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研究生:劉淑媛
研究生(外文):LIU, SHU-YUAN
論文名稱:探討新興國家ETF與股價指數之動態關聯性
論文名稱(外文):A Study on the Dynamic Correlation Between Emerging Countries ETF and Stock Index
指導教授:孫而音孫而音引用關係
指導教授(外文):SUN, ERH-YIN
口試委員:吳明哲劉淑琴孫而音
口試委員(外文):WU, MING-CHELIU, SHU-CHINSUN, ERH-YIN
口試日期:2020-06-11
學位類別:碩士
校院名稱:僑光科技大學
系所名稱:財務金融研究所
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:2020
畢業學年度:108
語文別:中文
論文頁數:31
中文關鍵詞:向量自我迴歸模型單根檢定股票指數型基金
外文關鍵詞:VARUnit Root TestETF
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新興市場擁有可能比已開發國家更快速的成長速度,原物料價格的上漲,如銅、鐵礦石、石油及農產品等收益,帶動新興國家的成長,然而各國的政治、貨幣等波動,將伴隨著更大的風險。欲經由國際股票實現投資組合多元化,投資iShares MSCI所推出各國的ETF是最直接且最具流動性。因各個新興國家所擁有的自然資源不同,不同過去學者研究只探討大宗商品物價指數與新興國家的動態關聯性,本研究在控制變數涵蓋了天然氣勘探類、全球農業類、全球貴金屬類、全球能源類及全球商品類等股價指數及匯率下,分別探討各新興國家股市與美國ETF之動態關聯性。並探討中美貿易戰對各新興國家所造成的衝擊,新興國家股市與美國ETF之動態關聯性是否有結構性的改變。研究結果顯示,自2010年至2018年期間,各國股價指數與iShares MSCI ETF具有共整合關係,當iShares MSCI各國ETF與各國股價指數偏離均衡狀態時,主要都是經過iShares MSCI各國ETF來調整達到長期均衡。美洲與歐洲國家的iShares MSCI 各國ETF的調整速度比亞洲國家來得快。就短期均衡,除了亞洲中國與歐洲土耳其外,亞洲、歐洲及美洲各國的iShares MSCI ETF皆領先各國股價指數。在中美貿易戰後,就長期均衡而言,此期間當iShares MSCI各國ETF與各國股價指數偏離均衡狀態時,主要仍然是經過iShares MSCI各國ETF來調整達到長期均衡且都顯著。在短期均衡方面,亞洲泰國、菲律賓,歐洲土耳其及美洲巴西,iShares MSCI ETF與各國股價指數沒有明顯的領先關係,其他各國仍然是iShares MSCI ETF領先各國股價指數。且匯率及原物料指數等控制變數對中國股價指數及俄羅斯的iShares MSCI ETF與股價指數都有顯著的影響。南韓、印尼及南非不具有共整合關係,對亞洲的南韓與印尼,iShares MSCI ETF領先兩國股價指數,匯率及原物料指數等控制變數對iShares MSCI ETF較有顯著的影響。就南非而言,就整個研究期間,iShares MSCI 南非ETF與南非40股價指數互相都有顯著的影響,但在中美貿易戰後,南非40股價指數領先iShares MSCI南非ETF。匯率及原物料指數等控制變數在整個研究期間對iShares MSCI 南非ETF與南非40股價指數幾乎都有顯著的影響,但在中美貿易戰後,對二者的影響相對較弱。
Comparing with developed countries, the potential growth rates in emerging markets may be more rapid. The rise of raw material prices, such as copper, iron ore, petroleum, and agricultural products, bringing about benefits and leading the growth of emerging countries. However, the volatile in policy and currency in each country comes with greater risks. To achieve diversified portfolio via international stock, investing in ETF in a variety of countries launched by iShares MSCI is the most direct and liquidity means. Due to the difference of natural resources in each emerging country, past researches only investigated the dynamic correlation between wholesale price index and emerging countries. The present study's control variables included the stock index and rates of hydrocarbon exploration, international agriculture, international precious metals, and international resources, exploring the dynamic correlation between each emerging country's stock market and American ETF. Specifically, the research explored US-China trade war’s impact on each emerging country, and the structural change in the dynamic correlation between emerging market stocks and American ETF. The results indicated that from 2010 to 2018, each country's stock index and iShares MSCI ETF are cointegrated. When iShares MSCI ETF and each country's stock index deviate from the equilibrium, a long run equilibrium is accomplished mainly by iShares MSCI ETF. The iShares MSCI ETF adjustment speed in America and Europe is faster than Asia. In the short run equilibrium, in Asia, aside from China, and in Europe, Turkey, other countries in both continents and in America, iShares MSCI ETF all keep ahead of each country's stock index. After US-China trade war, in the long run, in this period when iShares MSCI ETF and each country's stock index deviate from the equilibrium, the long run equilibrium is still achieved significantly by iShares MSCI ETF. In the short run, Thailand and Philippine in Asia, Turkey in Europe, and Brazil in America, iShares MSCI ETF does not carry a clear leading position, in other countries, iShares MSCI ETF is still the leading stock index. Also, the control variables such as the exchange rate and raw materials' index have significant influence on China's stock index, Russian iShares MSCI ETF, and stock index. South Korea, Indonesia, and South Africa do not have cointegrated relationship, as for South Korea and Indonesia in Asia, iShares MSCI ETF takes a lead in the above two countries' stock index; control variables, like the exchange rate and raw material index, have a significant impact on iShares MSCI ETF. As for South Africa, during the present research, iShares MSCI South Africa ETF and South Africa 40 stock index significantly impacted on each other, but after US-China trade war, South Africa 40 stock index stayed on top of iShares MSCI South Africa ETF. During the whole research period, control variables such as the exchange rate and raw material index have a significant impact on iShares MSCI South Africa ETF and South Africa 40 stock index, but after US-China trade war, the impact on the above two are relatively small.
目錄

第一章 緒論 1
 第一節 研究動機 1
 第二節 研究目的 5

第二章 文獻探討 7
 第一節 新興市場與原物料商品 7
 第二節 匯率與股市 8
 第三節 ETF 9
 第四節 中美貿易戰 9

第三章 研究方法 10
 第一節 單根檢定 10
 第二節 向量誤差修正模型 10
 第三節 向量自我迴歸模型 11

第四章 實證結果分析 12
 第一節 資料說明 12
 第二節 敘述統計 12
 第三節 單根檢定 18
 第四節 各國股價指數與匯率及CRB指數之線性迴歸 19
 第五節 新興國家股市與美國ETF之動態關聯性 22

第五章 結論 27

參考文獻 29

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