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題名 恐慌與封閉型國家基金的折溢價關係：日本的證據
The relation between fear and closed-end country fund: evidence from Japan
作者 薛家鴻
貢獻者 杜化宇
薛家鴻
關鍵詞 日本國家基金
投資人情緒
恐慌指標
封閉型基金折溢價
日期 2011
上傳時間 30-Oct-2012 10:14:00 (UTC+8)
摘要 本文以日本封閉型國家基金作為主要研究對象，旨在探討封閉型國家基金折溢價變化與市場間恐慌情緒的關係，主要貢獻在於首次將選擇權隱含波動度指數作為恐慌指標利用在解釋閉型國家基金折價變化上，將研究範圍針對在市場恐慌，而非全面性的市場情緒。主要研究議題為(一)日本封閉型國家基金之折價變化與市場恐慌變化的關係，以及在市場恐慌情形存在下，不對稱性是否亦會對日本封閉型國家基金折價變化造成不同程度的影響；(二)日本地區的「相對恐慌變動」是否會傳染至鄰近國家，影響鄰國之封閉型國家基金其折價變化幅度。

本文的結論為(一)以日本封閉型國家基金為例，基金折價的變動，受到投資地區市場(日本)與價格掛牌市場(英美)之間「相對恐慌」程度變化所影響。若日本相對的恐慌程度較高時，則基金折價幅度將會縮小，甚至轉為溢價；若英美市場的波動程度較高時，則基金折價幅度將會擴大。因此，封閉型國家基金的折價行為，並不單純只受單一市場的情緒所影響，而是綜合兩市場間的恐慌情緒因素。(二)此現象在區分日本市場波動度高低時(以日經225波動度指數45為門檻)，兩種情況下效果皆顯著，但在市場波動度較高時，其「相對恐慌」程度變化的影響效果更大。(三)日本市場的「相對恐慌」變動，其過程將影響鄰近國家地區的封閉型國家基金折價變化，呈現出恐慌具有外溢效果。
參考文獻 1. Anderson, Seth., T. Randolph Beard, Hyeongwoo Kim, and Liliana V. Stern, (2011) “Fear and Closed-End Fund Discounts: Investor Sentiment Revisited”, Working paper.

2. Bailey, W., and Joseph Lim, (1992) “Evaluating the Diversification in Benefits of the New Country Funds”, Journal of Portfolio Management, Vol. 18, P74-80

3. Bennett, J. Andrea., and Paul L. Gronewoller, (2002) “Closed-End Country Fund Discounts and Systematic UK and US Market Movements: Co-integration and Error Corrected Granger Causality Tests”, Managerial Finance, Vol. 28, No. 1, P73-92.

4. Ben-Zion, Uri., Jongmoo Jay Choi, and Shmuel Hauser, (1996) “The Price Linkages between Country Funds and National Stock Markets: Evidence from Cointegration and Causality Tests of Germany, Japan and UK Funds”, Journal of Business Finance and Accounting, Vol. 23, No. 7, P1005-1017.

5. Bodurtha Jr., James N., Dong-Soon Kim, and Charles M. C. Lee, (1995) “Closed-end Country Funds and U.S. Market Sentiment”, Review of Financial Studies, Vol. 8, No. 3, P879-918.

6. Bonser-Neal, Catherine., Greggory Brauer, Robert Neal, and Simon Wheatley, (1990) “International Investment Restrictions and Closed-End Country Fund Prices”, Journal of Finance, Vol. 45, No.2 , P523-547.

7. Boudreaux, Kenneth J., (1973) “Discounts and Premiums on Closed-End Mutual Funds: A Study in Valuation”, Journal of Finance, Vol. 28, No. 2, P515-522.

8. Burch, Timothy R., Douglas R. Emery, and Michael E. Fuerst, (2003) “What Can “Nine-Eleven” Tell Us about Closed-End Fund Discounts and Investor Sentiment?”, Financial Review, Vol. 38, P513-529.

