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    Title: IC設計ETF化後,投資績效之評估
    Other Titles: Evaluate of investment performance in exchange-traded fundalization of IC design stocks
    Authors: 吳清輝;Wu, Chin-hwei
    Contributors: 淡江大學國際貿易學系國際企業學碩士班
    李又剛;Lee, You-kong
    Keywords: 指數型基金;報酬率;股價指數;股性特徵;ETF;Return of Investment;Stock price index;Characteristics of stock
    Date: 2008
    Issue Date: 2010-01-11 01:20:06 (UTC+8)
    Abstract: ETF現今已經成為國際金融市場之中不可或缺的金融商品。國內亦於93年6月30日推出第一檔指數股票型基金-ETF50,之後也相繼推出了ETF51與ETF52,無非期盼能與國際接軌。此外,由於國內IC設計具備了高獲利、高成長與高每股營收等特性,再加上其產值高居於全球第二位,僅次於美國,故亦在台灣股市中占有一定的影響力。基於這些因素,讓我們對於IC設計產生極大的研究興趣,進而嘗試將IC設計ETF化,來評估IC設計的投資績效,並藉由加權股價、ETF50、ETF51與ETF52之比較,來突顯IC設計的投資價值。

    本研究係擷取2003年6月30日至2007年年底,加權股價、IC設計、ETF50、ETF51與ETF52等五項ETF化之金融商品,共計1121天的每天收盤價之資料作分析,將五項金融商品經由報酬率、暴漲暴跌、投資風險與投機色彩等股市特徵分析,以及傳統的均數-變異分析法、修正後的均數-變異效用評估法之評等,來評估五項金融商品的投資績效,並進一步檢視投資績效是否優於加權股價。分析期間內,藉由相關的分析,我們獲致如下結論:

    在傳統均數-變數效用法下,由於IC設計具備高的投資風險,導致IC設計與加權股價常常落於無法判定的情況,故無法精確評估其績效高低表現,因此我們認為這不是良好的績效評估準則。基於這個因素,我們嘗試利用修正後均數-變異效用評估法,來評估績效之優劣。其結論可以清楚得知:不論就單一期或是全期,探討三項金融商品或加入ETF51及ETF52之五項金融商品,IC設計的績效表現始終是最佳的,這也在在突顯了IC設計ETF化之金融商品有其發行之必
    要性。
    Now exchange-traded fund (ETF) has become indispensable financial assets in the international market﹒In our country﹐the authority had first ratified the issuance of ETF50﹐and lately issued ETF51 and ETF52﹐hoping that we can keep up with other country﹒In addition﹐domestic IC design stocks has provided high earnings per share、high growth and high per share revenue﹒In 2006 the production value of IC design industry created the second spots in worldwide﹒So in Taiwan IC design industry play a critical role﹒All of these intrigue us interest to fundalize the IC design stocks﹒

    In our paper﹐we will analyze the investment performance of imputed IC design ETF、imputed Taiwan weighted stock index ETF﹐ETF50﹒In order to outstand the investment value of imputed IC design ETF﹒In the period of analysis﹐we will separately utilize the different characteristics of stock、the mean-variance approach and modified mean-variance utility approach to analyze the value of investment in all these five kinds ETF assets﹒

    In the practical side﹐we can demonstrate modified mean-variance utility approach outrightly prefer to the mean-variance approach﹒

    Eventually﹐under evaluation of modified mean-variance utility approach﹐we emperically demonstrate:the investment performance of imputed IC design ETF is always the top one of all﹒And this result is adopted in different yearly analysis period and the whole analysis period﹒According to this empirical result﹐we recommend the authority to ratify the IC design ETF asset﹒
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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