考慮原油價格波動影響下的國際投資組合研究

Abstract

本文主要是以R2的變化，作為衡量油價波動造成股市指數波動影響的指標，並以此作為投資組合權重配置的基準，近一步探討此概念在油價走揚、下跌階段與股市多頭、空頭期間的適用性。本文所選取的投資標的，包含了2000年10月01日至2006年09月30日期間的美國道瓊工業指數、那斯達克指數、S&P500、NYSE、法國CAC40、台灣加權指數、新加坡海峽時報指數、南韓漢城綜合指數、日經225與香港恆生指數。實證結果發現，在股市空頭期間，因有多項因素同時影響股市波動，使得結果並無法達到比等比率投資來的理想。在股市多頭連同油價走揚的期間，以R2變化的方式來分配權重，則可獲得更佳的投組績效。而另一種方式權重配置方式，將R2嵌入M-V模型方式所得出的結果，則違反了M-V模型的限制條件之一，即所變化後的共變異矩陣違反了正定的限制，最後使得投組的績效（Sharpe Ratio）變差。

This study uses the R2 to measure the volatility of stock market index affected by the volatility of the oil price and to be the basis of allocating portfolio weights. We examine the suitability of the concept when the oil price and stock markets are during raising and dropping period. Indices from 2000/10 to 2006/09 are selected to construct our portfolio, including Dow Jones, Nasdaq, S&P 500, NYSE, CAC40, TWSE, Straits Times, Seoul Composite, Nikkei 225 and Hang Seng Index. Our major findings are as follows: the prospect will not outperform equal weight in bear market because that there are many factors influence the stock mark at the same time. But it will outperform equal weight when the oil price and stock markets are during raising period. Another way infixing R2 into the M-V model results in violating the restriction of the M-V models, which the covariance matrix must be positive definite matrix, and then leads the performance of the portfolio to be worse eventually.