臺灣博碩士論文加值系統

近年來國際資本市場間的互動愈來愈密切，同時也吸引了眾多學者對海外投資分散效果的研究。這篇論文嘗試研究美國及台灣資本市場間的整合情形，希冀能發現兩地市場分散投資之效果。但研究結果顯示，台灣資本市場尚未與美國整合，使得台灣投資者將部分資金投資美國，可以獲得風險分散的效果。
同時，本篇論文也探討另一課題：投資人是否能以只投資國內市場上買得到的金融商品，來達到自製型的海外投資分散效果呢？透過台灣現有市場上可買到的海外基金，此篇論文建構出一些投資組合以分析該效果，但卻發現自製型的海外投資分散效果並不存在於台灣資本市場，這也意味著分散投資之策略確有分散風險的效果。

The diversification benefits from exposure to foreign equity markets recently have attracted much attention. In this paper, I examine the integration between American and Taiwan stock markets trying to find out whether the relationship exists. The result indicates that Taiwan equity markets do not integrate with the U.S. Taiwan investors can gain diversification benefits by investing in the U.S.
I also study another issue: is it possible to achieve the home-made diversification by investing capital assets traded in domestic markets? I try to conduct this concept in Taiwan capital market. By constructing some portfolios with country funds, research results present evidence of not obtainable home-made effect. This means international diversification strategy really yields the diversification effect.

Contents
Ⅰ. Introduction……………………………………………………………1
Ⅱ. Literature Review…………………………………………………...3
A. International Transmission…………………………………………3
B. Return Improvement or Risk Reduction……………………………4
C. Home-made Abilities…………………………………………………4
Ⅲ. Sample Characteristics and Research Methodology…………6
A. Data Description……………………………………………………6
B. Sample Characteristics…………………………………………...6
C. The Methodology…………………………………………………...9
Ⅳ. The Interaction between Taiwan and U.S. Stock Markets……11
Ⅴ. Home-made Diversification………………………………………17
A. Country Funds Portfolio in Home-made Diversification………17
B. Construction of Home-made Portfolio ……………………………18
C. Home-made Diversification Ability…………………………………21
Ⅵ. Conclusion…………………………………………………………….26
Reference………………………………………………………………28

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