Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/36210
DC Field | Value | Language |
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dc.contributor.advisor | 沈中華<br>李金桐<br>張元晨 | zh_TW |
dc.contributor.author | 郭永正 | zh_TW |
dc.creator | 郭永正 | zh_TW |
dc.date | 2002 | en_US |
dc.date.accessioned | 2009-09-18T09:35:36Z | - |
dc.date.available | 2009-09-18T09:35:36Z | - |
dc.date.issued | 2009-09-18T09:35:36Z | - |
dc.identifier | G0090255011 | en_US |
dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/36210 | - |
dc.description | 碩士 | zh_TW |
dc.description | 國立政治大學 | zh_TW |
dc.description | 財政研究所 | zh_TW |
dc.description | 90255011 | zh_TW |
dc.description | 91 | zh_TW |
dc.description.abstract | 摘 要\r\n\r\n目前金融市場上有許多金融工具提供投資人獲利的途徑,其中封閉型國家基金為一般投資人所忽略。此基金為近十年新興的金融商品,其特色為能反應當地國經濟的情勢,可作為國際投資者獲取投資多樣化利益的工具,也可以提供國內投資者配置投資組合的參考指標。\r\n本文利用VAR模型中的因果檢定、衝擊反應分析和預測誤差變異數分解等方法探討影響基金市價報酬因素間的互動關係。發現基金市價報酬受當地國股市報酬影響較為顯著,證明封閉型國家基金可作為獲取投資多樣化利益的工具。此外,由於封閉型國家基金市價報酬能反映當地國股市報酬的表現,故可提供國內投資者進行投資策略的參考指標。\r\n經由本文驗證封閉型國家基金其能反應當地國經濟情勢,作為國際投資者投資多樣化的金融工具及國內投資者參考的投資指標。對欲投資新興市場國家的投資人而言又多了一項獲利的投資利器。\r\n\r\n\r\n\r\n關鍵詞:CECF、封閉型國家基金、VAR、投資多樣化 | zh_TW |
dc.description.tableofcontents | 第一章 緒論---------------------------------------------------1\r\n第一節 研究背景與動---------------------------------------1\r\n第二節 封閉型國家基金之簡介-------------------------------3\r\n第三節 研究目的-------------------------------------------4\r\n第四節 研究限制-------------------------------------------5\r\n第五節 研究架構-------------------------------------------6\r\n第二章 文獻回顧-----------------------------------------------8\r\n第一節 國內文獻-------------------------------------------8\r\n第二節 國外文獻------------------------------------------10\r\n第三章 研究方法----------------------------------------------21\r\n第一節 研究範圍------------------------------------------21\r\n第二節 單根檢定------------------------------------------22\r\n第三節 理論模型------------------------------------------25\r\n第四節 實證流程------------------------------------------30\r\n第四章 實證結果分析------------------------------------------31\r\n第一節 資料簡介與處理------------------------------------31\r\n第二節 單根檢定------------------------------------------36\r\n第三節 封閉型國家基金與投資多樣化------------------------41\r\n第四節 封閉型國家基金市價報酬變動之因素------------------54\r\n第五章 結論與後續研究建議------------------------------------78\r\n第一節 結論----------------------------------------------78\r\n第二節 後續研究建議--------------------------------------80\r\n參考文獻-----------------------------------------------------81\r\n附錄---------------------------------------------------------75\r\n\r\n表1-1:開放型基金與封閉型基金之比較--------------------------3\r\n表2-1:封閉型國家基金折溢價波動的因素-----------------------19\r\n表2-2:封閉型國家基金與投資多樣化---------------------------20\r\n表4-1:研究資料來源-----------------------------------------31\r\n表4-2:變數資料處裡-----------------------------------------32\r\n表4-3:封閉型國家基金資料基本敘述統計-----------------------32\r\n表4-4:單根檢定一-------------------------------------------37\r\n表4-5:單根檢定二-------------------------------------------38\r\n表4-6:單根檢定三-------------------------------------------39\r\n表4-7:各封閉型國家基金市價報酬因素之迴歸分析---------------