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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101939

    Title: 美國高收益債券型基金之風險管理與擇時能力之實證研究
    Other Titles: An empirical study on the risk management and market timing ability of high yield bond funds in America
    Authors: 鄭翰紘;Cheng, Han-Hung
    Contributors: 淡江大學財務金融學系碩士班
    李沃牆;Lee, Wo-Chiang
    Keywords: 高收益債券型基金;擇時能力;Copula;系統性風險;High Yield Bond Funds;Timing Ability;Systematic Risk
    Date: 2014
    Issue Date: 2015-05-04 09:43:35 (UTC+8)
    Abstract: 自2000年網路科技泡沫起,全球利率開始下降。緊接而來的2008年金融海嘯,利率更持續了五年的低水準。進而分析美國債券市場也可以發現從2008年以來高收益債券出現爆發型成長。正因如此,投資者開始轉向以債券為主的共同基金為投資目標。本論文以此為背景探討美國高收益債券型基金之風險管理與擇時能力。首先,本文使用Copula函數檢驗高收益債券基金對於股票市場的風險與收益以及短期利率之影響。接著使用古典擇時模型以及ARMAX-GARCH模型檢驗高收益債券市場的系統性風險和基金擇時能力。
    Since 2000, dot-com bubble, global interest rates began to decline. Immediately came the 2008 financial crisis, more sustained low level of interest rates for five years. Further analysis of the U.S. bond market can also be found explosive type growth since 2008 high yield bond. For this reason, investors are turning to the bond-based mutual funds as an investment target. In this paper, in order to investigate the background of risk management and timing ability of U.S. high yield bond funds. Firstly, we apply Copula function test the high yield bond funds for the equity markets affect the risk and benefit, and short-term interest rates affect. Then using timing ability classical model and ARMAX-GARCH model test high yield bond market systemic risk and fund timing ability.
    The empirical results show that high yield bond funds and stock market that excess returns there is a positive correlation, and short-term interest rates with a slight positive correlation by stock market the impact. As to the timing ability, we found that most high yield bond fund managers do not have the ability, and regardless of the model using Copula functions or market timing are still significantly positive systemic risk.
    Because the robustand without lack of liquidity of the U.S. high yield bond market, fund managers have the flexibility to adjust their portfolio allocation and systemic risk, but did not test fund managers have the timing ability. In other words, the U.S. high yield bond market there is sufficient size and liquidity, but this paper is still the proposed investment choice of the high yield bond fund goods in U.S. should pay more attention to systemic risk.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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