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姓名 翁銘宏(Ming-Hong Weng) 查詢紙本館藏 畢業系所 財務金融學系 論文名稱 伊斯蘭指數：篩選準則與建構指數
(Islamic Index: Screening and Construction)相關論文 檔案 [Endnote RIS 格式]
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摘要(中) 本文介紹世界上重要的金融組織與機構所提出的指數建構準則，如全球知名的金融機構標準普爾、富時、道瓊和 MSCI ，以及 AAOIFI 和伊斯蘭律法諮詢委員會-馬來西亞證券委員會(SAC-SC)等國際重要機構，然後探討不同組織所提出的方法，有哪些異同之處。最後，以臺灣股票市場為例，制定一套篩選準則，編製成臺灣伊斯蘭指數，命名為中大伊斯蘭指數。實證方面，發現中大伊斯蘭指數在過去 10 年間，有 5 年績效表現勝過大盤，而且於 2015 年中至 2016 年中，觀察到指數價格跌幅比大盤小。風險程度方面，估計崩盤風險與下方風險，中大伊斯蘭成分股的崩盤風險和下方風險，顯著低於非成分股。 摘要(英) First, this research introduced the index construction guidelines proposed by the world′s important financial organizations and institutions, and then discussed the similarities and differences between the methods. For instance, S&P, FTSE Russell, Dow Jones and MSCI, as well as AAOIFI and SAC-SC. Furthermore, take the Taiwan stock market as an example to formulate a set of screening criteria and construct the Taiwan Islamic Index, named NCU Islamic index. Empirically, we found that in the past 10 years, NCU Islamic index outperformed the Taiwan market index in 5 years. Besides, between mid-2015 and mid-2016, we observed that NCU Islamic index price dropped more slightly than the market. Finally, we estimated crash risk and downside risk, and found that the risk of NCU Islamic constituent stocks are significantly lower than those of non-constituent stocks. 關鍵字(中) ★ 伊斯蘭指數
★ 富時臺灣伊斯蘭指數
★ 臺灣加權股價指數
★ 臺灣永續指數
★ 崩盤風險
★ 下方風險關鍵字(英) ★ Islamic Index
★ FTSE TWSE Taiwan Shariah Index
★ TAIEX
★ FTSE4Good TIP Taiwan ESG Index
★ Crash Risk
★ Downside risk論文目次 摘要..............................................ii
Abstract.........................................iii
1 緒論............................................1
2 文獻回顧........................................4
3 伊斯蘭金融簡介...................................6
3.1 前言.......................................6
3.2 伊斯蘭經濟與金融............................8
3.2.1 禁止利息(Riba)......................8
3.2.2 損益共享制(Mudharabah)..............9
3.2.3 禁止詐欺............................9
4 伊斯蘭指數篩選準則..............................11
4.1 篩選準則..................................12
4.1.1 質化的產業篩選......................12
4.1.2 量化的財務指標篩選..................12
4.2 富時伊斯蘭指數.............................13
4.2.1 富時臺灣證交所伊斯蘭指數.............14
4.2.2 質化篩選...........................14
4.2.3 量化篩選...........................15
4.2.4 定期審查...........................15
4.3 MSCI 伊斯蘭指數...........................15
4.3.1 質化篩選...........................16
4.3.2 量化篩選...........................17
4.3.3 定期審查...........................18
4.4 標準普爾伊斯蘭指數.........................18
4.4.1 質化篩選...........................19
4.4.2 量化篩選...........................19
4.4.3 定期審查...........................20
4.5 道瓊伊斯蘭市場指數.........................20
4.5.1 質化篩選...........................21
4.5.2 量化篩選...........................21
4.5.3 定期審查...........................21
4.6 STOXX....................................22
4.6.1 質化篩選...........................22
4.6.2 量化篩選...........................23
4.6.3 定期審查...........................23
4.7 湯森路透理想信用評級........................23
4.7.1 質化篩選...........................24
4.7.2 量化篩選...........................25
4.7.3 定期審查...........................25
4.8 雅加達伊斯蘭指數...........................25
4.8.1 質化篩選...........................25
4.8.2 量化篩選...........................26
4.9 伊斯蘭金融機構會計和審計組織................26
4.9.1 質化篩選...........................26
4.9.2 量化篩選...........................27
4.10 伊斯蘭律法諮詢委員會-馬來西亞證券交易委員會..27
4.10.1 質化篩選...........................28
4.10.2 量化篩選...........................29
4.10.3 MSME 質化篩選......................29
4.10.4 MSME 量化篩選......................30
4.11 ISRA-Bloomberg...........................30
4.11.1 質化篩選...........................30
4.11.2 量化篩選...........................31
4.12 Al Meezan Group..........................32
4.12.1 質化篩選...........................32
4.12.2 量化篩選...........................32
4.13 比較各指數篩選準則之異同...................32
4.13.1 質化篩選比較......................32
4.13.2 量化篩選比較......................33
5 中大伊斯蘭指數編製：以臺灣股市為例...............42
5.1 資料來源與指數方法.........................42
5.2 質化篩選..................................43
5.3 量化篩選..................................45
5.4 定期審查..................................45
6 實證分析.......................................55
6.1 指數介紹..................................55
6.1.1 富時臺灣伊斯蘭指數..................55
6.1.2 臺灣永續指數.......................56
6.2 敘述統計..................................57
6.3 績效比較..................................59
6.4 風險比較..................................65
6.4.1 崩盤風險...........................65
6.4.2 下方風險...........................67
7 結論...........................................69
7.1 結論......................................69
7.2 未來研究方向...............................69
參考文獻...........................................71
附錄...............................................74參考文獻 中文文獻
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