2008年金融海嘯對新興市場債券基金績效一致性及其持續性影響之研究

Financial tsunami on 2008 how to impact the global emerging market bond fund performance consistency and performance persistence

簡鴻信(Hung-Hsin Chien)

指導教授 ： 詹毓玲

國立臺北大學/商學院/企業管理學系/碩士(2011年)

摘要

新興市場的重要性，隨新興國家財務結構的改善與經濟實力的茁壯，重要性日益增加，亦因此吸引全球投資人的眼光。2007年4月美國發生次級房貸風暴，歐美主要經濟體過度財務操作的現象出現警訊；時至2008年9月，雷曼兄弟銀行倒閉，這家百年銀行的破產所引發的全球金融海嘯，至今仍餘波盪漾。新興市場重要性因具資金趨避風險的特性，帶來經濟加速成長。從投資於新興市場共同基金的金額呈現倍數成長，即可獲得印證。
過去學者對於基金績效研究從未間斷，而新興市場亦相對是一個較新的研究領域。是故本研究以全球新興市場債券基金為研究樣本，旨在探討2008年金融海嘯期間之基金績效一致性與持續性現象，透過「報酬率」、「Sharpe指標」與「淨值標準差」等三項指標進行績效衡量。將研究期間區分為長、短期進行績效指標一致性與持續性之驗證。並針對金融海嘯事件探討重大金融事件對績基金效之衝擊分析。最後並以五項非財務性指標，對樣本進行重新分組，再驗證基金績效之持續性現象與金融海嘯期間之衝擊分析。
本研究採用Spearman等級相關係數為檢定持續性的方法，經本研究之實證發現：
一、 「報酬率」與「Sharpe指標」兩指標，長、短期具有完全一致性。
二、 以「淨值標準差」作為長期基金風險指標之持續性最為顯著。
三、 以「報酬率」或「Sharpe指標」進行金融海嘯事件之衝擊分析，兩項指標之長期、短期基金績效持續性，大多出現顯著負相關。
四、 五項非財務性指標對基金「報酬率」之長、短期績效的持續性影響與金融海嘯之衝擊分析結論不一。

關鍵字

金融海嘯 ； 績效一致性 ； 績效持續性 ； Spearman等級相關係數

並列摘要

To following with the financial structure improvement and economics growing strength, the emerging markets play a more important role in the world. It also attracts global investors’ eyes. The subprime mortgage, a alert to response the excessive financial operations in America and Europe, happened in U.S.A in April of 2007, and the bankrupt of Lehman Brothers Holdings Inc in September of 2008, a long history bank, caused the global financial tsunami still impacted us so far. During this time, the emerging markets have a vital characteristic of the financial risk aversion and let them grow up blooming. We can verify it from investing amounts growing doubled in the emerging marketing funds.
The scholar studied continued in researching the fund performance in the past, and the emerging marketing was a relative newer research field. In this paper, we use the global emerging market bond funds as the samples. This purpose of this study was to investigate whether performance persistence and consistency existed during the financial tsunami of 2008. The paper uses three financial indicators of “Return”,” Sharpe ratio” and “standard deviation of net value” to analyze and classifies a long-term and a short-term period to verify fund performance persistence and consistency existed. It focuses on the financial tsunami, the significant financial issue, whether affected fund performance. Finally, it re-groups the specimens to identify the influence between fund performance persistence and the financial tsunami by using 5 non-financial indicators.
This research adopts the method is coefficient correlation of Spearman to assay performance persistence. The research findings were summarized as follows:
First, no matter in the long-term or the short-term period, Return and Sharpe ratio has performance consistency.Secord, the standard deviation of net value, a risk indictor, is obvious in long-term fund performance persistence.Third, considering the financial tsunami, Return and Sharpe ratio had the obvious negative coefficient correlation in both long-term and short-term fund performance persistence.Four, five non-financial indicators have different conclusions with analyzing the financial tsunami impact, especially in return for long-term and short-term fund performance persistence.

並列關鍵字

Financial Tsunami ； Performance Consistency ； Performance Persistence ； Spearman’s rank correlation coefficient

參考文獻

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