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研究生:楊書萍
研究生(外文):Shu-Ping Yang
論文名稱:評估獲利力及市場力之選股研究
論文名稱(外文):Evaluating Profitability and Marketability for Stock Selection
指導教授:何建達何建達引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:科技管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:英文
論文頁數:68
中文關鍵詞:通信網路股獲利力市場力兩階段資料包絡分析法分析層級程序法
外文關鍵詞:Communications and Internet stocksProfitabilityMarketabilityTwo-Stage Data Envelopment AnalysisAnalytical Hierarchy Process
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本研究採取兩種科學方法,分別為「資料包絡分析法 (Data Envelopment Analysis, DEA)」與「分析層級程序法 (Analytical Hierarchy Process, AHP)」來探討台灣通信網路股的選股策略。雖然網路產業經歷了西元兩千年時的泡沫化,但由於此產業具有高度的成長性與獲利能力,仍舊是股市投資人心中的熱門標的。因此建立一套完整且具科學性的通信網路股選股流程乃為一重要的議題。本研究目的有:一、衡量通信網路公司的獲利力及市場力;二、比較出通信網路股選股的重要準則;三、排列出最佳的投資順序以供投資參考。
本研究以「台灣經濟新報 ( Taiwan Economic Journal Co. database, TEJ )」中的上市股為實證樣本,共選出十六檔通信網路股。為了比較成長性,選取了西元2003-2008六年的資料。實證研究結果綜述如下。

一、 在2003年資料中選出三家100%效率的通信網路股,建議的投資順序為 DrayTek Co.、Shun on Electronic Co.與Merry Electronics Co.。2005年資料中共選出兩家100%效率的通信網路股,投資順序為Compal Communications Inc.與Shun on Electronic Co.。 2006及2007年只有HTC Co.具有100%效率。
二、 本研究藉由效率與股價的觀點能有效的找出最佳化的投資順序,所推薦的股票皆為市場上形象良好之通信網路公司,代表此研究程序確實能成為良好的投資工具。
三、 結合兩階段DEA與AHP發展成一套衡量獲利力及市場力的量化投資工具是為本研究最主要的貢獻,而選出最有效率且最有價值的通信網路股亦是本研究的另一大貢獻。若投資人、分析師、基金經理人循此架構而行,可彌補其過分依賴歷史資料或直觀判斷等人為失誤,以期能找出最佳投資順序,減少投資風險。


This study adopts two scientific approaches, data envelopment analysis (DEA) and the analytical hierarchy process (AHP), to arrive at a stock selection strategy for communications and Internet stocks. Though the “Internet Bubble” burst in the year two-thousand, Internet stocks still interest numerous inventors by their high growth potential and profits. Therefore, building a scientific and sound system for stock selection is important. The goals of this thesis were threefold: first, to measure the profitability and marketability of Taiwan communications and Internet companies; second, to compare the important investment criteria for choosing profitable communications and Internet stocks; and third, to rank the priority of Taiwan communications and Internet stocks in the global communications market. The study samples component stocks from sixteen listed communications and Internet companies in the Taiwan Economic Journal (TEJ) Co. database from the year 2003 to 2008. The empirical results are as follows:
1. There were only three communications and Internet companies with 100%
efficiency in 2003. These top three companies were DrayTek Co., Shun on Electronic Co. and Merry Electronics Co. There were only two communications and Internet companies with 100% efficiency in 2005, namely, Compal Communications Inc., and Shun on Electronic Co. In 2006 and 2007, the only company with 100% efficiency was the HTC Co.
2. The study computes the best investment priority in communications and Internet
stocks according to efficiency and stock price. Companies chosen by this rule are well-known and have an excellent reputation in the market. This means that the results of this study are reasonable.
3. The main contribution of this thesis is that it combines DEA with AHP to measure
profitability and marketability, thus providing investors with a quantitative investment tool for selecting efficient and valuable Taiwan communications and Internet stocks. By following the rule in this study, investors, analysis and fund managers will be able to avoid relying too heavily on historical data and subjective decisions in their search for the best portfolios with the lowest risk of investment.


