臺灣博碩士論文加值系統

新冠肺炎疫情(COVID-19)在2019年底爆發，疫情對全球經濟帶來巨大的衝擊，本論文以在台灣發行的安聯全球新興市場高股息基金作為研究對象，運用事件研究法之市場模式來探討新冠疫情是否對此基金產生顯著影響，研究期間為2019年1月2日至2021年1月29日，以世界衛生組織(WHO)宣布大流行的2020年3月11日作為事件日，檢視境外基金在疫情初期的異常報酬率並分析其原因，而本論文的資料來源取自於Investment.com與yahoo finance。實證結果顯示新冠疫情對基金有造成負向影響，短期內產生負異常報酬率，這主要與市場投資人有關，多數投資人在交易時易受市場情緒及傳播媒體影響，而進一步分析基金自身所持有的標的，並與基準指標MSCI新興市場指數的持股對比，可發現持股標的中的台積電、騰訊、阿里巴巴，在疫情爆發後的四到五個月開始有良好的表現。亞洲新興市場國家在疫情期間因相關類股的成長而日益發達，因此為新興市場基金帶來更多新的投資機會。本論文採用的事件為非經濟相關，回顧過往重大事件，例如:2003年的SARS、伊拉克戰爭、2008年的金融海嘯、2018中美貿易戰等，無論是經濟還是非經濟事件，皆使金融市場產生巨大的變化，而這些重大危機發生時均會產生異常報酬，此一結果與本論文相似，認為投資人的決策行為是影響異常報酬的關鍵因素。由於以境外基金為主題的文獻較少，因此本論文選擇境外基金作為研究對象，若未來再發生相關事件時，能以此作為投資者的參考依據。

The outbreak of COVID-19 at the end of 2019 will have a huge impact on the global economy. This study uses the Allianz GEM Equity High Div AM H2 ZAR, which is issued in Taiwan, and applies the market model of the event study to investigate whether the pandemic has a significant impact on this fund. The study period is from January 2, 2019 to January 29, 2021, with March 11, 2020, the date of the WHO pandemic declaration, as the event date, to examine the abnormal return of the offshore fund at the beginning of the pandemic and analyze its causes. The sources of information for this study are Investment.com and yahoo finance. The empirical results indicate that the pandemic had a negative impact on the fund, generating a negative abnormal return in the short term. This is mainly related to market investors, most of whom are susceptible to market sentiment and media influence when trading. A further analysis of the fund's own holdings compared to the benchmark MSCI Emerging Markets Index shows that TSMC, Tencent and Alibaba, among the holdings, began to perform well in the months following the outbreak. Emerging market countries in Asia have become increasingly developed during the pandemic due to the growth of these stocks, thus creating more new investment opportunities for emerging market offshore funds. The event used in this study is non-economic related. Reviewing the major events in the past, such as SARS in 2003, the war in Iraq, the financial crisis in 2008, and the trade war between the United States and China in 2018, both economic and non-economic events have caused huge changes in the financial market. This result is similar to this study, and the decision making behavior of investors can be considered as the key factor affecting abnormal returns.

中文摘要.................i
英文摘要................ii
誌謝...................iii
目錄....................iv
表目錄...................v
圖目錄...................vi
第一章 緒論................1
1.1研究背景與動機..........1
1.2研究目的................3
1.3研究流程................4
1.4論文架構................5
第二章 文獻探討.............6
2.1新興市場相關文獻.........6
2.2境外基金相關文獻.........8
2.3新冠肺炎對經濟之影響......9
2.4重大事件對經濟之影響.....11
2.5事件研究法相關文獻.......12
第三章 研究方法.............13
3.1研究資料樣本與期間.......13
3.2事件研究法簡介...........14
第四章 實證結果.............17
4.1敘述性統計分析...........17
4.2異常報酬率分析...........18
第五章 結論與建議...........24
參考文獻...................25
附錄.......................26
Extended Abstract..........34

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