經過匯率因素調整後, BRIC股市績效評估

Evaluation of Performance on BRICs Stock Market : after foreign exchange rate adjustment

林倩如(Chien-Ju 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.2006.00065

摘要

2003年10月由高盛證券兩位分析師Wilson & Purushothaman所發表的研究報告中指出：未來五十年，巴西、俄羅斯、印度與中國(簡稱BRIC四國)有機會超越目前的六大工業國(G6)，成為世界經濟體中的四大強國。而我們所關心的台灣股市，在政府與投資大眾的熱情參與下，究竟在國際投資環境中呈現出怎樣的風貌呢? 本研究將以BRIC四國五股市暨台股所呈現的投資環境，在經過匯率因素調整後之報酬率、投資風險、投資色彩暨暴漲暴跌等相關股市特徵的衡量指標，以及傳統的均數-變異分析法、修正後的均數-變異效用評估法來進行跨國股市特徵綜合分析以及跨國股市投資績效評比。
分析期間內，在經匯率因素調整後的股性特徵綜合分析衡量下，就報酬而言，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只有印度而已；而在投機色彩上相對較台股來得薄弱的則有印度與深圳B股；最後相較於台灣更易暴漲但卻不易暴跌者，則分別有中國上海B股、中國深圳B股、俄羅斯與印度。在”外資主導論”中，外資在巴西的金融市場扮演重要角色。俄羅斯成為BRIC四國中受外資主導論影響最弱的國家。至於深圳B股與台灣股市則完全符合外資主導論預期，至於上海B股則次之。最後印度則處於外資主導論的灰色地帶。此外，經由修正後的均數—變異效用評估法，在研究期間內，我們發現經匯率因素調整後的巴西、俄羅斯、印度及中國上海B股與深圳B股之表現大幅優於台灣股市；換言之，相較於BRIC新興國家，台股的投資效益是敬陪末座的。

關鍵字

股市 ； 匯率調整 ； 外資主導論 ； 報酬率 ； 投資風險 ； 投機色彩 ； 暴漲暴跌

並列摘要

The research, reported by two analysts Wilson & Purushothaman from Groach on October 2003, revealed that it would have a great opportunity for Brail, Russia, India and China (abbreviation BRIC) to exceed current six greater industrial countries (G6), becoming the fourth most strongest countries in the global economy. In light of this trend, this study is based on the stock markets among BRICs and Taiwan. We convert these indices into the US dollar to minimize the foreign exchange disturbance. The measurement criteria we use in this study are based on stock characteristics including rate-of-return, investment risk, speculative behavior, sharp appreciation and depreciation as well. In addition, we utilize traditional mean-variance approach and modified mean-variance utility evaluation method to identify and evaluate the relative performances among BRICs and Taiwan. The study period covers from Jan. 2000 to Jun. 2005.
We find that BRICs outperform Taiwan on rate-of-return. And only the investment risk of India’s market is lower than that of Taiwan’s market.Comparing to the speculative behavior of Taiwan’s market, the weaker-behaving ones are India and China-Shenzhen B. In final, comparing to Taiwan market, those markets which are easier to sharp appreciation but more difficult to sharp depreciation are China-Shanghai B, China-Shenzhen B, Russia and India. Regarding the expectation of overseas capital in leadership, overseas capital plays a major role in Brazil’s market. Reversely, it plays a minor role in Russia’s market. China-Shenzhen B and Taiwan’s markets absolutely follow the expectation of overseas capital in leadership, China-Shanghai B in order. India’ market shows the uncertainty. Finally, based on the modified mean-variance utility evaluation, BRICs stock markets outperform Taiwan’s market after foreign rate exchange adjustment.

並列關鍵字

stock market ； foreign exchange rate adjustment ； overseas capital in leadership ； mean-variance approach ； modified mean-variance utility evaluation approach

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