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標題: 以國家及產業角度分析歐盟股市連動與投資分散效益
Comovements and Benefits of Investment Diversifications from Country and Industry Perspectives in the EU Stock Markets
作者: 許皓程
Hsu, Hao-Cheng
關鍵字: 國際連動;International comovement;歐盟股市;動態投資策略;國家與產業;European stock markets;Dynamic investment strategies;Country and industry
出版社: 財務金融系所
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研究主題一以長期均衡與短期動態相依之觀點,探討歐盟區國家與產業股市整合之程度。藉由共整合檢定(Johansen’s method)顯示,國家與產業股市同時存在共移之均衡關係,此舉將削減歐盟區長期投資分散之效益。此外,亦應用DCC GARCH模型(Dynamic Conditional Correlation GARCH),探討國家與產業股票市場的動態相關性變化, 並以平滑轉換模型(Smooth Transition Model),剖析股市動態相關性轉變之程度、速度與時間點。
研究主題二以國家與產業投資組合為例, 利用馬可維茲的平均數-變異數投資組合理論,建構效率前緣並作為估計國際股市投資之工具。該研究採用1991年10月16日至2012年3月14日之週資料為樣本,,探討不同投資策略之績效表現。研究結果發現,在歐洲資本市場採用動態條件相關性模型之績效顯著優於靜態資產配置之績效。DCC GARCH 模型能精準估計股市相關性的動態變化,進而建構較佳的投資策略,在承受單位風險下追求最高報酬。此外,該研究亦以歐元導入為時間切割點,將樣本分為歐元導入前時期(1991年10月16日至1998年12月31日)與歐元導入後時期(1999年1月1日至2012年3月14日),衡量國家與產業投資策略的投資績效。研究結果發現:相較於國家投資策略,產業投資策略能帶來更多投資分散的機會。

The dissertation mainly composes of two research topics. First one is discussed in the chapter II titled “International comovement of European country and industry stock markets”. The other is presented in the chapter III titled “Benefits of diversifying investments in the European area stock markets: Country versus industry perspective”.
Chapter II examines the extent to which country and industry equity markets have become more integrated within European equity markets, simultaneously accounting for long-term and short-term perspectives. Johansen’s method is used to provide evidence of common trends in both country and industry equity indices, implying that, in the long run, there is little to be gained from diversifying portfolios within this region. In addition, integration is empirically measured by determining the dynamic conditional correlation (DCC) between each market using a DCC GARCH model. The evolution of these correlations is then tracked over time using a smooth transition model, showing not only when greater integration occurred but also how quickly these correlations moved to their new levels. The results indicate that the degree of co-movement increases for equity returns between countries as well as industries. Stock market integration among EU member states and participants in the European area is negatively correlated with foreign exchange risk, with results showing significantly higher country and industry correlations among eurozone members than among non-euro countries.
Using weekly data from 1991/10/16 to 2012/3/14, the chapter III offers some policy implications for the investors and risk managers allocating their funds to foreign assets inside the European Union. Comparing different investment strategies, the empirical results shows that dynamic portfolios have substantially higher mean Sharpe ratios than static portfolios in the European stock markets. DCC GARCH models help in estimating the correlation dynamics precisely, and resulting in better investment strategies and providing superior reward-to-risk ratio to investors.In addition, to investigate the debate on whether country or industry portfolios provides better diversifications effects, this dissertation splits the whole period into two relevant subsamples by Euro Introduction:the pre-Euro period (1991/10/16-1998/12/31) and the post-Euro period (1999/1/1-2012/3/14). The results show that sector indices provide significantly greater diversification opportunities than do country indices. These results clarify the question:Whether actively pursuing geographical or industrial diversification do add diversification opportunities?
Theoretically, accurate estimation of the correlation dynamics of equities in weekly-rebalanced portfolios results in improved performance over portfolios rebalanced at lower frequencies (i.e., monthly or quarterly). However, frequent rebalancing of portfolios among different assets increases turnover, incurring additional transaction costs. To provide a more direct evaluation the influences of rebalancing frequency on dynamic asset allocation performance, the study was repeated with monthly and quarterly time horizons, with results show that dynamic country and industry portfolios strategies provide values from conditional information.
其他識別: U0005-1511201208262700
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