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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101937

    Title: 伊斯蘭金融指數波動特性探討
    Other Titles: A study of the volatility characteristics of Islamic financial index
    Authors: 黃秋燕;Huang, Chiu-Yen
    Contributors: 淡江大學財務金融學系碩士在職專班
    Keywords: ARJI模型;伊斯蘭指數;原油價格;黃金價格;ARJI Model;Islamic index;Crude oil prices;Gold Price
    Date: 2014
    Issue Date: 2015-05-04 09:43:30 (UTC+8)
    Abstract: 論文名稱:伊斯蘭金融指數波動特性探討 頁數:72
    研究生:黃秋燕 指導教授:邱建良、吳佩珊 博士
    Title of Thesis:A study of the volatility characteristics of Islamic financial index
    Total Pages:72
    Keywords:ARJI model; Islamic index; Crude oil prices;Gold price
    Name of Institute:Graduate Institute of Banking and Finance, Tamkang University
    Graduate date:June, 2014 Degree conferred: Master
    Name of student:Chiu-Yen Huang Advisor: Dr. Chien-Liang Chiu
    黃秋燕 邱建良博士
    Dr. Pei-Shan Wu
      This study adopts ARJI model to analyze the influence of Global crude oil return, gold return and major global financial events (including the global financial crisis, subprime mortgage crisis and quantitative easing policy in the US) on the Islamic index as well as the stock index of various countries.
    The empirical results are as follows:
      The empirical results are as follows: 1. In relation to gold returns, the volatility of Taiwan, Malaysia, and American stock market index and Islamic index was insignificantly. In conclusion, it’s because gold is regarded by investors as a tool to hedge risks and inflation.2. In relation to crude oil returns, the volatility of the MSCI Taiwan Islamic Index, Taiwan Weighted Index, S&P 500 Index, and Malaysia Islamic Index was significantly different. However, there was insignificant difference in the MSCI USA Islamic Index and the Malaysia Index. In conclusion, due to the political and religious stance in the U.S., there is no significant influence of crude oil returns on MSCI USD Islamic index.3. The policy of quantitative easing, QE 1, announced by the U.S. government exerted a certain economic support effect, and therefore investors held an optimistic attitude toward the implementation of QE 2, showing the highest jump intensity of the Islamic Index returns in relation to QE2. However, the announcement of QE 3 did not generate the expected effect and investors lost interest in the market. Thus, in relation to QE 3, the jump intensity of the Islamic Index returns was the lowest.

    Appears in Collections:[財務金融學系暨研究所] 學位論文

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