投資組合選擇與跳躍波動擇時策略之經濟價值－以東協五國與拉美五國為例

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题名:	投資組合選擇與跳躍波動擇時策略之經濟價值－以東協五國與拉美五國為例 The Economic Value of Portfolio Selection and Jump Volatility Timing Strategy: The Case of ASEAN and ABCPM
作者:	王立均 Wang, Li-Jyun
贡献者:	財務金融學系
关键词:	DCC-GARCH模型經濟價值交易成本資產配置 DCC-GARCH Model Economic Value Transaction Costs Asset Allocation
日期:	2013-06
上传时间:	2013-10-22 14:15:02 (UTC+8)
摘要:	目前社會大眾投資觀念的改變，投資不再侷限於本國境內，因此擁有多方優勢的投資地區逐漸受到重視。然而，此次的全球性的金融危機(2007年至2013年)，使過去較被忽略的東協市場及拉丁美洲市場異軍突起，成為全球投資的新亮點。本研究以東協市場中「老五國」及拉美市場中「ABC+PM」為研究對象，前者包括印尼、馬來西亞、菲律賓、新加坡及泰國；後者包括阿根廷、巴西、智利、秘魯及墨西哥等指數。本研究利用ARJI模型來捕捉市場因突發性事件造成跳躍極端值，並加以調整其市場之報酬率。同時應用DCC-GARCH模型與DCC-ARJI-GRACH模型進行估計變異數－共變異數矩陣，以計算東協五國與拉美五國之投資組合的投資權重，並利用Sharpe比率、經濟價值及交易成本進行分析比較。實證結果發現經跳躍調整後之報酬會有更好的投資組合績效，並且無論於極大化報酬或極小化變異數下，有考慮跳躍因素的動態波動擇時策略將優於一般波動擇時策略。 Nowdays, owing to the changing perceptions of the public’ investment ideas, the investments are no longer limited within the national territory, and therefore the investment areas with multi advantages gradually become an important. However, the global financial crisis (2007-2013) has sprung up everywhere the ASEAN market and Latin America market somewhat neglected, being a new bright spot for the global investment. This study focus on the “five countries” in the ASEAN markets and the “ABC + PM” in the Latin American market, the former include Indonesia, Malaysia, the Philippines, Singapore and Thailand; the latter including Argentina, Brazil, Chile, Peru and Mexico etc. indexes. This study adopts the ARJI model to capture the extreme value of the price jump, caused as a result of the sudden event and adjust the rate of return of the market. At the same time, we utilize the DCC-GARCH model and DCC-ARJI-GARCH model to estimate the variance-covariance matrix in order to compute the portfolio weight of the ASEAN and ABCPM, and analyze compared with Sharpe ratio, economic value and transaction cost. We find that the jump adjusted return will have a better portfolio performance, and moreover, whatever under the maximized return or minimized variance, the dynamic volatility timing strategy with jump will be superior to the general volatility timing strategy.
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