以國內投資者角度探討國際風險分散之效益

The International Diversification Effect on Taiwanese Investors

鄭世偉(Shih-wei Cheng)

指導教授 ： 何耕宇

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2007年)

摘要

本研究主係探討以國內（台灣）投資者的角度，藉由多角化投資決策能分散投資組合非系統風險之特性，藉由選取國際投資組合標的納入原始投資組合內，觀察其「投資機會集合」，亦即「效率前緣」之變化。本研究共分為五大部分執行測試，實證結果發現，投資人分別將所選取之國際投資標的納入原始投資組合，均能有效提升投資組合績效，尤以加入已開發市場投資標的最為顯著；已開發市場投資標的比新興市場投資標的更能有效提升投資組合之績效與降低風險；政府公債指數在測試結果中被證明能有效降低投資組合的風險；在已擁有已開發國家相關資產的基礎投組中加入已開發國家相關之期貨與選擇權指數，對投資組合績效提升效益不高，反之，加入僅擁有新興市場資產的基礎投組則績效提升效益較顯著；當基礎投資組合包含新興市場資產投資組合時，納入原物料指數投資組合後，較能提升投資組合的績效表現。

關鍵字

平均數-變異數投資組合分析 ； 投資機會集合 ； 國際風險分散 ； 平均數-變異數擴張檢定

並列摘要

This study examines whether domestic（Taiwan）investors can improve their investment opportunity sets by adding internationally diversified portfolio to a set of benchmark portfolios. Using the selected data from 2001-2006, we find that adding internationally diversified portfolios does lead to a statistically significant improvement of investment performance. The developed stock market portfolios are the main source of this augmentation of the mean-variance investment opportunity set. Bond indices portfolios are proved by our tests to effectively diversify the risk of investment portfolios. In addition, investors can improve their investment opportunity sets much more by adding developed market futures & option indices to a set of benchmark portfolios including emerging market assets than the one including developed market assets only. Finally, investors can further improve their investment opportunity sets by adding commodity indices portfolio to a set of benchmark portfolios including emerging market assets.

並列關鍵字

Mean-Variance Investment Portfolio ； Investment Opportunity sets ； International Diversification ； Mean-Variance Spanning Test

參考文獻

黃宜靖，「不動產投資信託於國際資產配置角色之研究」，國立中央大學財務金融學系碩士在職專班碩士論文，2006。

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Huberman, G. and S. Kandel, 1987, Mean-Variance Spanning, Journal of Finance 42,pp.873-888.

Jensen, M. C., 1968, The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance 23, pp.389-416.

Jorion, P., 1989, Asset Allocation with Hedged and Unhedged Foreign Stocks and Bonds, Journal of Portfolio Management 16(4), pp.49-54