歐債危機對歐盟國家ETF之影響評估

2009 年底，歐豬五國（希臘、愛爾蘭、葡萄牙、西班牙與義大利）陷入經濟困境，使得歐洲爆發主權債信危機，更造成近年來全球金融局勢動盪不安。全球投資人將資金轉移至各類型投資產品以分散風險，其中指數型股票基金（以下簡稱 ETF）具股票與基金之優點，交易成本低、公開透明且報酬穩定，因此近年來受到重視。因此本文篩選出美國 iShares 公司發行滿五年之九檔歐盟 ETF 為研究對象，包括德國 ETF（EWG）、荷蘭 ETF（EWN）、比利時 ETF（EWK）、法國 ETF（EWQ）、義大利 ETF（EWI）、英國 ETF（EWU）、西班牙 ETF（EWP）、瑞典 ETF（EWD）和奧地利 ETF（EWO）。研究期間為 2009 年 1 月至 2013 年 12 月，並以 2011 年 4 月 29 日為切割點將危機分為前期與後期。最後利用敘述性統計、CAPM 模型、夏普指數、變異數-共變異數、歷史模擬法及蒙地卡羅法等指標，分析歐盟九檔 ETF 績效及風險值在歐債危機發生全期及前後期之動態變化。本文研究結果發現，以歐債危機全期來看，九檔 ETF 受到危機利多利空消息的影響，每一檔 ETF 五年來走勢相似，並在相同時間點呈現出關鍵高低點位置。以歐債危機前後期來看，九檔 ETF 在後期的報酬率、標準差、α 值、β 值、夏普指數及平均風險值均較前期減少，顯示歐債危機確實造成歐盟 ETF 嚴重的影響。但九檔 ETF 在 2013 年報酬率達到 8.91％~28.58％，顯示歐盟國家在 2013 年已漸擺脫危機影響，經濟情況好轉。本文比較九檔ETF績效，歸納出歐債危機前後期表現均佳的ETF依序為比利時ETF （EWK）、荷蘭 ETF（EWN）與英國 ETF（EWU），而表現均差的 ETF 依序為義大利 ETF（EWI）、西班牙 ETF（EWP）與法國 ETF（EWQ）；奧地利 ETF（EWO）前期表現佳，後期表現差；德國 ETF（EWG）的 2013 年報酬率、後期報酬率、α 值、β 值和夏普指數表現優，是近期表現最好的 ETF；而西班牙 ETF（EWP）在歐債危機前後期雖然各項指標表現差，但 2013 年報酬率排名第二，具有獲利潛力。本文建議未來投資可優先選擇的 ETF 依序為德國 ETF（EWG）、西班牙 ETF（EWP）、比利時 ETF（EWK）與荷蘭 ETF（EWN），不建議投資的 ETF 依序為義大利 ETF（EWI）與奧地利 ETF（EWO）。

關鍵字

歐盟；歐債危機； ETF ；指數型基金；基金績效；風險值

並列摘要

By the end of 2009, the PIIGS（Greece, Ireland, Portugal, Spain and Italy）fell into recession, and subsequently the sovereign debt crisis broke out in Europe. These had led to the global spread of the financial crisis in recent years. Global investors transfer their funds to the various types of investment products in order to spread risk. Among these investment products, exchange-traded funds（ETFs） are popular because they have the advantages of both stocks and mutual funds, including lower operating cost, greater transparency and more stable profits. In this paper, nine EU’s ETFs were identified as the research subjects, including the Germany ETF（EWG）, Netherlands ETF（EWN）, Belgium ETF（EWK）, France ETF （EWQ）, Italy ETF（EWI）, United Kingdom ETF（EWU）, Spain ETF（EWP）﹐Sweden ETF（EWD） and Austria ETF（EWO） selected by the US iShares company. The research period from January 2009 to December 2013 is chosen, and is further divided into two periods （before- and after-） by the date of April 29, 2011. This paper analyzes the dynamic changes of the performance and Value at Risk（VaR） of the nine EU’s ETFs during the whole five-year period of the European debt crisis as well as the before- and after- periods by adopting descriptive statistics, the CAPM, Sharpe ratio, the historical simulation and Monte Carlo method. This study found that, over the whole five-year period of European debt crisis, the indices of the nine ETFs show similar trends as well as highs and lows as a result of the effects of the news of the European debt crisis. Further comparisons on the fund performance during the before- and after- periods of the European debt crisis reveal that the return rates, standard deviations, α-value, β-value, Sharp ratio and average VaR of the nine ETFs are lower in the after-period than those in the before-period, indicating that the European debt crisis did have great influences on EU’s ETFs. Nevertheless, the return rates of the nine ETFs having come to 8.91％~28.58％ since 2013 suggests that the EUs have gotten out of the European debt crisis and improved their economic performance. iii By comparing the performance of the nine EU’s ETFs during the five-year period of European Debt crisis this paper found that the Belgium EWK, Netherland EWN and UK EWU funds performed well during both the before- and after- periods; and that Italy EWI, Spain EWP, and France EWQ funds, on the contrary, performed poorly during both periods. The Austria EWO fund performed poorly in the after-period as well. The Germany EWG fund had the best performance in the annual return rate in 2013, return rate in the after-period, α-value, β-value, and Sharp ratio in recent years. Although Spain EWP fund performed poorly during both periods, its return rate in 2013 ranks second and exhibits profit potential. For future investments, this paper recommends investors the Germany EWG, Spain EWP, Belgium EWK, and Netherland EWN funds as the priority choices, and the Italy EWI and Austria EWO funds as the ones to avoid.