9. Chan, Justin S. P., Ravi Jain, and Yihong Xia, (2008) “Market Segmentation, Liquidity Spillover, and Closed-End Country Fund Discounts”, Journal of Financial Markets, Vol. 11, P377-399.

10. Chandar, Nandini., and Dilip Kumar Patro, (2000) “Why do closed-end country funds trade at enormous premiums during currency crises?”, Pacific-Basin Finance Journal, Vol. 8, P217-248.

11. Chang, E., Cheol Eun, and Richard Kolodny, (1995) “International diversification through closed-end country funds”, Journal of Banking and Finance, Vol. 19, P1237-1264.

12. Chen, Nai-Fu., Raymond Kan, and Merton H. Miller, (1993a) “Are the Discounts on Closed-End Funds a Sentiment Index?”, Journal of Finance, Vol. 48, No. 2, P795-800.

13. Chen, Nai-Fu., Raymond Kan, and Merton H. Miller, (1993b) “A Rejoinder”, Journal of Finance, Vol. 48, No. 2, P809-810.

14. Chopra, Navin., Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, (1993a) “Yes, Discounts on Closed-End Funds Are a Sentiment Index”, Journal of Finance, Vol. 48, No. 2, P801-808.

15. Chopra, Navin., Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, (1993b) “Summing Up”, Journal of Finance, Vol. 48, No. 2, P811-812.

16. De Long, J. Bradford., Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, (1990) “Noise Trader Risk in Financial Markets”, Journal of Political Economy, Vol. 98, No. 4, P703-738.

17. Diwan, I., Vihang Errunza, and Lemma Senbet, (1993), “Country Funds for Emerging Economics”, working paper, World Bank, McGill University and University of Maryland

18. Doukas, John A., and Nikolaos T. Milonas, (2004) “Investor Sentiment and the Closed-end Fund Puzzle: Out-of-sample Evidence”, European Financial Management, Vol. 10, No. 2, P235-266.

19. Frankel, Jeffrey A., and Sergio L. Schmukler, (2000) “Country Funds and Asymmetric Information”, International Journal of Finance and Economics, Vol. 5, P177-195.

20. Fuertes, Ana-Maria., and Dylan C. Thomas, (2006) “Large Market Shocks and Abnormal Closed-End-Fund Price Behavior”, Journal of Banking and Finance, Vol. 30, P2517-1535.

21. Hardouvelis, Gikas., Rafael La Porta, and Thierry A., Wizman, (1994) “What Moves the Discount on Country Equity Funds?”, The Internationalization of Equity Markets, P345-403.

22. Johnson, G., Thomas Schneeweis and William Dinning (1993) “Closed-End Country Funds: Exchange Rate and Investment Risk”, Financial Analysts Journal, Vol. 49, No. 6, P74-82.

23. Kim, Youngsoo., and Bong Soo Lee, (2006) “Limited participation and the closed-end fund discount”, Journal of Banking & Finance, Vol. 31, P381-399.

24. Klibanoff, Peter., Owen Lamont, and Thierry A. Wizman, (1998) “Investor Reaction to Salient News in Closed-End Country Funds”, Journal of Finance, Vol. 53, No. 2, P673-699.

25. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, (1991) “Investor Sentiment and the Closed-End Fund Puzzle”, Journal of Finance, Vol. 46, No. 1, P75-109.

26. Levy-Yeyati, Eduardo., and Angel Ubide, (2000) “Crises, Contagion, and the Closed-End Country Fund Puzzle”, IMF Staff Papers, Vol. 47, No. 1, P54-89.

27. Low, Cheekiat.,(2004) ”The Fear and Exuberance from Implied Volatility of S&P 100 Index Options”, Journal of Business, Vol. 77, No. 3, P527-546.

