| Abstract: | 目前台灣的投資者在從事國際投資時,最常使用的工具是海外基金,但海外基金未必能比當地大盤表現為佳,而隨著外國股價指數期貨的開放,投資者又多了一項海外投資的選擇,本文最主要的目的即在探討利用股價指數期貨從事國際投資組合的可行性。 本文利用四種業已開放的股價指數期貨(S&P500、SIMEX NIKKEI 225、MMI、及FT-SE100股價指數期貨),來模擬出國際股市投資組合,並加入其他三項已在國際市場買賣的股價指數期貨(香港的恆生指數期貨、澳洲AAO股價指數期貨、以及法國CAC40股價指數期貨),以研究開放更多的股價指數期貨,對於投資人的報酬、風險以及績效的影響。並藉著與海外基金的相比較,作為投資人在選擇國際投資工具上的參考。 本文使用馬寇維茲的平均數-變異數模型,比較股價指數期貨與海外基金投資效率的差異。結果顯示,股價指數期貨的確可提供小額投資者相當有效地模擬當地現貨市場投資組合的功能。且股價指數期貨的投資績效也較海外基金為佳。另外,開放更多的外國股價指數期貨供國人交易,將有利於投資者從事國際投資以分散當地的市場風險。
The purpose of this research is to investigate the performance of international portfolio management through foreign stock index futures from the viewpoint of investors in the Taiwan market. We examine seven foreign stock index futures, namely S&P 500 index futures, Nikkei 225 index futures, Major Market index futures, FT-SE 100 index futures, Hang-seng index futures, CAC40 index futures, and AAO index futures. Markowitz`s mean-variance portfolio model is employed to construct the efficient sets for the stock index futures as well as for the single country funds. The results show that the performance of international portfolio management through foreign stock index futures is better than that through single country funds. In addition, the performance improved as more and more foreign stock index futures are added to the international portfolio. |
