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標題: 三大法人投資組合之決定因素分析
Searching for the Determinants of Institutional Investors Portfolios
作者: 方光宇
yu, fang kuang
關鍵字: vector autoregression (VAR);向量自我迴歸模型(VAR);investment strategies;investment performance;投資策略;投資績效
出版社: 財務金融學系
本研究以市場上公開且較容易取得之資訊進行分析,試圖找出一些能預測報酬的方法;以提供一般投資人進行投資行為時些許參考的依據。本研究主要可分成兩部分,第一部分主要是使用時間序列之向量自我迴歸模型(Vector Auto regression model)針對整體上市公司加權指數進行研究,再依據第一部分之研究結果擬定投資策略,分別為: 自營商投資組合、外資投資組合、投信投資組合。依上述之投資策略進行第二部分之個股實証研究。本研究採取的三種投資策略,綜觀各方面的投資績效可以發現,以投信投資組合投資策略為最佳。而於前日加權指數之漲跌幅介於-7% ~ -3.5%時,本研究之三種交易策略在扣除交易成本後皆能獲取正報酬,並以投信投資組合的報酬為最大。

This study employs public, available data in order to searches for investment strategies which would lead to superior returns for investors. This study can be divided into two parts: First, a vector autoregression (VAR) model is developed to measure the relationship between market index returns and selected market variables. After the relationship is identified, investment strategies, based on the findings on the VAR model, are formed for mutual funds, security dealers, and foreign investors. Second, the performance of the individual stock based on the above investment strategies is examined. The finding shows that the performance of the portfolio of mutual funds is superior to the other two. When the market experiences an extreme drop in returns from 3.5% to 7% in the day before current day, this study finds that the three investment strategies can earn superior positive returns after deducting the transaction costs. In addition, the portfolio of mutual funds shows the best positive returns.
Appears in Collections:財務金融學系所

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