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研究生:李勇儀
研究生(外文):Yong-Yi Li
論文名稱:產業內股價連動效應及其衍生之投資策略研究
論文名稱(外文):Examining Co-movements within Stock Prices in industries and the derived investment strategy
指導教授:胥愛琦胥愛琦引用關係
指導教授(外文):Ai-Chi Hsu
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:59
中文關鍵詞:動能操作策略ARMA 模式連動性準套利操作模式
外文關鍵詞:Momentum strategyARMASemi-arbitrage modelCo-movement
相關次數:
  • 被引用被引用:5
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  • 評分評分:
  • 下載下載:111
  • 收藏至我的研究室書目清單書目收藏:3
本文旨在探討台灣產業內股價彼此之間是否具有連動效應,並運用此連動效應配適出一套利投資組合。藉此,本研究提出準套利操作模式。最後,比較準套利操作模式、ARMA預測模型和動能操作策略(momentum strategy)何者為最佳套利操作模式。實證結果顯示,產業內部分公司彼此股價具有連動性現象,此外,本研究進一步發現以準套利操作模式之平均年報酬均高於ARMA預測模型和動能操作策略。所以,準套利操作模式為最佳投資套利操作策略。
This study investigates the co-movement between stock price in industries to find investment arbitrage portfolios. We also develop an investment strategy which we call semi-arbitrage to arbitrage that can get excess return in Taiwan capital market. Finally, the semi-arbitrage strategy we proposed is compared with ARMA model and momentum strategy to find out which gets the higher annual return. The empirical results show the co-movement between stock prices in industries does exist. The predicted annual returns of semi-arbitrage investment portfolio are higher than ARMA model and momentum strategy. Therefore, semi-arbitrage model is the best investment strategy.
中文摘要 I
英文摘要 II
誌 謝 III
目錄 IV
表目錄 V
圖目錄 VI
第一章 緒論 1
第一節 研究背景與研究動機 1
第二節 研究目的 4
第三節 論文架構 5
第二章 文獻回顧及探討 7
第一節 股市連動性相關文獻 7
第二節 產業相關性文獻 9
第三節 共整合相關文獻 10
第三章 研究設計與方法 11
第一節 研究期間與樣本處理 11
第二節 研究方法 13
第四章 實證結果與分析討論 21
第一節 套利組合之恆定性檢定 21
第二節 套利組合之平均數復歸檢定 24
第三節 準套利操作分析 25
第四節 ARMA預測模型 28
第五節 動能操作策略(MOMENTUM STRATEGY) 30
第六節 準套利操作、ARMA模型和動能操作策略之報酬分析比較 32
第五章 結論與建議 40
參考文獻 42
一、中文部分 42
二、英文部分 43
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