臺灣博碩士論文加值系統

被動式管理投資策略興起，股票指數型基金成為投資新寵，而股價指數為被動式投資商品之追蹤標的，其重要性亦與日俱增。隨著金融商品不斷創新，股價指數也出現新樣貌，編製方式或選股條件、資格等，都有新的創舉。本研究嘗試以連續機率比檢定模式，以股票之報酬率進行股價指數成分股之篩選，探討是否能有優於現行股價指數之表現。採樣期間為2001年9月至2008年12月，依台灣上市上櫃股票分別編製50、100指數、產業類指數及大、中、小型股指數，並與相應之基準指數比較。
上市及上櫃50、100指數全期間之績效均優於基準指數，上市上櫃產業指數均有半數以上指數優於基準指數。上市指數中以上市電機機械指數表現最佳，於各項比較下均優於基準指數。上櫃部分則以電子業及化學生技醫療表現較佳。

Because of development of passive investment strategy, the exchange traded funds become the most popular investment tool. The stock index is the tracing sign of passive investment commodity, so it becomes more and more important. As well as the innovation of financial product, the stock index also presents with a new appearance. For instance, the construction way and choosing condition and qualifications all have the new pioneering work. This research uses the Sequential probability ratio test to select stock shares through stock month return, and compare the performance, whether it could defeat the current stock index. Sampling period was from September, 2001 to December, 2008, and constructing 50 index and 100 index, industrial stock index and large-cap, med-cap and small-cap stock index separately, according to TSE and OTC listed company in Taiwan, and compared them with the corresponding benchmark.
The entire period performance of TSE & OTC 50 and 100 indexes all surpass the benchmark. Industrial stock index have more than half index surpassing the benchmark. TSE electrical machinery index which surpasses the benchmark under each comparison is the best among TSE stock indexes. OTC electronic and Chemical, Biotechnology and Medical Care index is the best of OTC stock indexes.

第壹章 緒論------------------------1
第一節 研究背景與動機--------------1
第二節 研究限制--------------------5
第三節 研究架構--------------------6
第貳章 文獻回顧--------------------7
第一節 主動式與被動式管理投資策略--7
第二節 股價指數相關文獻------------11
第三節 指數股票型基金相關文獻------33
第四節 績效衡量方法----------------48
第叁章 研究方法--------------------52
第一節 指數編製模型----------------52
第二節 樣本來源及期間--------------54
第三節 實證方法--------------------54
第肆章 實證結果--------------------56
第一節 上市股票績效結果------------56
第二節 上櫃股票績效結果------------69
第伍章 結論與建議------------------76
第一節 結論------------------------76
第二節 建議------------------------78
參考文獻----------------------------79
圖目錄
圖1-1 全球ETF資產總額及數量 2
圖2-1 ETF架構圖 36
圖2-2 全球指數股票型基金之種類圖 39
圖3-1 SPRT決策流程 53
表目錄
表1-1 亞洲ETF發展現況(截至2008年二月底) 3
表1-2 2008年二月底之ETF資產管理規模前十大排名 4
表2-1 風格指數分類表 12
表2-2 Russell指數成分股選取及指數類別 16
表2-3 指數分類表 22
表2-4 台灣指數系列簡介與特色 27
表2-5 ETF發行架構比較 34
表2-6 ETF與基金、股票特性比較 37
表2-7 國內指數股票型基金與一般共同基金之平均經理費用比較 38
表2-8 ETF投資取向分類 40
表2-9台灣ETF基本資料 47
表4-1 上市50、100指數績效結果(200109~200812) 56
表4-2 上市50、100指數績效結果分年探討 57
表4-3 上市50、100指數多空頭市場績效結果 57
表4-4 上市50、100指數多空頭年度績效結果 58
表4-5 上市產業類股指數績效結果(200109~200812) 59
表4-6 上市產業類股指數各年度績效結果 60
表4-7 上市產業類股指數多空頭市場績效結果 63
表4-8 上市產業類股指數多空頭年度績效結果 64
表4-9 上市大、中、小型股指數績效結果 66
表4-10 上市50、100指數及大型股指數與台灣50績效比較(200208~200812) 67
表4-11 上市50、100指數及大型股指數各年度績效結果 67
表4-12 上市50、100指數及大型股指數多空頭市場績效結果 68
表4-13 上市50、100指數及大型股指數多空頭年度績效結果 68
表4-14 上櫃50、100指數績效結果(200109~200812) 69
表4-15 上櫃50、100指數分年績效結果 69
表4-16 上櫃50、100指數多空頭市場績效結果 70
表4-17 上櫃50、100指數多空頭年度績效結果 70
表4-18 上櫃產業指數績效結果(200109~200812) 71
表4-19 上櫃產業指數分年績效結果 72
表4-20 上櫃產業指數多空頭市場績效結果 73
表4-21 上櫃產業指數多空頭年度績效結果 74
表4-22 上櫃中型、小型股指數績效結果 75

1.Anderson, G., 2005, Active verse passive, CA Magazine, 138(9),45-6, 54.
