利用隨機優勢方法探究商品指數之投資績效

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：98

、訪客IP：3.137.200.58

姓名

林柏丞(Po-Cheng Lin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

利用隨機優勢方法探究商品指數之投資績效
(On the Performance of Commodity Investment：A Stochastic Dominance Approach)

相關論文

★ 使用信用卡循環信用持卡人特性之研究	★ 證券商分公司經營績效-以元大證券為例
★ 經濟變數對十年期公債殖利率影響之研究	★ 從股務代理機構之角度探討全面發行無實體有價證券作業
★ 以KMV 及Logistic 模型計算發行公司違約機率-台灣股市實證研究	★ 財務比率與股價報酬關聯性之研究--以全球汽車產業為例
★ 以完全複製不定期調整方式建構指數股票型基金之績效研究	★ 投資組合理論在財富管理上之應用
★ 以存活分析法預測通信貸款之還款期限	★ 國內股票型共同基金異常報酬之特徵研究
★ 台灣境外高收益債券型基金績效分析	★ 財富管理客戶選擇銀行之因素探討
★ 境外匯回專法實施前後境外資金解決方案比較－以個案分析為例	★ 匯率風險與亞洲金融風暴之研究
★ 消費者情緒對股價報酬的預測能力	★ 因子或特徵:全球觀點

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 ( 永不開放)

摘要(中)

我們運用隨機優勢方法來檢測商品指數和標準普爾500指數之間的關係，樣本期間從1980年1月至2008年11月，我們也將商品指數的表現跟景氣循環、有效聯邦資金利率和消費者物價指數之變動做連結。我們發現標準普爾500指數在總樣本期間以及景氣擴張時期，皆隨機優勢於許多商品指數；但在景氣衰退時期，兩者並無隨機優勢關係。實證結果也顯示在1980年代、1990年代、高有效聯邦資金利率以及低消費者物價指數變動期間下，標準普爾500 指數皆隨機優勢於樣本中所有的商品指數；然而，在2000年代以及低聯邦資金利率期間，有許多商品指數反而隨機優勢於標準普爾500 指數。雖然我們並沒有發現證據支持商品指數在高消費者物價指數變動下，隨機優勢於標準普爾指數，但商品指數在高消費者物價指數變動下的表現，優於在低消費者物價指數變動下的表現，這結果與先前研究指出商品可當作通貨膨脹避險的結論一致。

摘要(英)

In this thesis, we use the stochastic dominance approach to examine the relationship between the performance of commodity index and S&P 500 price index from January 1980 to November 2008. We also try to link commodity indices performance to business cycles, effective federal funds rate and Consumer Price Index (CPI). We find evidence that S&P 500 Price Index stochastically dominates several commodity indices during the full sample and boom period. But there is no stochastic dominance relation during recession period. The empirical results also show that S&P 500 price index stochastically dominates all commodity indices during 1980s, 1990s, high federal funds rate and low CPI period. However, several commodity indices stochastically dominate S&P 500 price index during low federal funds rate periods and 2000s. Although we do not discover evidence that the dominance relations are reversal during high CPI period, the performance of commodity indices in high CPI periods are better than in low CPI periods.These results could consisting with earlier studies indicate that commodities act as inflation hedge.

關鍵字(中)

★ 商品指數
★ 隨機優勢
★ 標準普爾500指數

關鍵字(英)

★ Commodity Index
★ Stochastic Dominance
★ S&
★ P 500 Price Index

論文目次

Contents
1.Introduction ........................................ 1
2.Review of Prior Research ............................ 3
3.Methodology ......................................... 4
4. Data ............................................... 7
4.1 Determination of Decades ........................ 9
4.2 Determination of Business Cycle ................. 10
4.3 Determination of High and Low Effective Federal
Funds Rate periods .............................. 11
4.4 Determination of High and Low Consumer Price Index
periods ......................................... 12
5. Empirical Results .................................. 13
5.1 Results for the Full Sample (1980-2008) Period .. 14
5.2 Results for the Decade Periods .................. 15
5.2.1 1980-1989 (1980s) Periods ................. 15
5.2.2 1990-1999 (1990s) Periods ................. 16
5.2.3 2000-2008(2000s) Periods .................. 16
5.3 Results for the Business Cycle Period ........... 17
5.3.1 Boom Periods .............................. 17
5.3.2 Recession Periods ......................... 18
5.4 Results for the High and Low Effective Federal
Funds Rate Period ............................... 18
5.4.1 High Effective Federal Funds Rate
Periods ................................ 18
5.4.2 Low Effective Federal Funds Rate
Periods ................................... 19
5.5 Results for the High and Low Consumer Price Index
Period .......................................... 20
5.5.1 High Consumer Price Index Periods ......... 20
5.5.2 Low Consumer Price Index Periods .......... 21
6.Conclusion .......................................... 21
Appendix A: Methodology Details ....................... 23
Appendix B: Investible Commodity Indices and Commodity
Fund ...................................... 26
References ............................................ 28

