博碩士論文 109428022 完整後設資料紀錄

DC 欄位 語言
DC.contributor財務金融學系zh_TW
DC.creator翁銘宏zh_TW
DC.creatorMing-Hong Wengen_US
dc.date.accessioned2022-6-29T07:39:07Z
dc.date.available2022-6-29T07:39:07Z
dc.date.issued2022
dc.identifier.urihttp://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=109428022
dc.contributor.department財務金融學系zh_TW
DC.description國立中央大學zh_TW
DC.descriptionNational Central Universityen_US
dc.description.abstract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。zh_TW
dc.description.abstractFirst, 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.en_US
DC.subject伊斯蘭指數zh_TW
DC.subject富時臺灣伊斯蘭指數zh_TW
DC.subject臺灣加權股價指數zh_TW
DC.subject臺灣永續指數zh_TW
DC.subject崩盤風險zh_TW
DC.subject下方風險zh_TW
DC.subjectIslamic Indexen_US
DC.subjectFTSE TWSE Taiwan Shariah Indexen_US
DC.subjectTAIEXen_US
DC.subjectFTSE4Good TIP Taiwan ESG Indexen_US
DC.subjectCrash Risken_US
DC.subjectDownside risken_US
DC.title伊斯蘭指數:篩選準則與建構指數zh_TW
dc.language.isozh-TWzh-TW
DC.titleIslamic Index: Screening and Constructionen_US
DC.type博碩士論文zh_TW
DC.typethesisen_US
DC.publisherNational Central Universityen_US

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