政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/54176
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 114105/145137 (79%)
Visitors : 52148017      Online Users : 563
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54176


    Title: 恐慌與封閉型國家基金的折溢價關係：日本的證據
    The relation between fear and closed-end country fund: evidence from Japan
    Authors: 薛家鴻
    Contributors: 杜化宇
    薛家鴻
    Keywords: 日本國家基金
    投資人情緒
    恐慌指標
    封閉型基金折溢價
    Date: 2011
    Issue Date: 2012-10-30 10:14:00 (UTC+8)
    Abstract: 本文以日本封閉型國家基金作為主要研究對象，旨在探討封閉型國家基金折溢價變化與市場間恐慌情緒的關係，主要貢獻在於首次將選擇權隱含波動度指數作為恐慌指標利用在解釋閉型國家基金折價變化上，將研究範圍針對在市場恐慌，而非全面性的市場情緒。主要研究議題為(一)日本封閉型國家基金之折價變化與市場恐慌變化的關係，以及在市場恐慌情形存在下，不對稱性是否亦會對日本封閉型國家基金折價變化造成不同程度的影響；(二)日本地區的「相對恐慌變動」是否會傳染至鄰近國家，影響鄰國之封閉型國家基金其折價變化幅度。

    本文的結論為(一)以日本封閉型國家基金為例，基金折價的變動，受到投資地區市場(日本)與價格掛牌市場(英美)之間「相對恐慌」程度變化所影響。若日本相對的恐慌程度較高時，則基金折價幅度將會縮小，甚至轉為溢價；若英美市場的波動程度較高時，則基金折價幅度將會擴大。因此，封閉型國家基金的折價行為，並不單純只受單一市場的情緒所影響，而是綜合兩市場間的恐慌情緒因素。(二)此現象在區分日本市場波動度高低時(以日經225波動度指數45為門檻)，兩種情況下效果皆顯著，但在市場波動度較高時，其「相對恐慌」程度變化的影響效果更大。(三)日本市場的「相對恐慌」變動，其過程將影響鄰近國家地區的封閉型國家基金折價變化，呈現出恐慌具有外溢效果。
    Reference: 1. Anderson, Seth., T. Randolph Beard, Hyeongwoo Kim, and Liliana V. Stern, (2011) “Fear and Closed-End Fund Discounts: Investor Sentiment Revisited”, Working paper.

    2. Bailey, W., and Joseph Lim, (1992) “Evaluating the Diversification in Benefits of the New Country Funds”, Journal of Portfolio Management, Vol. 18, P74-80

    3. Bennett, J. Andrea., and Paul L. Gronewoller, (2002) “Closed-End Country Fund Discounts and Systematic UK and US Market Movements: Co-integration and Error Corrected Granger Causality Tests”, Managerial Finance, Vol. 28, No. 1, P73-92.

    4. Ben-Zion, Uri., Jongmoo Jay Choi, and Shmuel Hauser, (1996) “The Price Linkages between Country Funds and National Stock Markets: Evidence from Cointegration and Causality Tests of Germany, Japan and UK Funds”, Journal of Business Finance and Accounting, Vol. 23, No. 7, P1005-1017.

    5. Bodurtha Jr., James N., Dong-Soon Kim, and Charles M. C. Lee, (1995) “Closed-end Country Funds and U.S. Market Sentiment”, Review of Financial Studies, Vol. 8, No. 3, P879-918.

    6. Bonser-Neal, Catherine., Greggory Brauer, Robert Neal, and Simon Wheatley, (1990) “International Investment Restrictions and Closed-End Country Fund Prices”, Journal of Finance, Vol. 45, No.2 , P523-547.

    7. Boudreaux, Kenneth J., (1973) “Discounts and Premiums on Closed-End Mutual Funds: A Study in Valuation”, Journal of Finance, Vol. 28, No. 2, P515-522.

    8. Burch, Timothy R., Douglas R. Emery, and Michael E. Fuerst, (2003) “What Can “Nine-Eleven” Tell Us about Closed-End Fund Discounts and Investor Sentiment?”, Financial Review, Vol. 38, P513-529.

    9. Chan, Justin S. P., Ravi Jain, and Yihong Xia, (2008) “Market Segmentation, Liquidity Spillover, and Closed-End Country Fund Discounts”, Journal of Financial Markets, Vol. 11, P377-399.

    10. Chandar, Nandini., and Dilip Kumar Patro, (2000) “Why do closed-end country funds trade at enormous premiums during currency crises?”, Pacific-Basin Finance Journal, Vol. 8, P217-248.

    11. Chang, E., Cheol Eun, and Richard Kolodny, (1995) “International diversification through closed-end country funds”, Journal of Banking and Finance, Vol. 19, P1237-1264.