28. Malkiel, Burton G., (1977) “The Valuation of Closed-end Investment-Company Shares”, Journal of Finance, Vol. 32, No. 3, P847-859.

29. Pontiff, Jeffrey., (1996) “Costly Arbitrage: Evidence from Closed-end Funds”, Quarterly Journal of Economics, Vol. 111, P1135-1151.

30. Richard, John E., and James B. Wiggins, (2000) “The Information Content of Closed-End Country Fund Discounts”, Financial Services Review, Vol. 9, P171-181.

31. Simpson, Marc W., and Sanjay Ramchander, (2002) “Is Differential Sentiment a Cause of Closed-End Country Fund Premia? An Empirical Examination of The Australian Case”, Applied Economics Letters, Vol. 9, P615-619.

32. Tsai, Pei Jung., Peggy E. Swanson, and Salol K. Sarkar (2007) “Mean and volatility linkages for closed-end Country funds”, Quarterly Review of Economics and Finance, Vol. 47, P550-575.

33. Whaley, Robert., (2000) “The Investor Fear Gauge”, Journal of Portfolio Management, Vol. 26, P12-17.

34. Zweig, Martin E., (1973) “An Investor Expectation Stock Price Predictive Model Using Closed-End Fund Premiums”, Journal of Finance, Vol. 28, No. 1, P67-78.
描述 碩士
國立政治大學
財務管理研究所
99357003
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357003
資料類型 thesis
dc.contributor.advisor 杜化宇zh_TW
dc.contributor.author (Authors) 薛家鴻zh_TW
dc.creator (作者) 薛家鴻zh_TW
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 10:14:00 (UTC+8)-
dc.date.available 30-Oct-2012 10:14:00 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 10:14:00 (UTC+8)-
dc.identifier (Other Identifiers) G0099357003en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54176-
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) 99357003zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 本文以日本封閉型國家基金作為主要研究對象，旨在探討封閉型國家基金折溢價變化與市場間恐慌情緒的關係，主要貢獻在於首次將選擇權隱含波動度指數作為恐慌指標利用在解釋閉型國家基金折價變化上，將研究範圍針對在市場恐慌，而非全面性的市場情緒。主要研究議題為(一)日本封閉型國家基金之折價變化與市場恐慌變化的關係，以及在市場恐慌情形存在下，不對稱性是否亦會對日本封閉型國家基金折價變化造成不同程度的影響；(二)日本地區的「相對恐慌變動」是否會傳染至鄰近國家，影響鄰國之封閉型國家基金其折價變化幅度。

本文的結論為(一)以日本封閉型國家基金為例，基金折價的變動，受到投資地區市場(日本)與價格掛牌市場(英美)之間「相對恐慌」程度變化所影響。若日本相對的恐慌程度較高時，則基金折價幅度將會縮小，甚至轉為溢價；若英美市場的波動程度較高時，則基金折價幅度將會擴大。因此，封閉型國家基金的折價行為，並不單純只受單一市場的情緒所影響，而是綜合兩市場間的恐慌情緒因素。(二)此現象在區分日本市場波動度高低時(以日經225波動度指數45為門檻)，兩種情況下效果皆顯著，但在市場波動度較高時，其「相對恐慌」程度變化的影響效果更大。(三)日本市場的「相對恐慌」變動，其過程將影響鄰近國家地區的封閉型國家基金折價變化，呈現出恐慌具有外溢效果。		zh_TW
dc.description.tableofcontents 表目錄 ............................. 4
圖目錄 ............................. 5

第壹章 緒論. ....................... 6
第一節 研究背景與動機................. 7
第二節 研究議題及目的................. 9

第貳章 文獻探討......................12
第一節 封閉型基金相關文獻探討...........12
第二節 封閉型國家基金的文獻探討.........16
第三節 波動度指數與恐慌的文獻探討........20

第叁章 研究方法......................21
第一節 研究變數與定義..................21
第二節 變數處理.......................31
第三節 研究設計.......................35

