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    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
    邱建良;吳佩珊
    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
    校系(所)組別:淡江大學財務金融學系碩士在職專班
    畢業時間及提要別:102學年度第2學期碩士在職專班學位論文提要
    研究生:黃秋燕 指導教授:邱建良、吳佩珊 博士
    論文提要內容:
    本研究以ARJI模型分析國際原油、黃金價格變動率近年來全球發生之主要金融事件(包括全球金融海嘯、環球股災、美國次級房屋信貸危機)及美國貨幣寬鬆政策(QE)對各國股價指數與伊斯蘭指數的影響。
    實證結果發現:1.黃金報酬率對於台灣、馬來西亞及美國股價指數及伊斯蘭指數波動性並不顯著,推論黃金被投資人視為避險、保值的工具。2.石油報酬率對於MSCI台灣伊斯蘭指數、台灣加權指數、S&P500指數及馬來西亞伊斯蘭指數的波動性呈現顯著的差異,然而對MSCI美國伊斯蘭指數及馬來西亞指數則呈現不顯著差異現象,就美國而言,推論因政治及宗教立場,致石油報酬率對於MSCI美國伊斯蘭指數並無顯著影響。3.美國貨幣寬鬆政策QE1的祭出,對其經濟力道的撐盤展現出些微功力,因此投資客對於QE2政策的實施,抱持著樂觀態度,表現於QE2對伊斯蘭指數報酬率跳躍程度最大,惟QE3的推出,效果不如預期,投資人反應彈性疲乏,故QE3對伊斯蘭指數報酬率跳躍程度最小。
    關鍵字:ARJI模型;伊斯蘭指數;原油價格;黃金價格
    表單編號:ATRX-Q03-001-FM030-01
    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
    吳佩珊博士
    Abstract:
      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.





    單編號:ATRX-Q03-001-FM031-01
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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