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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67102


    Title: 國際資產配置與匯率避險
    Global Asset Allocation and Currency Hedge
    Authors: 許文益
    Hsu, Wen Yi
    Contributors: 廖四郎
    林士貴

    許文益
    Hsu, Wen Yi
    Keywords: 國際資產配置
    匯率避險
    Global Asset Allocation
    Currency Hedge
    Date: 2013
    Issue Date: 2014-07-01 12:07:07 (UTC+8)
    Abstract: 本篇論文主要以事後的角度,分析美國實施量化寬鬆政策前後,在股市和房市上分別以ETF和REITs作為工具,研究如何進行國際資產配置以及匯率避險。國際資產配置包含兩項重要的工作:投資組合的建立以及匯率風險的管理,首先本研究會先以平均數─變異數投資組合模型以及夏普評鑑法進行投資組合的建構,接著以詹森迴歸法比較該投資組合與市場上其他指標基金有無超額報酬,最後再以最低變異數避險比率進行匯率避險,觀察績效改善的情況。
    研究期間為2003年1月至2014年3月,時間序列切成金融危機前、金融危機期間、QE I、QE II和QE III期間,分析ETF投資在已開發和新興共24個國家,以及REITs投資在18個國家的結果。本篇研究發現:
    一、從相關係數的變化可以發現一個國家所引發的金融事件可能會成為國際性的金融危機。
    二、前後三次量化寬鬆政策成效以第一次最為明顯,之後報酬率的成長大抵上和量化寬鬆的規模呈正向關係。
    三、金融危機前大多配置在新興國家,但股市於前兩次量化寬鬆時期配置於新興國家的比重較多,在第三次時則較多配置在已開發國家;而房市在三次量化寬鬆期間並無配置於某一型國家的偏好。
    四、三次量化寬鬆期間最佳配置組合均優於新興國家型指標基金,說明單獨投資在新興國家頗不理想,突顯出國際資產配置的重要性。
    五、金融危機前進行匯率避險績效可獲得改善,但除了ETF最適配置組合在QE I時期有獲得相當的績效改善之外,其他時期和REITs最適配置組合僅只報酬率標準差下降,績效改善幅度均不大。
    Reference: 中文部分:
    1. 涂韶鈺(2005),「國際資產配置之最適策略研究:使用拔靴複製法」,國立中央大學財務金融學系碩士在職專班碩士論文。
    2. 陳仙穎(2003),「國際資產配置與匯率避險之實證研究」,國立台灣大學國際企業學研究所碩士論文。
    3. 陳松男(2001),「金融分析:投資、融資策略與衍生創新」,復旦大學出版社。
    4. 陳松男(2008),「投資組合管理與資產配置策略:理論與實務應用」,新陸書局。
    5. 陳榮茂(2000),「國際資產配置與投資期限、資產種類關係之實證」,國立中央大學財務管理研究所碩士論文。
    6. 黃宜靖(2006),「不動產投資信託於國際資產配置角色之研究」,國立中央大學財務金融學系碩士在職專班碩士論文。
    7. 顏光斌(2009),「美國次級房貸風暴對台灣不動產投資信託證券(REITs)價格之影響」,國立高雄第一科技大學金融系碩士論文。

    英文部分:
    1. Chen, Son-Nan. (1987), “Simple Asset Allocation Under Uncertainty.” Journal of Portfolio Management (Summer), 69-74.
    2. Chen, Son-Nan and William T. Moore. (1985), “Uncertain Inflation and Optimal Portfolio Selection: A Simplified Approach.” The Financial Review (November), 343-352.
    3. Eaker M., D. Grant, and N. Woodard. (1991), “International Diversification and Hedging: A Japanese and U.S. Perspective.” Journal of Economics and Business, Volume 43, Issue 4, 363-374
    4. Elton, E. J., M. J. Gruber, and M. W. Padperg. (1976), “Simple Rules for Optimal Portfolio Selection.” Journal of Finance (September), 1087-1093.
    5. Fama, Eugene F. and G. William Schwert, (1977), “Asset Returns and Inflation.” Journal of Financial Economics 5, 115-146.
    6. Geske, R. and R. Roll. (1983), “The Fiscal and Monetary Linkage Between Stock Returns and Inflation.” Journal of Finance (March), 1-33.
    7. Glen, Jack and Philippe Jorion. (1993), “Currency Hedging for International Portfolios.” The Journal of Finance, Volume 48, Issue 5 (December), 1865-1886.
    8. Grubel, H. (1968), “Internationally Diversified Portfolios: Welfare Gains and Capital Flows.” American Economic Review 58, 1299-1314.
    9. Henriksson, Roy, and Robert Merton. (1981), “On Market Timing and Investment Performance II.” Journal of Business 54 (October), 513-533.
    10. Jensen, M. C. (1968), “The Performance of Mutual Funds in the Period 1945-1964.” Journal of Finance 23, 389-416.
    11. Johnson, L. L. (1960), “The Theory of Hedging and Speculation in Commodity Futures.” Review of Economic Studies, Vol. 27, No. 3, 139-151.
    12. Jorion, P. (1986), “Bayes-Stein Estimation for Portfolio Analysis.” Journal of Financial and Quantitative Analysis 21, 279-292.
    13. Madura, J., and W. Reiff. (1985), “A Hedge Strategy for International Portfolios.” Journal of Portfolio Management, No. 1, 70-74
    14. Markowitz, H. (1952), “Portfolio Selection.” Journal of Finance 7, 77-91.
    15. Miffre, Joelle. (2006), “Country-Specific ETFs: An Efficient Approach to Global Asset Allocation.” EDHEC Risk and Asset Management Research Centre.
    16. Nelson, C. R. (1976) “Inflation and Rates of Return on Common Stock.” Journal of Finance (May), 471-483.
    17. Sharpe, W. F. (1966), “Mutual Fund Performance.” Journal of Business 39.
    18. Solnik, B. (1974), “Why Not Diversify Internationally Rather Than Domestically?” Financial Analysts Journal (January-February).
    19. Solnik, B. (1983), “The Relationship Between Stocks Prices and Inflationary Expectations: The International Evidence.” Journal of Finance (March), 35-48.
    20. Solnik, B. and A. de Freitas. (1988), “International Factors of Stock Price Behavior in Recent Developments in International Finance and Banking.” S. Khoury and A. Ghosh, Lexington MA, 259-276.
    21. Treynor, Jack and Kay Mazuy. (1966), “Can Mutual Funds Outguess the Market?” Harvard Business Review 44 (July/August), 131-136.
    Description: 碩士
    國立政治大學
    金融研究所
    101352015
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101352015
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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