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系統識別號 U0002-0407201117252300
中文論文名稱 管理期貨基金指數與股票、債券、匯率、商品與期貨市場指數之連動性研究
英文論文名稱 On study of relationship for Managed futures index with the stocks,bonds,exchange rates,commodities and futures market index.
校院名稱 淡江大學
系所名稱(中) 管理科學研究所企業經營碩士在職專班
系所名稱(英) Executive Master's Program of Business Administration in Management Sciences
學年度 99
學期 2
出版年 100
研究生中文姓名 劉欣潔
研究生英文姓名 Hsin-Jie Liu
學號 798620141
學位類別 碩士
語文別 中文
口試日期 2011-06-16
論文頁數 50頁
口試委員 指導教授-倪衍森
共同指導教授-吳曼華
委員-曹銳勤
委員-陳明麗
中文關鍵字 管理期貨基金  投資組合  資產配置  Granger因果關係  雙變量GARCH模型 
英文關鍵字 managed futures funds  portfolios  asset allocation  Granger causality  bivariate GARCH model 
學科別分類 學科別社會科學管理學
中文摘要 管理期貨基金在過去的10年間,規模成長快速,整體規模由2000年的379億美元到2010年的2676億美元,成長幅度達706%;歷經幾次重大股災事件後,管理期貨基金運用計量模型多空可以操作的特性,使得績效呈現出優於股市的表現,過去以來價格走勢一直相當平穩,甚少有大漲大跌的情形。
本研究主要採用向量自我迴歸模型、共整合檢定和雙變量GARCH模型,以Barclay CTA指數代表管理期貨基金走勢,來探討1995年至2010年間,Barclay CTA指數與各股債指數、匯率、商品價格及期貨指數之間的關聯。
由Granger因果關係之實證結果發現,Barclay CTA指數與股債、商品與期貨指數不俱有雙向回饋關係,與台美匯率有單向因果關係,且Barclay CTA指數對台幣為負相關,代表管理期貨上漲對台幣而言,實屬不利之消息。而由波動性外溢效果之實證結果發現,就股市而言,Barclay CTA指數波動性會單向外溢至台股指數,而MSCI世界指數會單向外溢至Barclay CTA指數;就債市而言,Barclay CTA指數會單向外溢至全球債,而高收益債會單向外溢至Barclay CTA指數;就匯率而言,台美匯率會單向外溢Barclay CTA指數;就商品價格而言,Barclay CTA指數會單向外溢至原油;就期貨指數而言,CRB指數會單向外溢至Barclay CTA指數,因此Barclay CTA指數會受MSCI世界指數、高收益債券、台美匯率及CRB指數波動所影響,但影響程度不大,長期來看有助於投資組合的資產配置。



英文摘要 Managed futures funds in the past 10 years, the scale has increased rapidly, the overall size of the $ 37.9 billion in 2000 to $ 267.6 billion in 2010, a growth of 706%. After several major stock market crash incident, managed futures funds use econometric models can long and short operations, which the performance better than the stock market. Showing the performance of the past has been fairly stable price trend, rose fell seldom the case.
This study uses VAR models, cointegration test and the bivariate GARCH model, Barclay CTA index represents the managed futures fund movements, to explore the 1995 to 2010 between, Barclay CTA Index with the stock and bond indices, exchange rates, commodity prices, futures index correlation.
By the Granger causality of the empirical results, Barclay CTA Index with the stocks, bonds, commodities and futures index is not all two-way feedback relationship. Barclay CTA Index with Taiwan-US exchange rate, one-way causal relationship, and the negative correlation of NT, said that the Managed Futures rise on NT, the message for the adverse.
By the volatility spillover effect of the empirical results, the stock market is concerned, Barclay CTA index volatility spillover would be one way to Taiwan Stock Index, the MSCI World Index will be one-way spillover to the Barclay CTA Index; on the bond market is concerned, Barclay CTA index would be one-way spillover to the global bond and high yield bonds would be one-way spillover to the Barclay CTA index; on the exchange rate, the Taiwan-US exchange rate would be one-way spillover Barclay CTA index; on commodity prices in terms of, Barclay CTA index
will be a single to crude oil to spill; the futures index terms, CRB index will be one-way spillover to the Barclay CTA index, the Barclay CTA index is affected by the MSCI world index, high-yield bonds, Taiwan-US exchange rate fluctuations and the CRB index, but the effect is not large, long term portfolio asset allocation to help.

論文目次 目 錄 I
表目錄 Ⅱ
圖目錄 Ⅲ
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
第三節 研究流程 4
第四節 研究架構 5
第二章 文獻探討 6
第一節 管理期貨基金概述 6
第二節 股市連動性方面之研究 8
第三節 匯市間或股匯市間之連動性研究 10
第四節 其他資本市場之連動性研究 12
第五節 管理期貨基金有關之文獻 14
第三章 研究假設與方法 17
第一節 研究資料與研究標的介紹 17
第二節 研究假說 19
第三節 研究方法 22
第四章 實證結果與分析 29
第一節 敘述統計量 29
第二節 單根檢定 31
第三節 向量自我迴歸模型 32
第四節 共整合檢定 36
第五節 雙變量GARCH波動性外溢效果探討 37
第五章 結論 42
第一節 研究結論 42
第二節 後續研究建議 44
參考文獻 45

表目錄
表4-1 各指數、匯率、商品及期貨指數之敘述統計 30
表4-2 各指數、匯率、商品及期貨指數之相關係數表 30
表4-3 各指數、匯率、商品及期貨指數之單根檢定 32
表4-4 Barclay CTA指數與各指數、匯率及商品間之最適落後其選取 33
表4-5 Barclay CTA指數與全球和台灣股價指數之因果關係檢定34
表4-6 Barclay CTA指數與全球債和高收益債指數之因果關係檢定 34
表4-7 Barclay CTA指數與美元指數和台美匯率之因果關係檢定 35
表4-8 Barclay CTA指數與原油和黃金價格之因果關係檢定 35
表4-9 Barclay CTA指數與CRB和Dow Jones-UBS指數之因果關係檢定 36
表4-10 Barclay CTA指數各股債指數、匯率、商品及期貨指數之共整合檢定36
表4-11 各指數、匯率、商品及期貨指數之LM檢定 38
表4-12 Barclay CTA指數與全球和台灣股價指數之波動性外溢效果 39
表4-13 Barclay CTA指數與全球債和高收益債券指數之波動性外溢效果39
表4-14 Barclay CTA指數與美元指數和台美匯率之波動性外溢效果 40
表4-15 Barclay CTA指數與原油和黃金價格之波動性外溢效果 40
表4-16 Barclay CTA指數與CRB和Dow Jones-UBS指數之波動性外溢效果 41

圖目錄
圖1-1研究流程 4
圖3-1 Barclay CTA指數從1995-2010的規模成長狀況 17
圖4-1各指數累積報酬 29

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