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題名 加值指數型基金之探討－期貨加上現金的加值方法
作者 黃冠文
貢獻者 周行一
黃冠文
日期 2002
上傳時間 9-May-2016 16:24:27 (UTC+8)
摘要 　　本研究主要是探討近10年在美國興起的加值指數型基金中，期貨加上現金(Futures Plus Cash Enhancement)的方法探討。試著透過每分每秒的追蹤，以及不帶有任何假設條件之下，探討在台灣基金市場的應用以及績效，並以自然投資人以及機構投資人的觀點，來探討實際交易可能發生的各種問題。
     　　本研究大致的發現結果如下：
     　　1. 加值指數型基金明顯優於被動的市場投資組合，甚至績效超越半數的股票型基金。
     　　2. 當考慮了交易成本以及保證金問題等等之後，加值指數型的基金的超額報酬明顯縮小。
     　　3. 如果投資人因為在到期日以前發現市場價差偏離(1%)，而進行提前換約的動作，其績效反而不如在到期日時再加以換約。
     　　4. 在考慮了是否能夠執行價差換約之下，以電子指數模擬的加值指數型基金模擬誤差縮小，但是以加權指數模擬的加值指數型基金模擬誤差卻擴大。
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描述 碩士
國立政治大學
財務管理研究所
89357021
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2010000319
資料類型 thesis
dc.contributor.advisor 周行一zh_TW
dc.contributor.author (Authors) 黃冠文zh_TW
dc.creator (作者) 黃冠文zh_TW
dc.date (日期) 2002en_US
dc.date.accessioned 9-May-2016 16:24:27 (UTC+8)-
dc.date.available 9-May-2016 16:24:27 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 16:24:27 (UTC+8)-
dc.identifier (Other Identifiers) A2010000319en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95507-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 89357021zh_TW
dc.description.abstract (摘要) 　　本研究主要是探討近10年在美國興起的加值指數型基金中，期貨加上現金(Futures Plus Cash Enhancement)的方法探討。試著透過每分每秒的追蹤，以及不帶有任何假設條件之下，探討在台灣基金市場的應用以及績效，並以自然投資人以及機構投資人的觀點，來探討實際交易可能發生的各種問題。
     　　本研究大致的發現結果如下：
     　　1. 加值指數型基金明顯優於被動的市場投資組合，甚至績效超越半數的股票型基金。
     　　2. 當考慮了交易成本以及保證金問題等等之後，加值指數型的基金的超額報酬明顯縮小。
     　　3. 如果投資人因為在到期日以前發現市場價差偏離(1%)，而進行提前換約的動作，其績效反而不如在到期日時再加以換約。
     　　4. 在考慮了是否能夠執行價差換約之下，以電子指數模擬的加值指數型基金模擬誤差縮小，但是以加權指數模擬的加值指數型基金模擬誤差卻擴大。		zh_TW
dc.description.tableofcontents 致謝辭
     論文摘要
     目錄
     第一章、緒論-----6
     第二章、理論與文獻-----8
     　　第一節、期貨理論基礎與應用-----8
     　　　　一、期貨的基本功能-----8
     　　　　二、指數期貨與基金管理-----9
     　　　　三、期貨基金與管理期貨(managed futures)-----11
     　　第二節、加值指數型基金建構方法-----14
     　　　　一、以衍生性商品為基準的技術-----14
     　　　　二、以證券為基準的技術-----17
     　　第三節、加值指數型基金績效-----18