52\r\n表4-8:各國最適落後期數表-----------------------------------54\r\n表4-9:各國封閉型國家基金之因果檢定表-----------------------56\r\n表4-10:各封閉型國家基金市價報酬之衝擊反應分析表------------59\r\n表4-11:各封閉型國家基金市價報酬之衝擊反應分析表------------60\r\n表4-12:各封閉型國家基金市價報酬之衝擊反應分析表------------63\r\n表4-13:各封閉型國家基金市價報酬之衝擊反應分析表------------64\r\n表4-14:各封閉型國家基金市價報酬之衝擊反應分析表------------67\r\n表4-15:各封閉型國家基金市價報酬之衝擊反應分析表------------68\r\n表4-16:各封閉型國家基金市價報酬之預測誤差變異數分解表------71\r\n表4-17:各封閉型國家基金市價報酬之預測誤差變異數分解表------73\r\n表4-18:各封閉型國家基金市價報酬之預測誤差變異數分解表------75\r\n\r\n圖1.1:本文架構流程-------------------------------------------7\r\n圖4.1:澳洲國家基金市價、當地股價指數與美國股價指數圖--------43\r\n圖4.2:巴西國家基金市價、當地股價指數與美國股價指數圖--------43\r\n圖4.3:法國國家基金市價、當地股價指數與美國股價指數圖--------44\r\n圖4.4:德國國家基金市價、當地股價指數與美國股價指數圖--------44\r\n圖4.5:印度國家基金市價、當地股價指數與美國股價指數圖--------45\r\n圖4.6:印尼國家基金市價、當地股價指數與美國股價指數圖--------45\r\n圖4.7:義大利國家基金市價、當地股價指數與美國股價指數圖------46\r\n圖4.8:日本國家基金市價、當地股價指數與美國股價指數圖--------46\r\n圖4.9:南韓國家基金市價、當地股價指數與美國股價指數圖--------47\r\n圖4.10:馬來西亞國家基金市價、當地股價指數與美國股價指數圖---47\r\n圖4.11:墨西哥國家基金市價、當地股價指數與美國股價指數圖-----48\r\n圖4.12:菲律賓國家基金市價、當地股價指數與美國股價指數圖-----48\r\n圖4.13:台灣國家基金市價、當地股價指數與美國股價指數圖-------49\r\n圖4.14:新加坡國家基金市價、當地股價指數與美國股價指數圖-----49\r\n圖4.15:西班牙國家基金市價、當地股價指數與美國股價指數圖-----50\r\n圖4.16:瑞士國家基金市價、當地股價指數與美國股價指數圖-------50\r\n圖4.17:泰國國家基金市價、當地股價指數與美國股價指數圖-------51\r\n圖4.18:各國封閉型國家基金衝擊反應分析圖----------------------58\r\n圖4.19:各國封閉型國家基金衝擊反應分析圖----------------------62\r\n圖4.20:各國封閉型國家基金衝擊反應分析圖----------------------66 | zh_TW |
dc.language.iso | en_US | - |
dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0090255011 | en_US |
dc.subject | 封閉型國家基金 | zh_TW |
dc.subject | 投資多樣化 | zh_TW |
dc.subject | CECF | en_US |
dc.subject | VAR | en_US |
dc.title | 封閉型國家基金報酬因素之探討 | zh_TW |
dc.type | thesis | en |
dc.relation.reference | 參考文獻 | zh_TW |
dc.relation.reference | 一、中文文獻 | zh_TW |
dc.relation.reference | 1. 王正聰(1995)「封閉型國家基金折溢價之投資策略」,台灣大學財務金融學系碩士論文,1995年。 | zh_TW |
dc.relation.reference | 2. 李治平(2000)「亞洲金融風暴與國外機構投資人之行為與影響」,台灣大學財務金融學系碩士論文,2000年。 | zh_TW |
dc.relation.reference | 3. 邱顯比(1993)「海外台灣基金與台灣股市之互動」,中國財務學會82年年會論文,1993年。 | zh_TW |
dc.relation.reference | 二、英文文獻 | zh_TW |
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dc.relation.reference | 2. Bers MK, Madura J(2000),” Why does performance persistence vary among closed-end funds?”, Journal of Financial Services Research, 17(2): pp.127-147, AUG 2000. | zh_TW |
dc.relation.reference | 3. Bong-Soo Lee, Gwangheon Hong(2002),” On the dual characteristics of closed-end country funds.”, Journal of International Money and Finance, 21: pp.589-618, 2002. | zh_TW |
dc.relation.reference | 4. Coles JL, Suay J, Woodbury D(2000), “Fund advisor compensation in closed-end funds.”, Journal of Finance, 55 (3): pp.1385-1414, JUN 2000. | zh_TW |
dc.relation.reference | 5. Cakici N, Tessitore A, Usmen N(2002), “Closed-end funds and turnover restrictions.”, Financial Analysis Journal 58 (3): pp.74-81, MAY-JUN 2002. | zh_TW |
dc.relation.reference | 6. C.S. Eun, S. Janakiramanan, L.W. Senbet(2002), “The pricing of emerging market country funds.”, Journal of International Money and Finance 21: pp.833-855, 2002. | zh_TW |
