臺灣博碩士論文加值系統

2008年12月以來，美國聯準會為了紓解金融海嘯引起信用緊縮與經濟衰退的危機，實施量化寬鬆及連續降息，形成十年低利率的金融環境，造成國人近幾年持有高收益債券型基金的比重越來越高。然而高收益債兼具股、債特性，極易受到總體經濟環境的影響；故本研究選取2005年1月至2017年12月的7檔境外全球高收益債券型基金平均月報酬率與美國5項領先整體景氣變化指標進行分析其關聯性，作為投資決策時之參考。由共整合檢定發現，境外全球高收益債券型基金平均月報酬率、美國初次請領失業救濟金人數、美國ISM製造業指數、美國新屋開工、美國紐約史坦普爾500股價指數以及美國十年期公債與聯邦基金之利率差之間，存在長期穩定均衡關係。進一步應用誤差修正模型估計變數之間的短期與長期關係；並以衝擊反應函數與預測誤差變異數分解分別瞭解美國領先指標變動下，境外全球高收益債券型基金報酬率的反應程度，以及當境外全球高收益債券型基金報酬率的變動下，美國領先指標變數的相對解釋能力。結果發現：境外全球高收益債券型基金平均月報酬率之預測誤差變異數分解，自身的解釋能力達100%，顯示境外全球高收益債券型基金平均月報酬率的自發性極強，不受外生變數之影響。美國景氣領先指標應為影響境外全球高收益債券型基金平均月報酬率的重要因子，惟因本研究觀察期間在美國實行量化寬鬆政策，增加貨幣供給，導致利率下降和美元貶值，投資人不在意景氣榮枯，購買較股票風險低報酬卻比定存息高的高收益債券型基金，然而，美國聯準會自2017年10月開始縮表，歐洲央行、日本央行也在悄悄地降低資產購買的步伐。投資高收益債券型基金的報酬率將受到影響，因此仍應以實質經濟基本面做為主要考量，才能持盈保泰。

Since December 2008, in order to release the crisis of credit crunch and economic recession caused by the financial crisis, FED has implemented quantitative easing and continued cutting interest rates, forming a financial environment with ten-year low interest rate and leading to the increase of the proportion of people with high-yield bond fund in recent years. However, high-yield bond has properties of both stock and bond, highly vulnerable to the overall economic environment. This thesis selects seven average monthly return rates of overseas global high-yield bond funds from January 2005 to December 2017, and five leading overall booming market change indices to analyze their relations for the reference of investment decision-making. From the cointegration test, the author discovered that there is a long-term stable equilibrium relationship among the average monthly return rates of overseas global high-yield bond funds, the applicants of average weekly initial claims for unemployment insurance, Institute of Supply Management Manufacturing Index (ISM), building permits,new private housing units, N.Y. S&P 500 Stock Index, and Interest rate spread,10-year Treasury bonds less federal funds. The author further adopts the error correction model to evaluate the long-term and short-term relations among variable and uses the impulse response function and forecast error variance decomposition to respectively test the reaction degree of the return rates of overseas global high-yield bond funds under the changing of American leading indicator as well as the relative explanatory ability of American leading indicator variable with the changing of the return rates of overseas global high-yield bond funds. It is discovered that the explanatory ability of the forecast error variance decomposition of the average monthly return rates of overseas global high-yield bond funds is as high as 100%, which indicates the strong spontaneity of the average monthly return rates of overseas global high-yield bond funds and it will not be affected by exogenous variable. America’s booming market leading indices are important factors of influencing the average monthly return rates of overseas global high-yield bond funds. During the observing period of this study, the US was implementing the quantitative easing policy and increasing currency supply, which led to interest rate reduction and US dollar depreciation. However, investors paid no attention to the prosperity vicissitudes and purchased the high-yield bond funds which are lower than stock in risk but higher than fixed deposit interest. Since December 2017, FED has begun to reduce its balance sheet. Meanwhile, the European Central Bank (ECB) and Bank of Japan (BOJ) are also quietly lowering the pace of asset purchase. The return rates of the investment of high-yield bond funds will be affected. Therefore, the fundamentals of substantial economy should be listed as the main consideration so as to maintain investors wealth.

目 錄

致謝辭.................................................. Ⅰ
中文摘要................................................ Ⅱ
ABSTRACT............................................... Ⅲ
目錄.................................................... IV
圖目錄.................................................. VI
表目錄.................................................. VⅢ
第一章　緒 論........................................... 1
第一節　研究背景與動機.................................... 1
第二節　研究目的......................................... 3
第三節　研究流程......................................... 4
第四節　論文架構......................................... 5
第二章 文獻回顧......................................... 6
第一節 高收益債券之定義及特性相關文獻...................... 6
第二節 基金績效評價相關理論及文獻.......................... 8
第三節 影響高收益債券型基金報酬率的因素相關文獻..............13
第四節 高收益債券基金績效與總體經濟變數之關聯性相關文獻探討... 16
第五節 小結............................................. 18
第三章 資料與研究方法..................................... 21
第一節 理論基礎.......................................... 21
第二節 模型設定樣本選取標準、資料來源....................... 34
第三節 變數定義與資料來源研究假說........................... 36
第四章 實證結果與分析..................................... 45
第一節 敘述性統計......................................... 45
第二節 境外全球高收益債券基金報酬率與美國領先指標之間的關聯性
實證結果分析....................................... 52
第五章 結論與建議........................................ 75
第一節 研究結論......................................... 75
第二節 研究建議......................................... 78
參考文獻................................................ 79
一、 中文部份......................................... 79
二、 英文部份......................................... 81

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