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研究生:楊佳蓉
研究生(外文):Chia-Jung Yang
論文名稱:次級房貸事件對新興國家影響:以金磚四國相關ETF為例
論文名稱(外文):The Influence of American Subprime Mortgage on Emerging Countries: Take BRICs’ ETFs for Instance
指導教授:彭開瓊彭開瓊引用關係
學位類別:碩士
校院名稱:清雲科技大學
系所名稱:國際企業管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:71
中文關鍵詞:次級房貸金磚四國風險值風險管理
外文關鍵詞:Subprime MortgageBRICsValue at RiskRisk Management
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2007年2月起,美國次級房貸事件陸續爆發,影響的對象不僅房貸業,更引發連鎖效應,相關次級房貸金融機構倒閉或虧損,甚至世界經濟體也受到波及。藉由相關ETFs來探討次級房貸事件對新興市場的影響為何?影響程度為何?將是本研究的重點。
ETFs具股票與基金之優點,一筆交易即可直接投資一籃子股票,風險比單筆投資一股小,且投資標的透明度高,其走勢與股市同步,因此投資人不需研究各股,只要判斷漲跌趨勢即可。投資組合除非連動的指數成分變動,否則投資組合為固定的。因此,本研究使用ETFs作為標的研究對象,採用2007年1月前發行之新興市場相關十一檔ETF作為探討的對象,分別為:EEB、EWZ、TRF、NBEES、JBEES、IFN、510050、2823、PGJ與FXI等。
本研究將藉由上述ETFs作為觀察的對象,結合描述統計、結構性轉變檢驗與VaR分析金磚四國ETF與次級房貸事件之動態關係。Chow檢定與ETF走勢圖發現,2007年美國次級房貸引發的金融危機,金磚四國有共移(Co-movement)關係的情況發生,為一個禮拜至將進三個月之間。其原因可能次級房貸事件,使得金融市場大亂導致信用貸放緊縮,經濟趨緩等惡性循環,原本在新興國家的熱錢也漸漸抽離,以及投機者炒作大幅減少,因而間接的影響新興市場。然而S&P 500為最有代表性的指標之ㄧ,發現S&P 500於2007年10月9日發生了結構性轉變,金磚四國於一星期三個月左右才開始陸續反映。次級房貸風生前,風險值介於0.0016至0.0318間,中國FXI風險值次級房貸前後增加了255%為金磚四國相關ETF中最高者。
The subprime mortgage crisis is an ongoing financial crisis triggered by a dramatic rise in mortgage delinquencies and foreclosures in the United States, it influence not only financial markets of America and Europe but also investment environment of Emerging Market. The purpose of this paper is to examine how the recent subprime mortgage market effect of emerging countries was. We instanced BRICs (Brazil, Russia, India, and China) as emerging countries. This study explores that how financial meltdown in 2007 influence emerging countries. It takes eleven BRICs’ ETFs (EEB, EWZ, TRF, NBEES, JBEES, IFN, 510050, 2823, PGJ, and FXI) that those ETFs markets before 2007 as subjects. This example has implications for future study in other financial studies. It is found that the influence of subprime mortgage on emerging countries generally had couple weeks or months late in financial market. Subprime mortgage was a good example to provide business, institutions, investors how to hedge risks and handle financial problem in the future.
中文摘要………………………………………………………………………………… i
英文摘要………………………………………………………………………………… ii
誌謝……………………………………………………………………………………… iii
目錄……………………………………………………………………………………… iv
表目錄…………………………………………………………………………………… vi
圖目錄…………………………………………………………………………………… vii
第一章 緒論…………………………………………………………………………… 1
1.1 研究背景…………………………………………………………………… 1
1.2 研就動機與目的…………………………………………………………… 6
1.3 研究架構…………………………………………………………………… 6
第二章 文獻探討 ……………………………………………………………………… 9
2.1 市場效率假說……………………………………………………………… 9
2.2 股票指數型基金商的商品設計與市場運作……………………………… 10
2.3 衡量股票指數型基金績效的方法………………………………………… 14
2.4 國際股市互動關係………………………………………………………… 16
2.5 本章小結…………………………………………………………………… 17
第三章 金磚四國概況………………………………………………………………… 18
3.1 基本資料…………………………………………………………………… 18
3.2 金磚四國總體經濟標……………………………………………………… 23
3.3 金磚四國各國產業………………………………………………………… 29
3.4 本章小結…………………………………………………………………… 30
第四章 研究分析……………………………………………………………………… 31
4.1 研究樣本來源、期間與次級房貸相關事件……………………………… 31
4.2 風險值模型………………………………………………………………… 34
4.3 時間序列GARCH模型使用……………………………………………… 37
4.4 本章小結…………………………………………………………………… 38
第五章 實證結果與分析……………………………………………………………… 40
5.1 主要指數股票型基金之統計資料………………………………………… 40
5.2 CAPM模型結果分析……………………………………………………… 42
5.3 結構性檢定………………………………………………………………… 54
5.4 VaR評估結果分析………………………………………………………… 58
5.5 本章小結…………………………………………………………………… 61
第六章 結論…………………………………………………………………………… 64
6.1 研究結論…………………………………………………………………… 64
6.2 研究建議與未來研究方向………………………………………………… 65
參考文獻………………………………………………………………………………… 67
附錄……………………………………………………………………………………… 71
簡歷……………………………………………………………………………………… 72
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