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標題: 國際股市投資主權風險分散效益-以iSharesETF為例
Diversification benefits of Sovereign Risk in global stock market: empirical analysis of iShares ETF
作者: 許偉成
Hsu, Wei-Cheng
關鍵字: Naive風險分散;Naive diversification;風險最適投資組合;Optimal risky portfolio
出版社: 財務金融系所
引用: 中文部分 1. 吳壽山、王佳真及陳文華(1998),風險值體系運用之探討,交大管理學報,18(2)。 2. 林基煌(2001),外資及外國專業機構投資人之交易行為與對新興國家股、匯市的影響-以台灣為例。 3. 沈樺岳(2002),基金績效評估與最適投資組合分析-風險值之應用,長庚大學企業管理研究所碩士論文。 4. 鄭錦雅、遲國泰(2001),基於差異係數σ/μ的最優投資組合方法,中國管理科學,9(1)。 英文部分 1. Bird,R.and M.Trippett(1986),Naive Diversification and Portfolio Risk-A note. Management science。 2. Chan,L.K.Jegadeesh,and J.Lakonishok(1996),Momentum Strategies, Journal of Finance。 3. Cheng,P.,and Liang,Y(2000),Optimal Diversification: Is It Really Worthwhile? Journal of Real Estate Portfolio Management。 4. Compers,P.A.,and A.Metrick(2001),Institutional investors and equity prices, Quarterly Journal of Economics。 5. DeMiguel,V.,Garlappi,L.,and Uppal,R(2007),Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? 6. Evans,J.L.,and S.H.Archer(1968), Diversification and the reduction of dispersion: an empirical analysis, Journal of Finance。 7. Elton,Edwin J.and Martin J.Gruber(1977),Risk reduction and portfolio size: an analytical solution. Journal of Business。 8. Edwin J.Elton, Matin J.Gruber, Sanjiv Das, Matthew Hlavka(1993),Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios。 9. Friend,I.,Blume, M.,Crockett, J.(1970),Mutual funds and others institutional investors, New York: Mx-Graw-Hill。 10. Falkenstein,E.G.(1996),Preferences for stock characteristics as revealed by mutual fund portfolio holdings. The Journal of Finance。 11. Grubel, H.G.(1968),Internationally diversified portfolios: Welfare gains and capital flows ,American Economic Review。 12. Grinblatt, M. and S.Titman, and R. Wermers(1995),Momentum investment strategies, portfolio performance, and herding: a study of mutual fund behavior ,American Economic Review。 13. Hedge, S.P. and J.B. McDermott(2004),The market liquidity of DIAMONDS, Q’s and their underlying stocks, Journal of Banking and Finance。 14. Jegadeesh, Narasimhan and Sheridan Titman(1993),Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiecy. Journal of Finance。 15. Jorion, P(2002),Enhanced index funds and tracking erroe optimization, working paper。 16. Jorion, P(2003),Portfolio optimization with tracking-error constraints, Financial Analyst Journal。 17. Levy, R.A.(1967),Relative Strength as a criterion for investment selection, Journal of Finance。 18. Levy, H. and H. M. Markowitz(1979),Approximating Expected Utility by a Function of Mean and Variance。 19. Levy, H. and Z. Lerman(1988). The Benefits of International Diversification in Bonds, Financial Analysts Journal。 20. Lakonishok, J.,A. Shleifer, and R.W. Vishny(1992),The impact of institutional trading on stock prices, Journal of Financial Economics。 21. Pennathur, A. K., Delcoure, N., & Anderson, D(2002),Diversification Benefits of iShares and Closed‐End Country Funds.Journal of Financial Research。 22. Roll R(1992), A Mean/Variance Analysis of Tracking Error. Journal of Portfolio Management。 23. Scharfstein, D. S., and J.C. Stein(1990),Herd Behavior and Investment, American Economic Reviews。
本研究致力於以各國ETF建立國際投資組合,ETF具備立即申購與贖回之特性,使基金貼近淨資產價值且不易受流動性風險影響,較受機構投資人偏好,但指數之追蹤誤差與追蹤差異為ETF投資人關注的議題,故本文首先檢視各國ETF之追蹤有效性,實證結果大多數ETF皆可有效追蹤指數,因此ETF確實為適合的投資工具。由於ETF具備一籃子股票特性,個別公司的非系統性已被分散,如何降低主權風險最為國際投資人所關注,從實證結果可知,各國與各洲區間之相關係數逐年增加,顯示跨國投資達到主權風險分散的程度有限,此外由naive diversification也證實投資各國ETF的風險分散程度逐年遞減,在考量邊際成本下,選取一最適投資樣本數實有其必要性,本研究藉由最適樣本數建立風險最適之國際投資組合,實證結果發現投資過去sharpe比率較大的國家可獲得優於比較標準之投資收益。

This research is dedicated to construct international portfolio by country ETF which posses the characteristics of creation and redemption and it’s market value is close to net asset value. Institutional investors prefer ETF because it can avoid the liquidity risk, but they concern with the topics about tracking error and difference of ETF. First, we check the tracking effectiveness of ETF and found out that most ETF can track the index well. Invest in one unit ETF is equal to invest in a bundle of stocks , the individual non-systematic risk has been diversified. As a result, international investors must recognize how to reduce sovereign risk efficiently. From the empirical results, we found that the correlation coefficients between each country and state are getting higher in the long run , therefore the international diversification benefits of sovereign risk are worse. On the other way, the naive diversification also demonstrate that international diversification benefits are reduced. Considering the marginal cost and other transaction cost, it is necessary to determine a optimal sample. At last, we construct international portfolio by optimal risky portfolio, and found that the performance is better than the benchmark.
其他識別: U0005-1706201314334300
Appears in Collections:財務金融學系所

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