dc.relation.reference | 7. Dickey D. and Fuller W.A.(1979), “Distribution of the Estimates for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, Vol.74: pp.427-31, 1979. | zh_TW |
dc.relation.reference | 8. Eric Chang, Cheol S. Eun, Richard Kolodny(1995), “International diversification through closed-end country funds.”, Journal of Banking & Finance 19: pp.1237-1263, 1995. | zh_TW |
dc.relation.reference | 9. Eun CS, Janakiramanan S, Senbet LW(2002), “The pricing of emerging market country funds.”, Journal of International Money And Finance 21 (6): pp.833-855, NOV 2002. | zh_TW |
dc.relation.reference | 10. Granger, C.W.J.(1988), ”Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.”, Journal of Econometrics, Vol.39: pp.199-211, 1988. | zh_TW |
dc.relation.reference | 11. Geert Bekaert and Michael S. Urias(1996), “Diversification, Integration and Emerging Market Closed-End Funds.”, The Journal of Finance vol.LI,NO.3, July 1996. | zh_TW |
dc.relation.reference | 12. Grullon G, Wang FA(2001), “Closed-end fund discounts with informed ownership differential.”, Journal of Financial Intermediation 10 (2): pp.171-205, APR 2001. | zh_TW |
dc.relation.reference | 13. Gemmill G, Thomas DC(2002), “Noise trading, costly arbitrage, and asset prices: Evidence from closed-end funds.”, Journal of Finance 57 (6): pp.2571-2594, DEC 2002. | zh_TW |
dc.relation.reference | 14. Gordon Gemmill and Dylan C. Thomas(2002), “Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed-end Funds.”, The Journal of Finance VOL.LVII,NO.6, December 2002. | zh_TW |
dc.relation.reference | 15. Jongmoo Jay Choi and Insup Lee(1996), “Market Segmentation and the Valuation of Closed-End Country Funds: An Empirical Analysis.”, Review of Quantitative Finance and Accounting 7: pp.45-63, 1996. | zh_TW |
dc.relation.reference | 16. Kellerhals BP, Schobel R(2002), “The dynamic behavior of closed-end funds and its implication for pricing, forecasting, and trading.”, Journal of Banking & Finance 26 (8): pp.1615-1643, AUG 2002. | zh_TW |
dc.relation.reference | 17. Khorana A, Wahal S, Zenner M(2002), “Agency conflicts in closed-end funds: The case of rights offerings.”, Journal of Financial And Quantitative Analysis 37 (2): pp.177-200, JUN 2002. | zh_TW |
dc.relation.reference | 18. Patro DK(2001), “Measuring performance of international closed-end funds.”, Journal of Banking & Finance 25 (9): pp.1741-1767, SEP 2001. | zh_TW |
dc.relation.reference | 19. Uri Ben-Zion,Jongmoo Jay Choi and Shmuel Hauser(1996), “The Price Linkages between Country Funds and National Stock Markets: Evidence From Cointergration and Causality Tests of Germany, Japan and UK Funds.”, Journal of Business Finance & Accounting 23(7), September 1996. | zh_TW |
item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
item.grantfulltext | open | - |
item.openairetype | thesis | - |
item.fulltext | With Fulltext | - |
item.cerifentitytype | Publications | - |
item.languageiso639-1 | en_US | - |
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