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| Title: | 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）
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. |
| Authors: | 詹佳倫
Chan, Chia-Lun |
| Contributors: | 周冠男
Robin K. Chou
詹佳倫
Chan, Chia-Lun |
| Keywords: | 聯博全球非投資等級債
高收益債
探索性分析
線性模型
變異數同質性檢定
利率
AB FCP I-Global High Yield Portfolio
High-yield bonds
Python
Exploratory analysis
Linear models
Homogeneity of variance test
Interest rate |
| Date: | 2023 |
| Issue Date: | 2023-09-01 15:11:15 (UTC+8) |
| Abstract: | 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。
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. |
| Reference: | 1.陳香君 (2010) - "美國公債、投資級債券與高收益債殖利率關係之研究" （碩士論文）。國立臺灣大學經濟學研究所。
2.林妙姿 (2012) - "高收益債券基金報酬率影響因素之分析"。 （碩士論文）。朝陽科技大學財務金融系碩士班。
3.吳中嵐 (2014) - "聯博全球高收益債券基金在我國成功原因之探討 "。 （碩士論文）。國立臺灣大學企業管理碩士專班。
4.陳宜偉 (2015) - "影響高收益債券基金績效因素之實證研究"。 （碩士論文）。國立中興大學高階經理人碩士在職專班。
5.陳淑芬 (2016) - "高收益債券型基金績效分析" （碩士論文）。國立中央大學財務金融系在職專班。
6.王裕信 (2016) - "高收益債券基金之績效評估" （碩士論文）。南華大學財務金融學系財務管理碩士班。
7.呂文良 (2016) - "高收益債券基金之配息率與投資績效探討" （碩士論文）。國立高雄應用科技大學金融資訊碩士在職專班。
8.黃于珊 (2016) - "文字探勘在總體經濟上之應用－ 以美國聯準會會議紀錄為例"（碩士論文）。國立政治大學金融學系。
9.洪于茜 (2017) - "美國升息對於債券型基金報酬之影響"。 （碩士論文）。國立高雄第一科技大學財務管理系碩士專班。
10.蔡盟文 (2017) - "美國聯邦基準利率S&P500指數與美國高收益債指數的聯動分析"（碩士論文）。國立中興大學應用經濟學系所。
11.劉芷宜 (2018) - "美國聯準會的權力與獨立──以歷史發展和組織架構為中心"（碩士論文）。國立臺灣大學科際整合法律學研究所。
12.何翊群 (2019) - "台灣核備之高收益債券基金–長期投資風險與報酬分析"（碩士論文）。國立中山大學高階經營碩士在職專班。
13.李青育 (2021) - "高收益債券投資決策之關鍵因子---多準則決策模型之應用"（碩士論文）。國立臺北大學國際財務金融碩士在職專班。
14.傅志偉 (2022) - "聯博全高收債券基金之淨值變動與投資策略分析"。 （碩士論文）。國立中山大學國際財務管理學系研究所。
15.黃威霖 (2022) - "利用褐皮書預測美國聯準會升降息決策"。 （碩士論文）。國立臺灣大學財務金融學研究所。
網路資料
1. 財經Ｍ平方 https://www.macromicro.me
2. 基金資訊觀測站 https://www.fundclear.com.tw
3. Yahoo Finance https://finance.yahoo.com
4. 彭博資訊 https://www.bloomberg.com/asia
5. 聯博投信 https://www.abfunds.com.tw |
| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
110932132 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110932132 |
| Data Type: | thesis |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
|
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| 213201.pdf | | 8121Kb | Adobe PDF2 | 79 | View/Open |
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