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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)
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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
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指導教授 何耕宇、葉錦徽
(Keng-Yu Ho、Jin-Huei Yeh)
審核日期 2009-6-25
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