2.Arnott, R.D., Berkin, A.L., and Ye, J., 2000, How Well Have Investors Been Served in the 1980s and 1990s?, Journal of Portfolio Management Summer:84-93.
3.Arnott, R.D., Hsu, J., and Moore, P., 2005, Fundamental Indexation, Financial Analysts journal,61(2), 83-89.
4.Bachelier, L., 1900, The Theory of Speculation, PhD thesis.
5.Blanchett, D.M., Israelsen, C.L., 2007, Spotlighting Common Metholodological Biases in Active-Vs.-Passive Studies, Journal of Financial Planning,20(11), 64-74.
6.Brinson, G.P., Hood, L.R., Beebower, G. L., 1995, Determinants of Portfolio Performance, Financial Analysts journal,1,133-138.
7.Brinson, G.P., Singer B.D., Beebower, G.L., 1991, Determinants of Portfolio Performance II: An Update, Financial Analysts Journal,47(3),40-48.
8.Burr, B., 2005, Fundamental Index Concept Gets Institutional Investors’ Attention, Pensions &Investments, 33(19),45.
9.Carhart, M.,1997, On Persistence in Mutual Fund Performance, Journal of Finance,52(1),57-82.
10.Carosa ,C., 2005, Passive Investing: The Emperor Exposed, Journal of Financial Planning,18(10),54-58.
11.Cowels, A, 1933, Can Stock Market Forecaster Forecast, Econometrica, 1(3),309-324.
12.Davis, J.L., 2001, Mutual Fund Performance and Manager Style, Financial Analysts Journal,57(1),19-27.
13.Eling ,M., Schuhmacher, Frank, 2007, Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?, Journal of Banking &Financial,31,2632-2647.
14.Eling, M., 2008, Does the Measure Matter in the Mutual Fund Industery?, Financial Analysts Journal,64(3),54-66.
15.Elton, E., Gruber, M., and Blake, C., 1996, The Persistence of Risk-Adjusted Mutual Fund Performance, Journal of Business 69(2),133-157.
16.Estrada, J., 2008, Fundamental Indexation and International Diversification, Journal of Portfolio Management, 34(3),93-109.
17.Etzioni, E.S., 1992, Indexing Can Be Beat, Journal of Portfolio Management Fall,24-26.
18.Fama, E.F.,1965, The Behavior of Stock Market Prices, Journal of Business, 38(3), 285-299.
19.Ferguson, R., 1969, Computer-Assisted Criterion-Referenced Measurement(Report WP-41). Pittsburh: Pittsburgh University, Learning Research and Development Center.
20.French, K.R., 2008, Presidential Address: The Cost of Active Investing, Journal of Finance ,63(4),1537-1573.
21.Frick, T., Plew, G & Luk, H., 1989, EXSPRT: An expert systems approach to computer-based adaptive testing, Paper presented at the Annual Conference of the American Education Research Association, San Francisco.
22.Frino, A., Gallagher, D.R., 2002, Is Index Performance Achievable? An analysis of Australian equity index funds, Abacus,38(2),200-214.
23.Fuhr, D., 2001, Exchange-traded funds: A primer, Journal of Asset Management, 2(3),260-273.
24.Graham, B. and Dodd, D.L.,1934, Security Analysis.
25.Grinblatt, M., and Titman, S.,1989,Mutual Fund Performance: An Analysis of Quarterly Porfolio Holdings, Journal of Business,62(3),393-416.
26.Gruber, M.J.,1996, Another Puzzle: The Growth in Actively Managed Mutual Funds, Journal of Finance, 51(3),783-810.
27.Goodwin, T.H., 1998, The Information Ratio, Financial Analysts Journal,54(4),34-43.
28.Holmes, M., 2007, Improved Study Finds Index Management Usually Outperforms Active Management, Journal of Financial Planning,20(1),48-57.
29.Hsu, J., 2006, Cap-Weighted Portfolios Are Sub-Optimal Portfolios, Journal of Investment Management, 4(3),44-53.
30.Hsu J. and Campollo, C.,2006, New Frontiers in Index Investing. An Examonation of Fundamental Indexation, Journal of Indexes, 32-58.
31.http://www.claymoreinvestments.ca,最終瀏覽日期:2009/3/30.
32.http://www.mscibarra.com,最終瀏覽日期:2009/3/30.
33.http://www.djindexes.com,最終瀏覽日期:2009/3/30.
34.http://www.russell.com,最終瀏覽日期:2009/3/30.
35.http://www.ftse.com,最終瀏覽日期:2009/3/30.
36.http://www.standardandpoors.com,最終瀏覽日期:2009/3/30.
37.http://www.p-shares.com,最終瀏覽日期:2009/3/30.
38.Jensen, M., The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance,23(2)389-416.
39.Kaplan, P.D., 2008, Why Fundamental Indexation Might-or Might Not-Work, Financial Analysts journal, 64(1),32-39.
