嚴重,全球央行開始積極啟動升息,幅度與速度相比過去15年尤為猛烈,當央行利率政策改變時,不論企業與人民均感受到借貸成本與消費成本上升的明顯差異,本論文旨在探討,銀行財富管理幾乎主打高收益債券基金作為主力商品,此次全球升息幅度如此迅速激烈,在台灣核備發行境外高收益債券型基金龍頭「聯博全球非投資等級債」於高利率時代受到影響會如何?本論文採取Python作為該次研究的主要使用工具,資料搜集時間為2003~2023近20年歷史資料作為觀察,採取探索性分析、線性模型和變異數同質性檢定研究法,分析實證結果顯示:1.不論高、低利率時代,淨值都會隨著時間呈現上升態勢,投資人若想進場佈局建議長期持有。2.當利率政策轉換時期,聯博全球非投資等級債的淨值均下修,並且由高利率(2%以上)切換至低利率(2%以下)時期跌幅更重,投資人在利率轉換時期不建議持有。3.如以基準利率2%為分界線可發現漲跌幅有顯著性差異,在高利率時代持有「聯博全球非投資等級債」基金波動度相對低利率平穩許多。 | zh_TW |
dc.description.abstract (摘要) | After the financial crisis, the United States took the lead in implementing loose monetary policies, including unprecedented quantitative easing measures and keeping its benchmark interest rate close to zero for a prolonged period. Under the leadership of the United States, the era of low interest rate policies was implemented globally. "High-yield bond funds" have long been favored by Taiwanese investors as an investment product, mainly because Taiwanese people love products with dividends. Against this backdrop, Taiwanese investors have purchased a large number of high-yield bond funds as their first choice for retirement investment planning.However, everything changed in the covid-19 after 2022. In response to serious global inflation, central banks around the world began to aggressively raise interest rates, with the magnitude and speed being particularly intense compared to the past 15 years. When the central bank`s interest rate policy changes, both businesses and individuals will feel a significant difference in the rising borrowing costs and consumption costs. This thesis aims to explore how " AB FCP I-Global High Yield Portfolio " the leading offshore high-yield bond fund approved for issuance in Taiwan, was affected in the high interest rate era.This thesis uses Python as the primary tool for this study, and historical data from 2003 to 2023, nearly 20 years, is collected for observation. The exploratory analysis, linear models, and homogeneity of variance tests are used as the research methods. The empirical results show that the net asset value will rise with time regardless of the high or low interest rate era. It is recommended that investors hold the fund for the long term. During the period of interest rate policy conversion, the net asset value of " AB FCP I-Global High Yield Portfolio " all decreased, and the decline was more severe when switching from a high to a low interest rate period. It is not recommended for investors to hold the fund during the interest rate conversion period. When using a benchmark interest rate of 2% as the boundary, significant differences in the volatility of the fund can be observed between the high and low interest rate periods, and the volatility is relatively lower in the high-interest-rate era. | en_US |
dc.description.tableofcontents | 摘要 2Abstract 3誌謝 5第一章 緒論 101.1研究背景與動機 101.2研究目的 121.3研究架構與流程 15第二章 文獻回顧 172.1高收益債券介紹 172.2聯博全球非投資等級債券基金 192.3美國聯準會議介紹 212.4美國利率政策對債券型的報酬與波動影響 23第三章 研究方法 253.1研究架構 253.2研究資料說明 263.3研究方法 27第四章 研究結果 334.1 探索性分析EDA 334.2 線性模型(Linear Model) 實證分析 354.3變異數同質性檢定(Test Homogeneity of Variance) 實證分析 39第五章 結論與建議 425.1結論 425.2建議 43附錄一Python code 44參考文獻 49網路資料 51 | zh_TW |
dc.format.extent | 8316413 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0110932132 | en_US |
dc.subject (關鍵詞) | 聯博全球非投資等級債 | zh_TW |
dc.subject (關鍵詞) | 高收益債 | zh_TW |
dc.subject (關鍵詞) | 探索性分析 | zh_TW |
dc.subject (關鍵詞) | 線性模型 | zh_TW |
dc.subject (關鍵詞) | 變異數同質性檢定 | zh_TW |
dc.subject (關鍵詞) | 利率 | zh_TW |
dc.subject (關鍵詞) | AB FCP I-Global High Yield Portfolio | en_US |
dc.subject (關鍵詞) | High-yield bonds | en_US |
dc.subject (關鍵詞) | Python | en_US |
dc.subject (關鍵詞) | Exploratory analysis | en_US |
dc.subject (關鍵詞) | Linear models | en_US |
dc.subject (關鍵詞) | Homogeneity of variance test | en_US |
dc.subject (關鍵詞) | Interest rate | en_US |
dc.title (題名) | 高利率政策對高收益債的影響 (以聯博全球非投資等級債A2為例) | zh_TW |
dc.title (題名) | The Impact of High-Interest Rate Policies on High-Yield Bonds: A Case Study of AB FCP I-Global High Yield Portfolio Class A2 USD. | en_US |
dc.type (資料類型) | thesis | en_US |
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