     　　第四節、期貨價格行為-----20
     第三章、期貨加上現金方法的優劣-----24
     第四章、期貨與基金市場現況-----29
     　　第一節、加值指數型基金市場現況-----29
     　　第二節、我國基金市場現況-----30
     　　第三節、我國期貨市場現況-----31
     　　第四節、我國對於期貨型加值指數基金的限制-----34
     第五章、研究方法-----37
     　　　　一、無交易成本-----38
     　　　　二、有交易成本-----39
     　　　　三、價差交易-----45
     　　　　四、績效評估-----48
     第六章、樣本概述-----51
     第七章、實証結果-----55
     　　第一節、無交易成本-----55
     　　第二節、有交易成本-----57
     　　第三節、價差交易-----60
     　　第四節、績效評估-----65
     第八章、未來可行性分析-----72
     第九章、結論-----75
     參考文獻-----77
     附錄-----91
     
     圖目錄
     圖一：期貨市場成交口數與投信法人成交口數之比較-----32
     圖二：加權期指最後交易日結算價與該月期貨契約現金股利關係圖-----53
     圖三：電子期指最後交易日結算價與該月期貨契約現金股利關係圖-----54
     圖四：貨幣市場投資工具報酬率比較-----54
     圖五：無交易成本下，加權指數現貨與加值指數型基金模擬之累積超額報酬關係圖-----55
     圖六：無交易成本下，電子指數現貨與加值指數型基金模擬之累積超額報酬關係圖-----56
     圖七：有交易成本下，加權指數現貨與機構法人模擬之加值指數型基金累積超額報酬關係圖-----58
     圖八：有交易成本下，加權指數現貨與自然投資人模擬之加值指數型基金累積超額報酬關係圖-----58
     圖九：有交易成本下，電子指數現貨與機構法人模擬之加值指數型基金累積超額報酬關係圖-----59
     圖十：有交易成本下，電子指數現貨與自然投資人模擬之加值指數型基金累積超額報酬關係圖-----59
     圖十一：有交易成本下，加權指數現貨與機構法人在提前換約下，模擬之加值指數型基金累積超額報酬關係圖-----61
     圖十二：有交易成本下，加權指數現貨與自然投資人在提前換約下，模擬之加值指數型基金累積超額報酬關係圖-----62
     圖十三：有交易成本下，電子指數現貨與機構法人在提前換約下，模擬之加值指數型基金累積超額報酬關係圖-----62
     圖十四：有交易成本下，電子指數現貨與自然投資人在提前換約下，模擬之加值指數型基金累積超額報酬關係-----63
     圖十五：有交易成本下，加權指數現貨與機構法人在提前換約＋價差換約下，模擬之加值指數型基金累積超額報酬關係圖-----63
     圖十六：有交易成本下，加權指數現貨與自然投資人在提前換約＋價差換約下，模擬之加值指數型基金累積超額報酬關係-----64
     圖十七：有交易成本下，電子指數現貨與機構法人在提前換約＋價差換約下，模擬之加值指數型基金累積超額報酬關係圖-----64
     圖十八：有交易成本下，電子指數現貨與自然投資人在提前換約＋價差換約下，模擬之加值指數型基金累積超額報酬關係圖-----65
     圖十九：日內期貨價差波動與到期日之間之關係圖-----70
     圖二十：日內期貨價差與到期日之間之關係圖-----71
     
     表目錄
     表一：股票型基金個數、成立天數與資產概況-----31
     表二：加權與電子指數現貨歷史漲跌點數統計表-----43
     表三：價差換約與提前換約(1%)可行性交叉分析圖-----61
     表四：加權指數模擬績效分析表-----66
     表五：有交易成本下，加權指數模擬績效排行表-----67
     表六：考慮提前換約及價差換約下，加權指數模擬績效排行表-----67
     表七：電子指數模擬績效分析表-----68
     表八：有交易成本下，電子指數模擬績效排行表-----69
     表九：考慮提前換約及價差換約下，電子指數模擬績效排行表-----69
     
     附錄目錄