論文摘要 ii
ABSTRACT iv
TABLE OF CONTENTS v
LIST OF TABLES viii
LIST OF FIGURES ix
CHAPTER 1 INTRODUCTION 1
1.1 Motivations of Research 1
1.2 Research Purposes 1
1.3 Research Contributions 2
1.4 Research Methods 2
1.5 Thesis Organization 3
CHAPTER 2 LITERATURE REVIEW 5
2.1 The Communications and Internet Industry 5
2.1.1 The Background to the Communications and Internet Industry in Taiwan 5
2.1.2 Definition of the Communications and Internet Industry 7
2.2 Stock Selection Strategy 7
2.3 Using the Two-Stage DEA Approach to Assess Profitability and Marketability 8
2.4 A Brief Introduction to DEA/Two-Stage DEA and their Applications 9
2.4.1 The DEA approach 9
2.4.2 Applications of DEA 9
2.4.3 The Two-Stage DEA Approach 10
2.4.4 Studies Related to the Two-Stage DEA 10
2.5 A Brief Introduction to the AHP and its Applications 11
2.5.1 The AHP Theory 12
2.5.2 Applications of AHP 13
2.5.3 Studies Related to the AHP 13
CHAPTER 3 RESEARCH METHODS 15
3.1 Data Envelopment Analysis (DEA) 15
3.1.1 Introduction 15
3.1.2 The DEA Model 16
3.1.3 The Operational Procedure of DEA 24
3.1.4 Weaknesses in the Application of DEA 25
3.2 The Analytical Hierarchy Process (AHP) 26
3.2.1 Introduction 26
3.2.2 The AHP Process 27
3.2.3 The Strength and Weakness of AHP in Application 30
CHAPTER 4 EMPIRICAL RESULTS 32
4.1 Data and Sample 32
4.2 The DEA Software 33
4.3 DEA Input / Output Variable Selection 34
4.3.1 Input Variables at Stage One 36
4.3.2 Output Variables at Stage One 37
4.3.3 Output Variables at Stage Two 37
4.4 DEA Results 38
4.5 AHP Criteria Selection 41
4.6 The AHP Questionnaire and Application Procedure 44
4.7 AHP Results 45
4.8 The Results of Combing DEA with AHP 48
CHAPTER 5 CONCLUSION 52
5.1 Disscussion and Implications 52
5.2 Limitations 54
5.3 Suggestions for Future Work 55
REFERENCE 56
APPENDIX 62

LIST OF TABLES
Table 2.1 DEA related application literatures 10
Table 2.2 AHP literatures 13
Table 3.1 Average random index of consistencies 30
Table 4.1 List of total 16 sample companies 33
Table 4.2 DEA indicators selection in measuring profitability and marketability 35
Table 4.3 100% efficiency result in 1st and 2nd stage 39
Table 4.4 100% efficiency in both two stages 41
Table 4.5 The consistency ratio of questionnaires 46
Table 4.6 The relative importance with respect to: ranking of the importance of selecting Communications and Internet stocks 47
Table 4.7 Original financial data in 2003 48
Table 4.8 Original financial data in 2005 48
Table 4.9 The ranking of communications and internet companies in 2003 and 2005 49
Table 4.10 The return in percentage in 2003 of communications and internet
companies………………………………………………….……..………. 50
Table 4.11 The return in percentage in 2005 of communications and internet
companies………………………………………………………………….51









LIST OF FIGURES
Figure 1.1 The research flowchart 4
Figure 2.1 Internet subscribers in Taiwan 6
Figure 3.1 The concept of DEA method 16
Figure 4.1 Profitability and marketability efficiency model 36
Figure 4.2 The hierarchical structure 43
Figure 4.3 Weights of ranking Communications and Internet stocks 48


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