    12. Chen, Nai-Fu., Raymond Kan, and Merton H. Miller, (1993a) “Are the Discounts on Closed-End Funds a Sentiment Index?”, Journal of Finance, Vol. 48, No. 2, P795-800.

    13. Chen, Nai-Fu., Raymond Kan, and Merton H. Miller, (1993b) “A Rejoinder”, Journal of Finance, Vol. 48, No. 2, P809-810.

    14. Chopra, Navin., Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, (1993a) “Yes, Discounts on Closed-End Funds Are a Sentiment Index”, Journal of Finance, Vol. 48, No. 2, P801-808.

    15. Chopra, Navin., Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, (1993b) “Summing Up”, Journal of Finance, Vol. 48, No. 2, P811-812.

    16. De Long, J. Bradford., Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, (1990) “Noise Trader Risk in Financial Markets”, Journal of Political Economy, Vol. 98, No. 4, P703-738.

    17. Diwan, I., Vihang Errunza, and Lemma Senbet, (1993), “Country Funds for Emerging Economics”, working paper, World Bank, McGill University and University of Maryland

    18. Doukas, John A., and Nikolaos T. Milonas, (2004) “Investor Sentiment and the Closed-end Fund Puzzle: Out-of-sample Evidence”, European Financial Management, Vol. 10, No. 2, P235-266.

    19. Frankel, Jeffrey A., and Sergio L. Schmukler, (2000) “Country Funds and Asymmetric Information”, International Journal of Finance and Economics, Vol. 5, P177-195.

    20. Fuertes, Ana-Maria., and Dylan C. Thomas, (2006) “Large Market Shocks and Abnormal Closed-End-Fund Price Behavior”, Journal of Banking and Finance, Vol. 30, P2517-1535.

    21. Hardouvelis, Gikas., Rafael La Porta, and Thierry A., Wizman, (1994) “What Moves the Discount on Country Equity Funds?”, The Internationalization of Equity Markets, P345-403.

    22. Johnson, G., Thomas Schneeweis and William Dinning (1993) “Closed-End Country Funds: Exchange Rate and Investment Risk”, Financial Analysts Journal, Vol. 49, No. 6, P74-82.

    23. Kim, Youngsoo., and Bong Soo Lee, (2006) “Limited participation and the closed-end fund discount”, Journal of Banking & Finance, Vol. 31, P381-399.

    24. Klibanoff, Peter., Owen Lamont, and Thierry A. Wizman, (1998) “Investor Reaction to Salient News in Closed-End Country Funds”, Journal of Finance, Vol. 53, No. 2, P673-699.

    25. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, (1991) “Investor Sentiment and the Closed-End Fund Puzzle”, Journal of Finance, Vol. 46, No. 1, P75-109.

    26. Levy-Yeyati, Eduardo., and Angel Ubide, (2000) “Crises, Contagion, and the Closed-End Country Fund Puzzle”, IMF Staff Papers, Vol. 47, No. 1, P54-89.

    27. Low, Cheekiat.,(2004) ”The Fear and Exuberance from Implied Volatility of S&P 100 Index Options”, Journal of Business, Vol. 77, No. 3, P527-546.

    28. Malkiel, Burton G., (1977) “The Valuation of Closed-end Investment-Company Shares”, Journal of Finance, Vol. 32, No. 3, P847-859.

    29. Pontiff, Jeffrey., (1996) “Costly Arbitrage: Evidence from Closed-end Funds”, Quarterly Journal of Economics, Vol. 111, P1135-1151.

    30. Richard, John E., and James B. Wiggins, (2000) “The Information Content of Closed-End Country Fund Discounts”, Financial Services Review, Vol. 9, P171-181.

    31. Simpson, Marc W., and Sanjay Ramchander, (2002) “Is Differential Sentiment a Cause of Closed-End Country Fund Premia? An Empirical Examination of The Australian Case”, Applied Economics Letters, Vol. 9, P615-619.

    32. Tsai, Pei Jung., Peggy E. Swanson, and Salol K. Sarkar (2007) “Mean and volatility linkages for closed-end Country funds”, Quarterly Review of Economics and Finance, Vol. 47, P550-575.

    33. Whaley, Robert., (2000) “The Investor Fear Gauge”, Journal of Portfolio Management, Vol. 26, P12-17.

    34. Zweig, Martin E., (1973) “An Investor Expectation Stock Price Predictive Model Using Closed-End Fund Premiums”, Journal of Finance, Vol. 28, No. 1, P67-78.
    Description: 碩士
    國立政治大學
    財務管理研究所
    99357003
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099357003
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

    Files in This Item:

    File SizeFormat
    700301.pdf1424KbAdobe PDF2743View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback