臺灣博碩士論文加值系統

本研究主要探討在市場上發生黑天鵝事件後，對於股市的影響是否帶來極大的衝擊。透過全球共24個國家於1996年3月至2008年底約13年左右的研究期間，並分別就MSCI國家指數以及可實際進行交易的ETF-iShares驗證結果。利用事件研究法進行實證顯示，黑天鵝事件的爆發，的確對全球股市帶來了重大的影響，而不同事件類別所造成的影響程度也各不相同。另外，比較MSCI大盤指數以及iShares ETF的反應可發現市場在實際可交易的商品下顯得較有效率。最後，藉由將全球國家作不同國家屬性的分類研究，我們發現亞洲國家在重大事件爆發後市場易出現反應延遲的現象，而大陸法、開發中國家在極端黑天鵝事件爆發時，也有投資人過度反應的情形發生，市場股價波動程度相對較大。

By researching the MSCI Country Index and tradable ETF-iShares among 24 countries from March of 1996 to the end of 2008, we were able to determine what impact a Black-Swan Event would have on the global stock market. We were also able to successfully identify how much magnitude to the stock market is directly related to the type or size of the Black-Swan Event. Besides, comparing with MSCI Country Index, we find that ETF- iShares show more efficient in the trade market. Finally, through classifying countries globally, we discovered that when cataclysmic events occur in Asia, there is a slow reaction, and when extreme Black-Swan Events occur in developing countries as well as in civil law countries, there are overreactions by investors, and the degree of volatility in stock prices is relatively larger.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第二章 相關文獻探討 3
第一節 黑天鵝效應 3
第二節 重大事件對金融市場的影響 4
第三節 ETF以及iShares介紹 8
第四節 國家屬性與金融市場之關聯性 10
第三章 研究方法 12
第一節 資料來源與樣本期間 12
第二節 樣本國家屬性分類 13
第三節 定義黑天鵝事件與正負事件分類 13
第四節 研究方法 15
第四章 實證結果分析 22
第一節 黑天鵝事件對股市的影響 22
第二節 投資策略與績效表現 26
第三節 國際資金移動情形 28
第五章 結論 30
第一節 結語 30
第二節 研究貢獻 31
參考文獻 32