40.Kendall, M., 1953, The Analysis of Economic Time Series, Part Ι：Prices. Journal of the Royal Statistical society.
41.Kenneth R. French, 2008, Predential Address: The Cost of Active Investing, Journal of Finance, 63(4),1537-1573.
42.Malkiel, B.G., 1995, Returns from Investing in Equity Mutual Funds 1971-1991, Journal of Finance,50(2),549-572.
43.Markowitz, H. M., 1952, Portfolio Selection, Journal of Finance, 7(1),77-91.
44.Markowitz, H. M., 2005, Market Efficiency: A Theoretical Distinction of Investment Portfolios, American Economics Review, 61(5),17-30.
45.Mayers, D., 1976, Nonmarketable Assets, Market Segmentation, and the Level of Assets Prices, Journal of Financial and Quantitative Analsis, 11(1),1-12.
46.McGuigan, T.P., 2006, The Difficulty of Selecting Superior Mutual Fund Performance, Journal of Financial Planning,19(2),50-56.
47.Pastor, L. and R. Stambaugh, 2002, Investing in Equity Mutual Funds, Journal of Financial Economics,63(3),351-380.
48.Perold, A.F., 2007, Fundamentally Flawed Indexing, Financial Analysts journal, 63(6), 31-37.
49.Seigel, J., June 14, 2006, The Noisy Market’ Hypothesis, Wall Street Journal.
50.Sharpe, W.F., 1964, Mutual Fund Performance, Journal of Business 39(2),119-138.
51.Sorensen, E.H., Miller, K.L., and Samak V., 1998, Allocating between Active and Passive Management, Financial Analysts Journal, 54(5),18-31.
52.Sortino F.A., Van der Meer, R., Plantinga A., 1999, The Dutch Triangle, Journal of Portfolio Managemen,.26(1),50-58.
53.Sortino, F., Van der Meer, R., Plantinga, A.,Forsey, H., 2003, The Upside Potential Ratio : What Are We Trying to Measure, Senior Consultant, 6(11).
54.Stein ,D.M., 2003, Active and Passive Arguments: In Search of an Optimal Investmal Investment Experience, Journal of Wealth Management, 1-8.
55.Treynor, J., 2005, Why Market-Valuation-Indifferent Indexing Works, Financial Analysts journal, 61(5),65-69.
56.Wald, A., 1947, Sequental analysis, New York: Wiley.
57.Wermwrs, R., 2000, Mutual Fund Performance: An Empirical Decomposition Into Stock-Picking Talent, Style, Transactions Costs, and Expenses, Journal of Finance, 55(4),1655-1703.
58.Woolley, P., Bird, R., 2003, Economic implications of passive investing, Journal of Asset Management,3(4),303-312.
59.Working, H.1933, A Random Difference Series for Use In the Analysis of Time Series, Journal of the American Statistical Association.
60.Fredman, A.L., Wrles, R.著,寰宇財務顧問公司譯，2000，共同基金交易原理，寰宇財金。
61.王韻晴，2004，我國股票指數型基金上市後之績效分析，政治大學財務管理碩士論文。
62.江柏毅，2006，委託經營風險控管之實證研究，淡江大學保險經營碩士論文
63.邱清顯，2004，共同基金績效評估方法之綜合評論，遠東學報第21期，pp543-554。
64.段淑妤，2008，ETF主題展，讓您投資更easy，證交資料第559期，pp54-61。
65.徐樹滋、葛思惠、陳正斌，2001，ETF在台灣發行交易之可行性研究，台灣證券交易所研究報告
66.莊智陵，2000，SPRT電腦適性測驗對國中學生受測態度影響之研究-以中山國中二年級學生為例，淡江大學教育科技學系碩士論文
67.游景德，2007，美國ETF市場創新產品介紹，證券暨期貨月刊，第25卷，第8期，pp5-20。
68.葛思惠，2003，指數股票型基金之制度規劃，證券暨期貨管理九十二年六月號月刊。
69.葉德華，2004，臺灣50ETF指數與各國ETF指數間訊息傳遞之研究，實踐大學企業管理碩士論文。
70.劉天業、曾羚、徐曉薇，2008，被動式管理投資策略在我國市場之應用分析，證交資料第552期，pp6-77。
71.劉宗聖、張圭慧、張美媛，2007，ETFs：資產投資新趨勢，財訊出版社
72.劉宗聖、歐宏杰，2005，ETF指數股票型基金 : 全球增長最快速的投資新概念，高寶國際公司。
73.劉美纓，2001，國內共同基金風險值之評估與夏普指數之運用，東吳大學企業管理學系碩士論文
74.劉殷如，2004，指數股票型基金之績效評估及相關研究-以台灣首檔ETF為例，成功大學會計系碩士論文。
75.鐘俊文、羅靖霖，2007，股價指數之編製與應用，台灣經濟新報社。
76.鄭義、湯雲鶴，2006，指數新觀點：基本面加權指數，貨幣觀測與信用評等，第57期，pp13-23。