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    题名: 封閉型國家基金報酬因素之探討
    作者: 郭永正
    贡献者: 沈中華
    李金桐
    張元晨

    郭永正
    关键词: 封閉型國家基金
    投資多樣化
    CECF
    VAR
    日期: 2002
    上传时间: 2009-09-18 17:35:36 (UTC+8)
    摘要: 摘 要

    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。
    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。
    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。



    關鍵詞:CECF、封閉型國家基金、VAR、投資多樣化
    參考文獻: 參考文獻
    一、中文文獻
    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。
    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。
    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。
    二、英文文獻
    1. Abdur R. Chowdhury(1994),” The behavior of closed-end country fund prices in the Asian NIEs.”, Applied Economics Letters, 1: pp.219-222,1994.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    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.
    18. Patro DK(2001), “Measuring performance of international closed-end funds.”, Journal of Banking & Finance 25 (9): pp.1741-1767, SEP 2001.
    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.
    描述: 碩士
    國立政治大學
    財政研究所
    90255011
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090255011
    数据类型: thesis
    显示于类别:[財政學系] 學位論文

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