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研究生:謝明晉
研究生(外文):HSIEH, MING-CHIN
論文名稱:擇時策略在台灣股市之投資績效
論文名稱(外文):The Investment Performance of Timing Strategies in Taiwan Stock Market
指導教授:林信宏林信宏引用關係
指導教授(外文):LIN, SHIN-HUNG
口試委員:江明珠朱香蕙林信宏
口試委員(外文):JIANG, MING-JUCHU, HSIANG-HUILIN, SHIN-HUNG
口試日期:2017-06-09
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
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:2017
畢業學年度:105
語文別:中文
論文頁數:46
中文關鍵詞:擇時策略長短期利差股價指數市場時機
外文關鍵詞:Timing StrategyInterest SpreadStock IndexMarket Timing
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本研究試圖探究以芝加哥選擇權交易所(CBOE)之波動率指數(VIX指數)、移動平均線、傳統擇時策略以及長短期利差建構投資策略,並利用買入持有策略比較不同策略在台灣股票市場之績效。樣本期間為2006年至2016 年加權股價指數和八大類股為對象,探討擇時策略對台灣股市的獲利性,提供投資人更了解台灣股市對擇時策略及標的類股交易之最佳方法。接著,進一步以2008年至2009年的金融危機事件將本研究期間分成2006年至2009年及2010年至2016年兩個時期,檢視其投資績效,以評估擇時策略在牛熊市間的績效優劣。實證研究顯示:(1)傳統擇時與VIX指數策略為本研究中最佳的擇時策略,並且年報酬率皆遠大於買入持有策略;(2)長短期利差策略績效普遍不佳,此策略僅可運用於加權股價指數、水泥類股、紡織類股及航運類股等;(3)以非參數法買入移動平均線策略的投資績效分析中,僅水泥類股與食品類股的年報酬率較;(4)以黃金交叉買入移動平均線策略的投資績效分析中,僅航運類股及金融類股的投資績效表現皆優於買入持有策略。顯見擇時策略在台灣股市之投資績效大致優於買入持有策略。
This paper attempts to examine the investment strategy of the volatility index issued by the Chicago Board of Options (CBOE), Moving Average, traditional timing strategy and long-term and short-term spread. We use the buy-and-hold strategy to compare with the investment performance from different investment strategies in Taiwan stock market. Using Taiwan Stock Exchange and stocks of the eight major sectors during the 2006-2016 period, purpose of understanding the correlation between timing strategies and the investment targets is to provide reference resource with the investors in stock market in Taiwan. Then we adopt financial crisis during the 2008-2009 period and divide period into 2006-2009 and 2010-2016 to evaluate pros and cons of the different timing strategies investment performance between bull market and bear market. The results show as follows that (1) The volatility index and traditional timing strategy are the best timing strategies in our study, and the return of investment for timing strategy is superior to that for the buy-and-hold strategy. (2) Most the returns of long-term and short-term spread strategy are bad, that is merely applicable to Taiwan Stock Exchange, cement stocks, textile stocks and shipping stocks. (3) For Moving Average is based on non-parametric approach, only the returns of cement stocks and food stocks are bad. (4) For Moving Average is based on gold cross approach, the returns of investment for shipping stocks and banking & insurance Index timing strategy are superior to that for the buy-and-hold strategy. Obviously, timing strategy is better than the buy-and-hold strategy in Taiwan stock market.

摘要 i
ABSTRACT ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
第一章 緒 論 1
1.1 研究背景與動機 1
1.2 研究目的 3
1.3 研究流程與架構圖 5
第二章 文獻回顧 6
2.1 VIX指數 6
2.2 擇時策略之相關文獻 7
第三章 研究方法 10
3.1 研究對象與研究資料 10
3.2 研究設計 11
3.2.1 區分股票牛熊市市場 11
3.2.2 交易策略介紹 12
3.3 研究步驟 14
3.4 研究步驟架構圖 16
第四章 實證結果 17
4.1 區分股票牛熊市市場 17
4.2 擇時策略執行績效結果 23
4.3 投資績效分析 26
第五章 結論與建議 31
5.1 結論 31
5.2 建議 33
參考文獻 34
附錄 36

一、中文部分
1.佟劭文,2014,「以VIX指數作為擇時指標-探討七大工業國股票市場」,義守大學財務金融學系碩士論文。
2.李文齡,2015,「以VIX指數為擇時指標之探討-區分已開發與新興股票市場」,義守大學財務金融學系碩士論文。
3.郭彥廷,2009,「技術分析交易策略在台灣股票市場之實證研究」,國立暨南國際大學財務金融學系碩士論文
4.陳淑玲、吳安琪、費業勳,2011,「臺灣股票市場技術指標之研究–不同頻率資料績效比較」,東海管理評論,第12期,187-225。
5.陳薇媛,2004,「以長短期利差為指標之股市擇時策略研究」,國立政治大學財務管理研究所碩士論文。
6.楊正啟,2006,「以長短期利差檢驗股市擇時交易可行性之研究」,國立高雄第一科技大學財務管理所碩士論文。
二、英文部分
7. Bhaduri, S., & Saraogi, R. (2010). The predictive power of the yield spread in timing the stock market. Emerging Markets Review, 11, 261-272.
8. Boscaljon, B., Filbeck, G., & Zhao, X. (2011). Market timing using the VIX for style rotation. Financial Services Review, 20, 35-44.
9. Chua, J. H., Woodward, R. S., & To, E. C. (1987). Potential gains from stock market timing in Canada. Financial Analysts Journal, 43, 50-56.
10. Copeland, M. M., & Copeland, T. E. (1999). Market timing: Style and size rotation using the VIX. Financial Analysts Journal, 73-81.
11. De Chassart, M. D., & Firer, C. (2001). The effects of bull and bear periods on market timing strategies. South African Journal of Business Management, 32, 1-9.
12. Estrella, A., & Mishkin, F. S. (1998). Predicting US recessions: Financial variables as leading indicators. Review of Economics and Statistics, 80, 45-61.
13. Fleming, J., & Ostdiek, B. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15, 265-302.
14. Giot, P. (2005). Relationships between implied volatility indexes and stock index returns: Are implied volatility indexes leading indicators, Journal of Portfolio Management, 31, 92-100.
15. Liu, W. W., Resnick, B. G., & Shoesmith, G. L. (2004). Market timing of international stock markets using the yield spread. Journal of Financial Research, 27, 373-391.
16. Pagan, A. R., & Sossounov, K. A. (2003). A simple framework for analysing bull and bear markets. Journal of Applied Econometrics, 18, 23-46.
17. Qadan, M., & Cohen, G. (2011). Is it profitable to invest according to the VIX fear index? Journal of Modern Accounting and Auditing, 7, 86-90.
18. Resnick, B. G., & Shoesmith, G. L. (2002). Using the yield curve to time the stock market. Financial Analysts Journal, 58, 82-90.
19. Sharpe, W. F. (1975). Likely gains from market timing. Financial Analysts Journal, 31, 60-69.
20. Wong, C. S. M., & Treadway, P. T. (2013). Investing in the age of sovereign defaults: How to preserve your wealth in the coming crisis: John Wiley & Sons Inc.


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