第肆章 實證結果.......................40
第一節 封閉型國家基金折價與波動度指數的相關係數.......40
第二節 恐慌與封閉型國家基金折價的關係...............52
第三節 封閉型國家基金折價的鄰居效果.................55

第伍章 結論與建議...............................63

參考文獻 .....................................65		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357003en_US
dc.subject (關鍵詞) 日本國家基金zh_TW
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 恐慌指標zh_TW
dc.subject (關鍵詞) 封閉型基金折溢價zh_TW
dc.title (題名) 恐慌與封閉型國家基金的折溢價關係：日本的證據zh_TW
dc.title (題名) The relation between fear and closed-end country fund: evidence from Japanen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Anderson, Seth., T. Randolph Beard, Hyeongwoo Kim, and Liliana V. Stern, (2011) “Fear and Closed-End Fund Discounts: Investor Sentiment Revisited”, Working paper.

2. Bailey, W., and Joseph Lim, (1992) “Evaluating the Diversification in Benefits of the New Country Funds”, Journal of Portfolio Management, Vol. 18, P74-80

3. Bennett, J. Andrea., and Paul L. Gronewoller, (2002) “Closed-End Country Fund Discounts and Systematic UK and US Market Movements: Co-integration and Error Corrected Granger Causality Tests”, Managerial Finance, Vol. 28, No. 1, P73-92.

4. Ben-Zion, Uri., Jongmoo Jay Choi, and Shmuel Hauser, (1996) “The Price Linkages between Country Funds and National Stock Markets: Evidence from Cointegration and Causality Tests of Germany, Japan and UK Funds”, Journal of Business Finance and Accounting, Vol. 23, No. 7, P1005-1017.

5. Bodurtha Jr., James N., Dong-Soon Kim, and Charles M. C. Lee, (1995) “Closed-end Country Funds and U.S. Market Sentiment”, Review of Financial Studies, Vol. 8, No. 3, P879-918.

6. Bonser-Neal, Catherine., Greggory Brauer, Robert Neal, and Simon Wheatley, (1990) “International Investment Restrictions and Closed-End Country Fund Prices”, Journal of Finance, Vol. 45, No.2 , P523-547.

7. Boudreaux, Kenneth J., (1973) “Discounts and Premiums on Closed-End Mutual Funds: A Study in Valuation”, Journal of Finance, Vol. 28, No. 2, P515-522.

8. Burch, Timothy R., Douglas R. Emery, and Michael E. Fuerst, (2003) “What Can “Nine-Eleven” Tell Us about Closed-End Fund Discounts and Investor Sentiment?”, Financial Review, Vol. 38, P513-529.

9. Chan, Justin S. P., Ravi Jain, and Yihong Xia, (2008) “Market Segmentation, Liquidity Spillover, and Closed-End Country Fund Discounts”, Journal of Financial Markets, Vol. 11, P377-399.

10. Chandar, Nandini., and Dilip Kumar Patro, (2000) “Why do closed-end country funds trade at enormous premiums during currency crises?”, Pacific-Basin Finance Journal, Vol. 8, P217-248.

11. Chang, E., Cheol Eun, and Richard Kolodny, (1995) “International diversification through closed-end country funds”, Journal of Banking and Finance, Vol. 19, P1237-1264.

12. Chen, Nai-Fu., Raymond Kan, and Merton H. Miller, (1993a) “Are the Discounts on Closed-End Funds a Sentiment Index?”, Journal of Finance, Vol. 48, No. 2, P795-800.

13. Chen, Nai-Fu., Raymond Kan, and Merton H. Miller, (1993b) “A Rejoinder”, Journal of Finance, Vol. 48, No. 2, P809-810.

14. Chopra, Navin., Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, (1993a) “Yes, Discounts on Closed-End Funds Are a Sentiment Index”, Journal of Finance, Vol. 48, No. 2, P801-808.

