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研究生:李治平
研究生(外文):Lee, Chih-Ping
論文名稱:亞洲金融風暴與國外機構投資人之行為與影響
論文名稱(外文):The Role of Foreign Institutional Investors in the Asian Financial Crisis
指導教授:邱顯比邱顯比引用關係
指導教授(外文):Chiu, Shean-Bii
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:中文
論文頁數:115
中文關鍵詞:亞洲金融風暴機構投資人基金流量
外文關鍵詞:The Asian Financial CrisisInstitutional InvestorsFund Flows
相關次數:
  • 被引用被引用:13
  • 點閱點閱:283
  • 評分評分:
  • 下載下載:80
  • 收藏至我的研究室書目清單書目收藏:4
本文探討共同基金在亞洲金融風暴中的角色。我們由馬來西亞、泰國、印尼、新加坡、菲律賓、韓國、香港等七個地區之資金流量資料與股匯市變化的分析中發現:(一)股價及外資流出多領先風暴發生之時點。(二)外資淨流量只佔當地股市成交量或市值的一小部份,不太可能是造成亞洲金融風暴的主因。(三)風暴後外資淨流量之幅度縮小,外資對亞洲投資變得十分謹慎。(四)外資淨流量與當地股市報酬率之相關正負不一,難以斷定在金融風暴前後到底是外資或本地人具資訊優勢。此外我們亦探討23支封閉型國家基金淨值與市價在金融風暴前後之交互作用。首先,在基金淨值與市價因果關係方面,我們發現半數基金美國的市價對於亞洲的基金淨值並不存在顯著的影響關係,但全部的亞洲基金淨值對於美國市價卻存在顯著的因果影響因素。在VAR模型分析方面,實證結果顯示在亞洲金融風暴前後,淨值報酬率的衝擊對於市價報酬率的影響,以第一期最大(正向)。市價報酬率數列的變異數,在第一期即被淨值報酬率解釋高達33.8%,之後所增加的解釋比率皆有限。
This paper explores the behavior of institutional investors during the Asian Financial Crisis. We examined the relations between foreign portfolio investment fund flows and movements in the foreign exchange and stock markets of host countries and found that foreign fund flows are hardly the decisive cause of the crisis. In addition, we utilized the Granger causality test for the NAVs and share prices of 23 closed-end country funds which invest in crisis-affected Asian countries and established a vector autoregressive (VAR) model to analyze the impulse-response effect. Based on our model, fund NAVs significantly influence the share prices in the U.S., but the opposite doesn''t hold. Besides, over 30% of the variance of share price returns is explained by NAV returns lagging one period.
目 錄
表 次 ix
圖 次 x
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 5
第三節 研究架構 5
第二章 文獻探討 7
第一節 基金市場效率性之研究 7
第二節 機構投資人對股匯市之影響 11
第三節 政府管制措施之探討 13
第三章 研究方法 15
第一節 資料來源 15
第二節 探索式研究 16
第三節 計量分析 16
第四章 實證結果分析 21
第一節 資金流量與股匯市關係之探索 21
第二節 計量分析結果 39
第五章 結論與建議 55
參考文獻 57
附 錄 61
一、 中文部分
1. 邱顯比,1993,『 海外台灣基金與台灣股市之互動 』,中國財務學會年會論文集,民國八十二年,第593-617頁
2. 劉憶如,1999,『 東亞十國-- 亞洲金融風暴前與後 』,商鼎財經顧問公司,民八十八年。
二、英文部分
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4. Bodurtha J. N., Kim D. and Lee Charles. M. C. (1995), “Closed-end Country Funds and U. S. Market Sentiment,” The Review of Financial Studies, vol. 8, No. 3, pp. 879-918
5. Bonser-Neal, Catherine, Greggory Brauer, Robert Neal and Simon Wheatley (1990), “International Investment Restrictions & Closed-end Country Fund Prices,” The Journal of Finance, vol. 45, No. 2, pp. 523-547
6. Brauer (1988), “Closed-end Fund Shares’ Abnormal Returns and the Informational Content of Discounts and Premiums,” The Journal of Finance, March 1988, pp. 113-127
7. Chan, Louis K. C., and Narasimhan Jegadeesh, and Joseph Lakonishok, 1996, Momentum strategies, The Journal of Finance 50,1681-1713.
