伊斯蘭指數：篩選準則與建構指數;Islamic Index: Screening and Construction

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/88483

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/88483

Title:	伊斯蘭指數：篩選準則與建構指數;Islamic Index: Screening and Construction
Authors:	翁銘宏;Weng, Ming-Hong
Contributors:	財務金融學系
Keywords:	伊斯蘭指數;富時臺灣伊斯蘭指數;臺灣加權股價指數;臺灣永續指數;崩盤風險;下方風險;Islamic Index;FTSE TWSE Taiwan Shariah Index;TAIEX;FTSE4Good TIP Taiwan ESG Index;Crash Risk;Downside risk
Date:	2022-06-29
Issue Date:	2022-07-14 13:44:38 (UTC+8)
Publisher:	國立中央大學
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。;First, 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.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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