15. Chopra, Navin., Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, (1993b) “Summing Up”, Journal of Finance, Vol. 48, No. 2, P811-812.

16. De Long, J. Bradford., Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, (1990) “Noise Trader Risk in Financial Markets”, Journal of Political Economy, Vol. 98, No. 4, P703-738.

17. Diwan, I., Vihang Errunza, and Lemma Senbet, (1993), “Country Funds for Emerging Economics”, working paper, World Bank, McGill University and University of Maryland

18. Doukas, John A., and Nikolaos T. Milonas, (2004) “Investor Sentiment and the Closed-end Fund Puzzle: Out-of-sample Evidence”, European Financial Management, Vol. 10, No. 2, P235-266.

19. Frankel, Jeffrey A., and Sergio L. Schmukler, (2000) “Country Funds and Asymmetric Information”, International Journal of Finance and Economics, Vol. 5, P177-195.

20. Fuertes, Ana-Maria., and Dylan C. Thomas, (2006) “Large Market Shocks and Abnormal Closed-End-Fund Price Behavior”, Journal of Banking and Finance, Vol. 30, P2517-1535.

21. Hardouvelis, Gikas., Rafael La Porta, and Thierry A., Wizman, (1994) “What Moves the Discount on Country Equity Funds?”, The Internationalization of Equity Markets, P345-403.

22. Johnson, G., Thomas Schneeweis and William Dinning (1993) “Closed-End Country Funds: Exchange Rate and Investment Risk”, Financial Analysts Journal, Vol. 49, No. 6, P74-82.

23. Kim, Youngsoo., and Bong Soo Lee, (2006) “Limited participation and the closed-end fund discount”, Journal of Banking & Finance, Vol. 31, P381-399.

24. Klibanoff, Peter., Owen Lamont, and Thierry A. Wizman, (1998) “Investor Reaction to Salient News in Closed-End Country Funds”, Journal of Finance, Vol. 53, No. 2, P673-699.

25. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, (1991) “Investor Sentiment and the Closed-End Fund Puzzle”, Journal of Finance, Vol. 46, No. 1, P75-109.

26. Levy-Yeyati, Eduardo., and Angel Ubide, (2000) “Crises, Contagion, and the Closed-End Country Fund Puzzle”, IMF Staff Papers, Vol. 47, No. 1, P54-89.

27. Low, Cheekiat.,(2004) ”The Fear and Exuberance from Implied Volatility of S&P 100 Index Options”, Journal of Business, Vol. 77, No. 3, P527-546.

28. Malkiel, Burton G., (1977) “The Valuation of Closed-end Investment-Company Shares”, Journal of Finance, Vol. 32, No. 3, P847-859.

29. Pontiff, Jeffrey., (1996) “Costly Arbitrage: Evidence from Closed-end Funds”, Quarterly Journal of Economics, Vol. 111, P1135-1151.

30. Richard, John E., and James B. Wiggins, (2000) “The Information Content of Closed-End Country Fund Discounts”, Financial Services Review, Vol. 9, P171-181.

31. Simpson, Marc W., and Sanjay Ramchander, (2002) “Is Differential Sentiment a Cause of Closed-End Country Fund Premia? An Empirical Examination of The Australian Case”, Applied Economics Letters, Vol. 9, P615-619.

32. Tsai, Pei Jung., Peggy E. Swanson, and Salol K. Sarkar (2007) “Mean and volatility linkages for closed-end Country funds”, Quarterly Review of Economics and Finance, Vol. 47, P550-575.

33. Whaley, Robert., (2000) “The Investor Fear Gauge”, Journal of Portfolio Management, Vol. 26, P12-17.

34. Zweig, Martin E., (1973) “An Investor Expectation Stock Price Predictive Model Using Closed-End Fund Premiums”, Journal of Finance, Vol. 28, No. 1, P67-78.		zh_TW