參考文獻

Abhyankar, A., Ho, K.-Y and Zhao, H., (2008), ‘‘Value versus growth: Stochastic Dominance
Criteria’’, Quantitative Finance, 8, p. 693-704.
Anderson, G. (1996), ‘‘Nonparametric Tests for Stochastic Dominance’’, Econometrica, 64, p.
1183-1193.
Anson, M.J.P. (1999), ‘‘Maximizing Utility with Commodity Futures Diversification’’,
Journal of Portfolio Management, May, p. 86-94.
Barrett, G., Donald, S. (2003), ‘‘Consistent Tests for Stochastic Dominance’’, Econometrica,
71, p. 71-104.
Bjornson, B., and C. Carter (1997), ‘‘New Evidence on Agricultural Commodity Return
Performance under Timing-Varying Risk’’, American Journal of Agricultural Economic, p.
918-930.
Bodie, Z. (1983), “Commodity Futures as a Hedge against Inflation,” The Journal of Portfolio
Management, p. 12-17.
Chow, G., E. Jacquier, M. Kritzman and K. Lowry (1999), ‘‘Optimal Portfolios in Good
Times and Bad’’, Financial Analysts Journal, May, p.65-73.
Davidson, R., and Duclous, Y.-J. (2000), ‘‘Statistical Inference for Stochastic Dominance and
for the Measurement of Poverty and Inequality’’, Econometrica 68, p. 1435-1464.
Edwards, F.R. and M.O. Caglayan (2001), ‘‘Hedge Fund and Commodity Investments in Bull
and Bear Markets”, Journal of Portfolio Management, June, p. 97-108.
Fama, E. and K. French (1988), "Business Cycles and the Behavior of Metals Prices," Journal
of Finance, 43, p. 1075-1093.
Froot, K. A. (1995), ‘‘Hedging Portfolios with Real Assets”, Journal of Portfolio
Management, June, p. 60-77.
Fishburn, P.C., (1989), ‘‘Stochastic Dominance in Nonlinear Utility Theory”, In: Fomby, T.B.,
Seo, T.K. (Eds.), Studies in the Economics of Uncertainty”. Springer, New York
29
Fong, W.M., Wong, W.K., and Lean, H.H. (2005), ‘‘International Momentum Strategies: A
Stochastic Dominance Approach”, Journal of Financial Markets, p. 89-109.
Furlong, F. and R. Ingenito (1996), ‘‘Commodity Prices and Inflation”, Federal Reserve Bank
of San Francisco Economic Review, p. 27-47.
Gorton G. and G. Rouwenhorst (2006), ‘‘Facts and Fantasies about Commodity
Futures”, Financial Analysts Journal, 62(2), p. 47-68.
Georgiev, G. (2001), ‘‘Benefits of Commodity Investment”, Journal of Alternative
Investments, June, p. 40-48.
Jensen. R. Johnson and J. Mercer (2002) , ‘‘Tactical Asset Allocation and Commodity
Futures” Journal of Portfolio Management, June, 2002, p. 100-111.
Levy, H., (1985), ‘‘Upper and lower bounds of put and call option value: stochastic
dominance approach”, Journal of Finance 40, p. 1197–1217.
Levy, H., (1998), ‘‘Stochastic Dominance: Investment Decision Making Under Uncertainty”,
Kluwer, Boston.
McFadden, D. (1989), ‘‘Testing for stochastic dominance”, In T.B. Fomby and T.K. Seo
(Eds.), Studies in the Economics of Uncertainty: In Honor of Josef Hadar, New York, Berlin,
London and Tokyo: Springer
Post, T.,(2003) ‘‘Empirical tests for stochastic dominance efficiency”. Journal of Finance 58,
p. 1905–1932.
Russell, W.R., Seo, T.K., (1989). ‘‘Representative sets for stochastic dominance rules”. In:
Fomby, T.B., Seo,T.K. (Eds.), Studies in the Economics of Uncertainty. Springer, New York.
Seyhun, H.N., (1993) ‘‘Can Omitted Risk Factors Explain the January Effect? A Stochastic
Dominance Approach”. Journal of Financial and Quantitative Analysis 28, p. 195–212.
Vrugt, E.B., Bauer R., Molenaar, R. and Sttenkamp T., (2004), ‘‘Dynamic Commodity
Timing Strategies”, SSRN Working Paper, University of Maastricht

指導教授

何耕宇、葉錦徽
(Keng-Yu Ho、Jin-Huei Yeh)

審核日期

2009-6-25

推文