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10. Choe, Hyuk, and Kho, Bong-Chan, and Stulz, Rene M., 1998, Do foreign investors destabilize stock markets? The Korean experience in 1997, NBER Working Paper Series 6661.
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12. Cooper, Ian A., and Evi Kaplanis, 1994, Home bias in equity portfolio, inflation hedgung, and international capital market equilibrium, The Review of Financial Studies 7, 45-60.
13. De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summersand Robert J. Waldmann (1990), “Noise Trader Risk in Financial Markets,” The Journal of Political Economy, August 1990, pp. 703-738
14. Dicky, D. A. and Fuller, W. A. (1979), “Distribution of the Estimators for Auto-regressive Time-Series with a Unit Root,” Journal of the American Statistical Association, vol. 74, pp. 427-431
15. Eun, Cheol and Sangdel Shim (1989), “International Transmission of Stock Market Movement,” The Journal of Financial and Quantitative Analysis, June 1989, pp. 241-256
16. ____, and S. Janakiramanan (1986), “A Model of International Asset Pricing with a Constraint of the Foreign Equity Ownership,” The Journal of Finance, September 1986, pp. 897-914
17. Frankel, Jacob A., 1991, Quantifying international capital mobility in the 1980’s in Douglas Bernheim and John B. Shoven, Eds.: National Savings and Economic Performance, (University of Chicago Press, Chicago).
18. Frankel, Jaffrey A., 1994, Sterilization of money inflows: Difficult (Calvo)or easy (reisen)? In Afluencia de capitales y estabilizaction en America Latina, edited by Roberto Steiner, Fedesarrollo, Bogota, 241-267.
19. French, Kenneth R., and James M. Poterba, 1991, Investors diversification and international equity markets, The Amercian Economic Review, Papers and Proceedings 81, 222-226.
20. Grinblatt, Mark, Sheridan Titman, and Russ Wermers, Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior, The American Economic Review 85(5), 1088-1105
21. ________________, and Schmuler, Sergio L., 1996, Country fund discounts, asymmetric information and the Mexican crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors? NBER Working Paper Series 5714.
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23. Jegadeesh, Narasimhan, and Sheridan Titman (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” The Journal of Finance, vol. 48, pp. 65-91
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26. Kim, Woochan, and Wei, Shang-Jin, 1999, Offshore investment funds: Monsters in emerging markets? NBER Working Paper Series 7133.
27. Kwan, Andy C. C. and Sim, Ah-Boon (1995), “The Causal Relationship between Equity Indices on World Exchanges,” Applied Economics vol. 27, pp. 33-37
28. Lakonishok, J. Shleifer, A., Thaler, R. and Vishny, R. W. (1991), “Window Dressing by Pension Fund Managers,” The American Economics Review, Papers and Proceedings, vol. 81, pp. 227-231
29. ____ and Andrei Shleifer, and Robert W. Vishny (1992), “The Impact of Institutional Trading on Stock Price,” Journal of Financial Economics 32, pp. 23-43
30. Lamm, H. and D. G. Myers (1978), “Group-induced Polarization of Attitudes and Behavior,” Advances in Experimental Social Psychology, pp. 145-195
31. Lee Charles M. C., A. Shleifer and Richard H. Thaler (1991), “Investor Sentiment and Closed-end Fund Puzzle,” The Journal of Finance, March 1991, pp. 75-109
32. Pontiff J. (1992), “Costly Arbitrage and Closed-end Fund Discounts,” Working Paper, University of Washington at Seattle
33. Radelet, Steven, and Jeffery Sachs, 1998, The onset of the East Asian Financial Crisis, Unpublished working paper, Harvard Univ..
34. Shiller, R. J. (1989), “Survey Evidence of Diffusing of Interest among Institutional Speculators,” Journal of Economic Behavior and Organization, Vol. 12, pp. 47-66
35. ____ and Pound, J. (1987), “Are Institutional Investors Speculators,” The Journal of Portfolio Management, vol. 14, pp. 47-52
36. Stiglitz, Joseph, 1998, Boats, plants and capital flows, Financial Times, March 25.
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