     附錄一：台灣證券交易所發行量加權股價指數期貨契約內容-----91
     附錄二：台灣證券交易所電子類股價指數期貨契約內容-----92
     附錄三：台灣證券交易所金融保險類股價指數期貨契約內容-----93
     附錄四：台灣期貨各契約交易量統計表-----94
     附錄五：台灣加權期貨保證金調整日期與金額-----95
     附錄六：台灣電子期貨保證金調整日期與金額-----96
     附錄七：台灣金融期貨保證金調整日期與金額-----96
     附錄八：無交易成本下，加權指數現貨與加值指數型基金模擬之走勢比較圖-----97
     附錄九：無交易成本下，加值指數型基金之模擬誤差圖-----97
     附錄十：無交易成本下，電子指數現貨與加值指數型基金模擬之走勢比較圖-----98
     附錄十一：無交易成本下，加值指數型基金模擬之模擬誤差圖-----98
     附錄十二：有交易成本下，加權指數現貨與機構法人模擬之走勢比較圖-----99
     附錄十三：有交易成本下，加權指數現貨與機構法人模擬之模擬誤差圖-----99
     附錄十四：有交易成本下，加權指數現貨與自然投資人模擬之走勢比較圖-----100
     附錄十五：有交易成本下，加權指數現貨與自然投資人模擬之模擬誤差圖-----100
     附錄十六：有交易成本下，電子指數現貨與機構法人模擬之走勢比較圖-----101
     附錄十七：有交易成本下，電子指數現貨與機構法人模擬之模擬誤差圖-----101
     附錄十八：有交易成本下，電子指數現貨與自然投資人模擬之走勢比較圖-----102
     附錄十九：有交易成本下，電子指數現貨與自然投資人模擬之模擬誤差圖-----102
     附錄二十：有交易成本下，加權指數現貨與機構法人在提前換約下，模擬之走勢比較圖-----103
     附錄二十一：有交易成本下，加權指數現貨與機構法人在提前換約下，模擬之模擬誤差圖-----103
     附錄二十二：有交易成本下，加權指數現貨與自然投資人在提前換約下，模擬之走勢比較圖-----104
     附錄二十三：有交易成本下，加權指數現貨與自然投資人在提前換約下，模擬之模擬誤差圖-----104
     附錄二十四：有交易成本下，電子指數現貨與機構法人在提前換約下，模擬之走勢比較圖-----105
     附錄二十五：有交易成本下，電子指數現貨與機構法人在提前換約下，模擬之模擬誤差圖-----105
     附錄二十六：附錄有交易成本下，電子指數現貨與自然投資人在提前換約下，模擬之走勢比較圖-----106
     附錄二十七：有交易成本下，電子指數現貨與自然投資人在提前換約下，模擬之模擬誤差圖-----106
     附錄二十八：有交易成本下，加權指數現貨與機構法人在提前換約＋價差換約下，模擬之走勢比較圖-----107
     附錄二十九：有交易成本下，加權指數現貨與機構法人在提前換約＋價差換約下，模擬之模擬誤差圖-----107
     附錄三十：有交易成本下，加權指數現貨與自然投資人在提前換約＋價差換約下，模擬之走勢比較圖-----108
     附錄三十一：有交易成本下，加權指數現貨與自然投資人在提前換約＋價差換約下，模擬之模擬誤差圖-----108
     附錄三十二：有交易成本下，電子指數現貨與機構法人在提前換約＋價差換約下，模擬之走勢比較圖-----109
     附錄三十三：有交易成本下，電子指數現貨與機構法人在提前換約＋價差換約下，模擬之模擬誤差圖-----109
     附錄三十四：有交易成本下，電子指數現貨與自然投資人在提前換約＋價差換約下，模擬之走勢比較圖-----110
     附錄三十五：有交易成本下，電子指數現貨與自然投資人在提前換約＋價差換約下，模擬之模擬誤差圖-----110
     附錄三十六：加權指數模擬績效比較明細表-----111
     附錄三十七：電子指數模擬績效比較明細表-----115		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2010000319en_US
dc.title (題名) 加值指數型基金之探討－期貨加上現金的加值方法zh_TW
dc.type (資料類型) thesisen_US
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