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研究生:劉玉羚
研究生(外文):Yu-Ling Liou
論文名稱:跨國動能與逆勢策略下之最適貨幣選擇
論文名稱(外文):The Optimal Choice of Currency DenominationUnder Global Momentum and Contrarian Strategies
指導教授:黃琛瑞黃琛瑞引用關係
指導教授(外文):Chen-Jui Huang
學位類別:碩士
校院名稱:東海大學
系所名稱:財務金融學系
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:2007
畢業學年度:95
語文別:英文
論文頁數:38
中文關鍵詞:指數股票型基金動能與逆勢策略跨國資產配置
外文關鍵詞:ETFsMomentum and contrarian strategiesGlobal asset allocation
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本研究從實證角度探討台灣投資人是否能夠透過跨國動能與逆勢策略買賣個別國家之ETF而從中獲利,並研究1999年問世之歐元是否具有優勢以提供投資人更多將資產配置在不同幣別的機會,同時搭配跨國動能、逆勢策略創造出超越傳統關鍵貨幣美元之績效。研究結果可提供機構或個人跨國投資策略之參考。
主要實證結果包括(1)逆勢策略在短期即產生顯著之正向報酬;(2)投資人在進行跨國動能與逆勢策略之操作時,以台幣計價之歷史報酬組成投資組合的效果優於以外幣計價之歷史報酬所組成的投資組合;(3)就進行跨國動能、逆勢策略之台灣投資人而言,即使歐元計價ETF在本研究所考慮之投資標的所占比例低於美元計價ETF,但歐元計價ETF出現在投資組合中的頻率仍然很高,顯示歐元在全球ETF市場扮演關鍵角色之潛力。
This empirical study is intended as investigation into the gains from global momentum and contrarian strategies for Taiwan’s investors with data comprised of ten country-specific exchange-traded funds (ETFs), and the possibility of an optimal choice in terms of currency denomination. Our empirical results reveal that (1) contrarian-based returns are significant at all covered periods; (2) forming country-specific ETF momentum and contrarian portfolios based on past returns measured in TWD returns rather than in foreign currency returns would be a better approach from the perspective of Taiwanese; (3) despite that the number of euro- denominated ETFs is lower than the number of dollar-denominated ETFs in our pre-selected sample, euro-denominated ETFs still have the highest frequency of being chosen in our portfolios, suggesting hence a potentially diversifying role for the euro in the global ETF market.
Contents
1. Introduction 1
1.1. Research Motivation 1
1.2. Analytical Framework 3
2. Profile of ETFs 5
2.1. Brief History 5
2.2. Characteristics of ETFs 5
2.3. Taiwan Top 50 Tracker Fund 7
3. Literature Review 8
3.1. Seminal Articles 8
3.2. International Firm-level Studies 9
3.3. International Country-level Studies 10
4. Data 14
5. Methodology 17
5.1. Global Momentum and Contrarian Strategies 17
5.1.1. Portfolio Approach 17
5.1.2. Time Series Approach 19
5.2. Currency Denomination 21
6. Empirical results 23
6.1. Profits by Momentum and Contrarian Strategies 23
6.2. Optimal Choice of Currency Denomination 26
7. Conclusion 28
7.1. Major findings 28
7.2. Implications for Investors 29

References 31

Appendix 33
Table 1 Description of Country-Specific ETFs 33
Table 2 Performance of Portfolios Formed by TWD-return Rankings 34
Table 3 Performance of Portfolios Formed by Local-return Rankings 35
Table 4 Momentum and Contrarian Effect by Regression Analysis of Time Series 36
Table 5 Relative Frequency of Currency Denomination for Portfolios Formed by TWD-return Rankings 37
Table 6 Relative Frequency of Currency Denomination for Portfolios Formed by Local-return Rankings 38
References
Balvers, R. J., Wu, Y., Gilliland, E., 2000. Mean reversion across national stock markets and parametric contrarian investment strategies. The Journal of Finance 55, 745-772.
Balvers, R. J., Wu, Y., 2006. Momentum and mean reversion across national equity markets. Journal of Empirical Finance 13, 24-48.
Bansal, V. K., 2002. Exchange traded funds: challenge to traditional mutual funds. Review of Business, FALL, 40-43.
Bhojraj, S., Swaminathan, B., 2006. Macromomentum: returns predictability in international equity indices. Journal of Business 79, 429-452.
Chui, Andy, C. W., Titman S., Wei, J., 2001. Momentum, legal systems and ownership structure: an analysis of Asian stock markets. Working Paper, University of Texas, Austin.
Cohen, B. J., 1998. The Geography of Money. Cornell University Press.
Conrad, J., Kaul, G., 1998. An anatomy of trading strategies. Review of Financial Studies 11, 489-519.
DeBondt, W., Thaler, R., 1985. Does the stock market overreact? Journal of Finance 40, 793-805.
Gastineau, G. L., 2004. The benchmark index ETF performance problem. The Journal of Portfolio Management, WINTER, 96-103.
Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48, 65-91.
Jegadeesh, N., Titman, S., 2001. Profitability of momentum strategies: an evaluation of alternative explanations. The Journal of Finance 56, 699-720.
Li, W., 2004. Currency competition between Euro and US dollar. Working Papers of the Business Institute Berlin at the Berlin School of Economics (FHW-Berlin), No. 18, 1-18.
Miffre, J., 2004. Country-specific ETFs: an efficient approach to global asset allocation. Working Paper, 1-23.
Richards, A. J., 1997. Winner-loser reversals in national stock market indices: can they be explained? The Journal of Finance 52, 2129-2144.
Shen, Q., Szakmary, A. C., Sharma, S. C., 2005. Momentum and contrarian strategies in international stock markets: further evidence. Journal of Multinational Financial Management 15, 235-255.
Swanson, P. E., Lin, A. Y., 2005. Trading behavior and investment performance of US investors in global equity markets. Journal of Multinational Financial Management 15, 99-115.
Szakmary, A. C., Shen Q., Sharma S. C., 2003. Exchange rate momentum in international stock markets. Working Paper, Department of Finance, Robins School of Business, University of Richmond, Richmond.
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