1.Taleb, Nassim Nicholas, The Black Swan: The Impact of the Highly Improbable 《黑天鵝效應》, 大塊文化出版股份有限公司.
2.Beck, T., Demirguc-Kunt, A., and Levines, R., 2003, “Law, endowments, and finance,” Journal of Financial Economics, 70, 137-181.
3.Burbridge, J., Harrison, A., 1984, “Testing for the effects of oil-price rises using vector autoregressions,” Int. Econ. Rev. 25 (1), 459-484.
4.Barari, M., Lucey, B. M., and Voronkova, S., 2005, “Integration among G7 Equity Market: Evidence from iShares,” IIIS Discussion Paper No. 78.
5.Blair, B. J., Poon, S. H., and Taylor, S. J., 2001, “Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns,” Journal of Econometrics 105, 5-26.
6.Barro, R. J., 2001, “Economic growth in East Asia before and after the financial crisis,” NBER Working Paper No.8330.
7.Brown, S. J., and Warner, J. B., 1985, “Using Daily Stock Returns: The Case of Event Studies,” Journal of Financial Economics 14, 3-31.
8.Christensen, B. J., and Prabhala, N. R., 1998, “The relation between realized and implied volatility,” Journal of Financial Economics, 50, 125-150.
9.Chen, A. H., and Siems, T. F., 2003, “The effects of terrorism on global capital markets,” European Journal of Political Economy, Vol. 20, 349-366.
10.Carter, D. A., and Simkins, B. J., 2004, “The market’s reaction to unexpected, catastrophic events: the case of airline stock returns and the September 11th attacks,” The Quarterly Review of Economics and Finance 44, 539-558.
11.Dahlquist, M., Pinkowitz, L., Stulz, R. M., and Williamson, R., 2003, “Corporate governance and the home bias,” Journal of Financial and Quantitative Analysis, 38, 87-110.
12.Durand, R. B. and Scott, D., 2003. “ iShares Australia: A Clinical Study in International Behavioral Finance,” International Review of Financial Analysis 12, 223-239.
13.Eldor, R., and Melnick, R., 2004, “Financial markets and terrorism,” European Journal of Political Economy, Vol. 20, 367-386.
14.Fleming, J., Ostdiek, B., and Whaley, R. E., 1995, “Predicting stock market volatility: A new measure,” Journal of Futures Markets, 15, 265-302.
15.Fernandez, V., 2005, “Risk management under extreme events,” International Review of Financial Analysis, 14, 113-148.
16.Gisser, M., Goodwin, T. H., 1986, “Crude oil and the macroeconomy: Tests of some popular notions,” Journal of Money Credit Banking 18 (1), 95-103.
17.Grinblatt, M., and Keloharju, M., 2001, “How distance, language, and culture influence stockholdings and trades,” Journal of Finance, 56, 1053-1073.
18.Giot, P., 2002, “Implied volatility indices as leading indicators of stock index returns?” CORE Discussion Paper No.50.
19.Gencay, R., and Selcuk, F., 2004, “Extreme value theory and Value-at-Risk: Relative performance in emerging markets,” International Journal of Forecasting 20, 287-303.
20.Hau, H., 2001, “Location matters: An examination of trading profits,” Journal of Finance, 56, 1959-1983.
21.Hamilton, J. D., 1983, “Oil and the macroeconomy since World War II. J. Polit,” Econ. 92 (2), 228-248.
22.Hamilton, J. D., 2003, “What is an oil shock?” Journal of Econometrics 113, 363-398.
23.Haung, R. D, Masulis, R. W., and Stoll, H. R., 1996, “Energy shocks and financial markets,” J. Futures Markets 16 (1), 1-27.
24.Jones, C. M. and Kaul, G., 1996, “Oil and stock markets,” Journal of Finance 51 (2), 463-491.
25.Jares, T. E. and Lavin, A. M., 2004, “Japen and Hong Kong Exchange-Traded Funds (ETFs): Discounts, Returns, and Trading Strategies,” Journal of Financial Services Reserch, 25:1, 57-69.
26.Jondeau, E., and Rockinger, M., 2003, “Testing for Differences in the Tails of Stock-Marker Returns,” Journal of Empirical Finance, 10, 559-581.
27.Jang, H., and Sul, W., 2001, “The Asian financial crisis and the co-movement of Asian stock markets,” Journal of Asian Economics 13, 94-104.
28.Lin, A. Y., 2009, “Law, culture and investment performance: A cross-country analysis,” Global Finance Journal 19, 323-341.
29.Longin, F. M., 1996, “The Asymptotic Distribution of Extreme Stock Market Returns,” Journal of Business, 69(1), 383-408.
30.La Porta, R., Lopez-de-Silanes, F., Shleifer, A., and Vishny, R. W., 1998, “Law and finance,” Journal of Political Economy, 106, 1113-1155.
31.Loretan, M., Phillips, P. C. B., 1994, “Testing the covariance stationarity of heavy-tailed time serious,” Journal of Empirical Finance 1,211-248.
32.Malliaris, A. G., and Urrutia, J. L., 1992, “The International Crash of October 1987: Causality Tests,” The Journal of Financial and Quantitative Analysis, Vol. 27, No. 3, pp. 353 -364.
33.Mork, K. A, 1989, “Oil and the macroeconomy when prices go up and down: An extension of Hamilton’s results,” J. Polit. Econ. 97 (3), 740-744.
34.Pennathur, A. K., Delcoure, N., and Anderson, D., 2002, “Diversification benefits of iShares and closed-end country funds,” The Journal of Financial Research, Vol. XXV, No. 4, 541-557.
35.Patro, D. K., 2001, “Market segmentation and international asset prices: Evidence from the listing of world equity benchmark shares,” Journal of Financial Research 24, 83-98.
36.Papapetrou, E., 2001, “Oil price shocks, stock market, economic activity and employment in Greece,” Energy Economics 23,.511-532.
37.Poon, S. H., Rockinger M., and Tawn, J., 2004, “Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications,” The Review of Financial Studies Vol. 17, No. 2, pp. 581-610.
38.Sadorsky, P, 1999, “Oil price shocks and stock market activity,” Energy Econ. 21, 449-469.
39.Susmel, R., 2001, “Extreme observations and Diversification in Latin American,” Journal of International Money and Finance, 20, 971-986.
40.Stulz, R. M., and Williamson, R., 2003, “Culture, openness, and finance,” Journal of Financial Economics, 70, 313-349.
41.Weber, M., 1930, “The Protestant ethic and the spirit of capitalism,” New York: Harper Collins.