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研究生:林牧民
研究生(外文):Lin, Mu- Ming
論文名稱:台灣股市長期報酬及擇時策略
論文名稱(外文):Long term performance of Taiwan Stock Market and timing strategy
指導教授:周行一周行一引用關係
指導教授(外文):Chow, Edward H.
學位類別:碩士
校院名稱:國立政治大學
系所名稱:財務管理研究所
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:2009
畢業學年度:97
語文別:英文
論文頁數:68
中文關鍵詞:長期報酬台灣股市擇時策略
外文關鍵詞:long termtimingstock market
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This paper investigates the long term performance of Taiwan stock market from 1967 to 2008. We obtain the total return of Taiwan Stock Exchange Capitalization Weighted Stock Index (“TAIEX”) by adjusting cash dividends. Prior to Dec 31st, 2008, the adjusted TAIEX (AdTAIEX) become 16,088.49 is 3.5 times than 4591.23, the TAIEX it reach. Based on annualized rate of return, AdTAIEX has 13.069% greater than 9.743% of TAIEX. Investors not only care about the rate of return of their portfolio, but the real purchasing power they have. Based on correction of inflation, AdTAIEX only has 8.25% annually, with 4.819% erosion by inflation. TAIEX only has 5.07% annually, with 4.673% erosion by inflation. Also, we create a timing strategy according to the varying of past variance that may help “buy and hold”strategy.
1. INTRODUCTION 1
1.1 Motivation 1
1.2 Objectives 2
1.3 Outline 3
2. LITERATURE REVIEW 4
2.1 The Long-Term Performance of Stock Market 4
2.2 Defining Risk 7
2.3 Dynamic Strategies for Stock Market 8
3. DATA AND METHODOLOGY 10
3.1 Data Description 10
3.2 Methodology 12
4. EMPIRICAL RESULTS 19
4.1The nominal index with cash dividend reinvestment 19
4.1.1 The data analysis 19
4.1.2 Descriptive Statistics 28
4.2The Real Return 34
4.3 The distribution of return of Taiwan stock market 36
4.3.1 The distribution of return in daily, monthly and annually 36
4.3.2 Probabilities of specific returns in different holding periods 44
5. SUMMARY AND CONCLUSION 64
5.1 Summary 64
5.2 Suggestions for further research 66
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