BRICs股市績效評估

Evaluation of Performance on BRICs Stock Market

林正文(Cheng-Wen Lin)

指導教授 ： 李又剛

淡江大學/商學院/國際商學碩士在職專班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00073

摘要

隨著2003年Goldman Sachs兩位資深分析師(Dominic Wilson)和(Roopa Purushothaman) ， 以逆向思考的模式針對“人口年輕的大型經濟體，長期會對全球造成什麼樣的影響”前提下，意外導出一份震撼全球的報告，即BRICs四個新興國家於2050年將躋身全球十大經濟體之列，七大工業國將重新洗牌，而它們將在能源、天然資源、資本三大市場扮演要角，成為全球最重要的消費市場。

基於這些因素，進而促使我們對這四個新興市場產生極大的興趣，引發我們嘗試評估這些倍受矚目的四國五個股市的投資績效，並試圖藉由以上的投資績效來突顯台灣股市的投資價值。

本研究係擷取2000年1月份至2005年6月份，巴西、俄羅斯、印度及中國等四國五個股市，共計66個月的股市每月月底收盤價之資料作分析，將四國五個股市經由報酬率、投資風險、投機色彩與暴漲暴跌的股市特徵分析，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，來評估四國五個股市的投資績效，並進一步檢視該四個新興市場投資環境相較於台灣的優劣，以致更精準為台股來定位。
在分析期間內，藉由相關的分析，我們獲致如下結論：
(一)股性特徵綜合分析方面：
　　 就報酬來說，巴西、俄羅斯、印度及中國皆優於台灣；至於所需承擔投資風險較台灣來得低的則祇有印度而已；而在投機色彩上最薄弱的則是中國深圳及印度；最後BRIC四國五股市，相較於台股更易暴漲但卻不易暴跌。

(二)傳統的均數－變異分析法方面：
　　 我們以台灣為中心作為比較的基準，藉由傳統的均數－變異分析法，結果發現不論是用月報酬率均數，甚或是期間報酬率來當作衡量指標，其所獲得的結論將會不謀而合，表示座落於第Ⅱ象限的印度所提供的投資環境均要較台灣來得好。

(三)修正後的均數－變異效用評估法方面：
　　我們經由修正後的均數－變異效用評估法，發現巴西、俄羅斯、印度及中國等四國五個股市的表現遠在台灣之上。這也意味著巴西、俄羅斯、印度及中國的投資價值皆優於台灣之上。

關鍵字

資本市場 ； 報酬率 ； 投資風險 ； 投機色彩 ； 變異分析法 ； 變異效用評估法

並列摘要

According to a study by two senior business bankers in Goldman Sachs, Dominic Wilson and Roopa Purushothaman, entitled < Dreaming with BRICs: The path to 2050>, these nations will make a major contribution to global economic growth in coming decades.

The results are startling. If things go right, the BRICs economies together could be large than the G7 and become a member of the world biggest ten economies. Undoubtedly, they will play an important role in the energy, nature resources and capital market. That is a massive shift in the balance of world economic power. Because of the reasons I mentioned before, I have a strong desire to analyze these four emerging market. Further more, to find the invested opportunities and niche in these four markets and Taiwan.

We collect the stock price data in five stock markets of these our countries from January, 2000 to June, 2005 in order to analyze the stock market and the further investment opportunities. The approaches of this analysis are followings: Return rate, Investment and Spec risk, Jumped and Plummet of the stock price, and the Traditional average: Analysis of Variance, Average after amendment and ---------------------

We apprize the stock performance of these four countries and overlook the invested environment compares with Taiwan. Base on the relative data and the analysis we acquire the following conclusion:

Firs, by the dimension of the characteristic of stock market:
The stock performance of Brazil, Russia, Indian and China are all excelled the stock performance of Taiwan. Apropos of the investment risk, only Indian is less than Taiwan. China and India are the least two countries which have the spec risk and opportunities. To sum up, the five sock markets in BRICs compared with Taiwan stock market are easier to jump but harder to slump.

Second, by the dimension of the traditional average: Analysis of Variance:
To take the Taiwan stock market as a basis, we find a results that the conclusion will be the same whatever we use the monthly return rate average or the term return rate average as our measurement basis. It all indicates that the investment environment in Indian is better than that in Taiwan.

Third, by the Dimension of the Avarage after amended:
We find that the stock performance of Brazil, Russia, Indian and China are all better than that of Taiwan. It also denotes that the value of investment is also superior to that in Taiwan.

並列關鍵字

BRICs capital market ； Return rate ； Investment and Spec risk ； Jumped and Plummet of the stock price ； Traditional average: Analysis of Variance ； Average after amendment

參考文獻

“Predicting Stock Returns in an Efficient Market”,

of Individual Portfolios and Some Implication for

13.Breeden, D. T. (1979),“An Intertemporal Asset Pricing

14.Breeden, D. T., M. R. Gibbons and R. H. Zitzenberger

October(2003)，“Dreaming With BRICs： The Path to