Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/89630
標題: 匯率波動對基金報酬率影響之研究
A Study on the Effect of Exchange Rate Volatility on the Return Rate of a Mutual Fund
作者: Chia-Hsiu Ho
何嘉修
關鍵字: 動態條件相關係數多變量 GARCH 模型
匯率
基金報酬
波動外溢
Dynamic Conditional Correlation Multivariate (DCC MV-GARCH) GARCH model
exchange rate
mutual fund
volatility spillover
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摘要: 本研究主要利用 Engle(2001)所發表的 DCC-多變量 GARCH 模型 來探討富邦,台灣摩根指數股票型基金(ETF)報酬與台美匯率之間的動態條件相關性。並且利用DCC-GARCH 模型所得到的條件變異數,參考方文碩(2001)方法,建立一波動外溢方程式,來探討富邦台灣摩根 ETF 之報酬與台美匯率變動間的波動外溢效果。本研究資料期間為 2008 年 2 月 14 日到 2013 年 12 月 31 日。實證結果指出匯率變動率在一段期間內顯著負向顯著影響富邦台灣摩根指數股票型基金報酬率。可能原因為美元與台灣股票之間產生資產替代效果,間接影響了國內開放型股票基金的報酬。另外,匯率波動與基金報酬波動之間確實有波動外溢之現象。也就是說,匯率波動增大會擴大富邦台灣摩根指數股票型基金報酬的波動程度。
In this thesis, we apply the DCC MV-GARCH (Dynamic Conditional Correlation Multivariate GARCH) model, proposed by Engle(2001), to discuss the effect of dynamic condition correlation between the Fubon MSCI Taiwan fund's return rate and exchange rate between new Taiwan Dollar and US dollar. And then, we use the conditional variance of the DCC MV-GARCH to formulate a equation of volatility spillover. The equation of volatility spillover is refer to Feng(2001), and it was applied to examine the volatility spillover between the Fubon MSCI Taiwan fund's return rate and the exchange rate varying. The data in this thesis is collected from 2008/02/14 to 2013/12/31. Our result shows that exchange rate varying is negatively related to the return rate of the Fubon MSCI Taiwan fund significantly in a period. The probably reason is that the effect of asset substitution between US dollar and the stocks in Taiwan, and that shocks the domestic stock index fund's returns indirectly. Meanwhile, there is volatility spillover effect between the exchange rate varying and the mutual fund's return rate varying significantly. Therefore, the raising of the exchange rate varying will increase the level the Fubon MSCI Taiwan fund's return rate varying.
URI: http://hdl.handle.net/11455/89630
其他識別: U0005-2406201511433700
文章公開時間: 2016-07-16
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