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    Please use this identifier to cite or link to this item: http://ir.lib.ksu.edu.tw/handle/987654321/28155


    Title: 貨幣寬鬆政策對債券型基金績效影響之實證分析:以美國和歐洲地區為例
    其他題名: An Empirical Analysis of the Effects of Quantitative Easing on USA and European Bond funds
    Authors: 謝雅惠
    Hsieh, Ya-Hui
    指導教授: 連春紅
    Lien, Chun-Hung
    Keywords: 崔納指標;夏普指標;β係數;量化寬鬆
    Treynor Index;Sharp Index;Beta Coefficients;Quantitative Easing
    Date: 2017
    Issue Date: 2018-02-01 12:35:42 (UTC+8)
    Abstract: 債券價格主要受到利率影響,面對全球貨幣政策由QE至負利率,全球債券市場之投資分配亦受極大影響,在美國QE退場、升息後,對美國債券基金市場的投資有轉向於其他國家的趨勢。本文以β係數、夏普指標及崔納指標等,探討美國及歐洲實施QE前、實施QE期間及QE退場後,對該地區債券型基金績效的影響。實證結果指出,無論在哪個樣本期間,β之估計值均小於1,顯示債券型基金的系統風險比市場小。美國債券型基金在美國QE實施前與QE實施後期間,大部分債券型基金會隨市場上漲而上漲,呈正向關係,而在QE實施期間則呈現反向的關係,惟高收益債券基金在QE實施期間,是完全隨著市場起伏而順勢變動,與市場呈正向關係。而歐洲債券型基金部分,則無論QE實施前或QE實施期間,大部分的基金都與市場呈現反向關係。在基金績效衡量的夏普與崔納指標部分,美國債券型基金的績效在QE實施期間最佳,尤其是高收益債券型基金,在QE實施期間時,當利率下降,其超額報酬隨之增加,但在QE退場後,當美國升息,績效指數相對減少,超額報酬也隨之減少。而在歐洲區債券型基金部分,夏普指標以QE實施期間的績效為最佳,在崔納指標部分,個別基金中有13檔顯示QE政策實施期間的績效最佳,但以整體債券型基金則顯示QE實施前的績效最佳,其原因或為歐洲區β值在QE政策實施期間皆為負數居多,與市場呈現反向相關。
    Prices of bond are mainly affected by interest rate, as the global money market facing QE and negative interest rates policy, the bond market changed. In this paper, we study the impact of QE and QE on the performance of bond funds in the USA and Europe by the β coefficient, Sharp Index. and Treynor Index.The empirical results show that the beta is less than 1 in all of the sample period, implying that the system risk of bond funds is smaller than the markets. The β of most of the USA bond funds is positive in the period before and after the QE, but is negative during the period of QE. And the β of the European bond funds is negative before and during the QE .The excess returns of the USA bond fund are positive during the QE as showing by Sharp Index and Treynor Index but are negative before and after QE. The excess returns of most of the European bond fund are better during the QE, but in average, the excess returns are better before the QE as showing by Sharp Index and Treynor Index.
    Appears in Collections:[全球商務與行銷系暨國際商務與金融研究所] 博碩士論文

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