Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/92706
標題: 時間轉折點上投資策略與報酬率之研究-以台灣股市為例
Investments on the Turning Points – Evidence from Taiwan's Stock Market
作者: Kuo-Lin, Lee
李國林
關鍵字: Structural Changes;Momentum Strategy;ROE;結構性轉變;動能策略;股東權益報酬率
引用: 中文文獻 劉志諒,2002,股市動能投資策略報酬來源之研究,國立中興大學事業經營研究 所碩士論文。 李怡萍,2010,現金股利與股價報酬之非線性關聯研究–縱橫平滑移轉模型之應 用,淡江大學財務金融學系碩士在職專班學位論文。 劉蘋瑩,2012,巴菲特投資策略在台灣股市實證研究,國立高雄第一科技大學財 務管理研究所學位論文。 劉新屏,2014,以巴菲特選股模式挑選投資標的: 在台股與陸股之實證研究-以工 程承攬業為例,屏東大學國際貿易學系博碩士論文。 郭芝君,2006,台灣電子類股動能策略之研究,國立中興大學財務金融研究所碩 士論文。 黃于珍,2007,實質匯率之結構改變: 亞太地區之實證研究,國立中山大學經濟學 研究所碩士在職專班碩士論文。 鍾華,2011,巴菲特股票穩健估值投資策略應用之研究,證券交易所第證交資料, 586期,頁80 - 109。 陳美源、陳禮潭,2003,購買力平價說與結構性變動-美卅台實質匯率之實證研 究,臺灣經濟預測與政策,34卷1期,頁93–112。 陳月卿,2008,國際指數動能投資策略績效之研究-以48個國際股價指數為例, 中原大學企業管理研究所學位論文。 蘇裕文,2011,股東權益報酬率與盈餘再投資比率對投資報酬之影響,國立高雄 應用科技大學商務經營研究所碩士論文。 楊雅婷、彭建文,2003,房價結構性改變之檢測-以台北縣、市房價為例,台灣 土地研究,第六卷第二期,頁43 - 60。 游清芳、廖永熙、廖弘程,2011,股利率、雙訊號與交易策略之台灣市場實證, 財金論文叢刊,第14 期,頁16 - 31。 Kalok Chan, Allaudeen Hameed and Wilson Tong, 2000, Profitability of Momentum Strategies in the International Equity Markets, The Journal of Financial and Quan titative Analysis, 35, 153-172. Chow, Gregory C. , 1960, Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, 28, 591-605. Zivot, E. and Andrews, K., 1992, 'Further Evidence On The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis', Journal of Business and Economic Statistics, 10, 251-70. Andrews, K., 1993, Tests for Parameter Instability and Structural Change with Un-known Change Point, Econometrica, 61, 821-856. Bai, Jushan and Perron, Pierre, 1998, Estimating and Testing Linear Model with Multi-ple Structural Changes, Econometrica, 66, 1, 47-48. Lee, J., and Strazicich, M. C., 2003, Minimum Lagrange Multiplier Unit Root Test With Two Structural Breaks, Review of Economics and Statistics, 85, 1082-1089. Bai, Jushan and Perron, Pierre, 2003, Critical values for multiple structural change tests, Econometrics Journal, 6, 72-78. Jegadeesh, N., and Sheridan Titman, 1993, Returns to Buying Winners and Selling Loos ers: Implications for Stock Market Efficiency, Journal of Finance, 48, 65-91.
摘要: 
本研究以台灣50指數當中的成分股作為樣本,利用結構性轉變模型找出時間轉折點後,據此再擬定不同的投資策略進行長期投資報酬分析,探討時間轉折點是否為適當的進場時機點。在研究策略中,本研究使用Eviews軟體,對台灣50指數的時間序列資料進行結構性轉變的估計,並且找出時間轉折點,再將這些時間轉折點資料做平均,找出現實中可預測時間轉折點進行不同投資策略報酬率之分析。而買點與賣點以VIX指數來做判斷,投資策略的採取(1).混合型策略(股東權益報酬率法與動能策略交叉使用);(2).股東權益報酬法策略;(3).動能策略;(4).現金殖利率法策略。實證結果中,我們利用VIX指數判斷多頭時,使用積極的動能策略買進;空頭則利用保守的股東權益報酬率法來買進。結果此一投資組合平均報酬率低於大盤。個別使用單一策略時,也就是都使用動能策略及股東權益報酬率法來買進,結果顯示股東權益報酬率法的平均報酬率遠高於動能策略的。最後,本研究再利用現金殖利率法單一策略進行投資,其平均報酬率也是遠高於混和策略及動能策略,略低於股東權益報酬率法。本研究顯示在適當時間轉折點上採用股東權益投資策略,其長期報酬較大盤及台灣50報酬率為佳。

In this study, among the Taiwan 50 Index constituent stocks as samples to find the time to take advantage of structural changes in the model after the turning point, thus further develop different investment strategies for long-term return on investment analysis to explore whether it is an appropriate time a turning point in market timing point. In research methods, the present study used Eviews software, Taiwan 50 Index of the time series data to estimate the structural change, and find the time a turning point, a turning point in the information and then make these times the average, the time to find the real turning point can be predicted Analysis of return over different investment strategies. And buy and selling to do to judge VIX index, taking the investment strategy (1) Mixed Strategy (return on equity rate method and kinetic energy policy cross-use);. (2) return on equity method strategies; (3) the momentum strategy; (4) the cash method yields Policy. The empirical results, we use the VIX is determined that long, using positive buying momentum strategy; short the use of conservative return on equity ratio method to buy. The result of this a portfolio average return rate is less than the broader market. When an individual using a single strategy, which is used momentum strategy and return on equity ratio method to buy, the results showed that the average return on shareholders' equity rate of return method is much higher than the momentum strategy. Finally, this study re-use the cash method yields a single policy for investment, the average rate of return is much higher than the mix strategy and momentum strategy, slightly lower than the rate of return on equity method. This study shows that the use of shareholders' equity investment strategies at the appropriate time a turning point in its long-term remuneration paid large plate and Taiwan 50 was good.
URI: http://hdl.handle.net/11455/92706
其他識別: U0005-1007201514560800
Rights: 同意授權瀏覽/列印電子全文服務,2018-07-24起公開。
Appears in Collections:高階經理人碩士在職專班

Files in This Item:
File SizeFormat Existing users please Login
nchu-104-5102027617-1.pdf923.99 kBAdobe PDFThis file is only available in the university internal network   
Show full item record
 

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.