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題名 台灣股市各停損機制之策略比較研究-以元大寶來台灣卓越50證券投資信託基金成分股為例
Comparative Study of Various Stop-loss Mechanisms in Taiwan Stock Market: A Case Study of the Yuanta/P-shares Taiwan Top 50 ETF`s Component Stocks作者 林和勳
Lin, Ho-Hsun貢獻者 郭維裕
Kuo, Wei-Yu
林和勳
Lin, Ho-Hsun關鍵詞 台灣股市投資
停損策略
買入持有
Investing in the Taiwan stock market
Stop-loss strategy
Buy and hold strategy日期 2023 上傳時間 2-Aug-2023 13:11:31 (UTC+8) 摘要 本研究以2006年至2022年之元大台灣50成分股為研究對象,使用五種不同的停損機制策略與買入持有策略作比較分析,並就個股之停損策略報酬率是否顯著優於買入持有報酬率做統計檢定分析。研究結果顯示,本研究沒有證據顯示停損策略表現優於買入持有策略,然而於熊市期間停損策略即有相對較好之績效,特別是當停損門檻較低時,各策略皆有25檔以上個股表現顯著優於買入持有策略。
This study focuses on the components of the Yuanta Taiwan Top 50 Index from 2006 to 2022. Five different stop-loss mechanisms are employed and compared to a buy-and-hold strategy. Statistical tests are conducted to analyze whether the stop-loss strategy`s returns are significantly better than the buy-and-hold strategy`s returns for individual stocks. The results indicate that there is no evidence to suggest that the stop-loss strategies outperform the buy-and-hold strategy. However, during bear market periods, the stop-loss strategies show relatively better performance, especially when the stop-loss thresholds are tighter. In such cases, more than 25 stocks in each strategy demonstrate significantly better performance than the buy-and-hold strategy.參考文獻 林聖凱(2015),停損策略的價值-以台灣股票市場為例,臺灣大學國際企業學研究所碩士論文。 許顥騰(2015),停損與買入持有之損益比較-台股指數期貨為例,虎尾科技大學財務金融研究所碩士論文。 郭仲年(2011),以移動平均線及停損機制檢測台股效率性,逢甲大學統計與精算所碩士論文。 陳伯奇(2013),技術分析及停利停損交易策略的實證研究-以台股為例,高雄應用科技大學金融資訊研究所碩士論文。 葉光璠(2009),股市投資風險與停損機制探討,東吳大學經濟學系研究所碩士論文 。 薛品嶸(2009),設定停損或停利對投資者行為之影響,臺灣大學財務金融學研究所碩士論文。 謝東澤(2021),結合動能與停損策略的投資有效性研究:台灣股市實證,臺北大學企業管理學系研究所碩士論文。 Acar, Emmanuel, and Robert Toffel, 2000, Stop-loss and Investment Returns, Investment Conference, Faculty and Institute of Actuaries, Hatfield Heath, June 2000. Clare, Andrew, James Seaton, and Stephen Thomas, 2012, Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500, Journal of Asset Management, 14(3), 182-194. Fama, Eugene F., 1965, The behavior of stock-market prices, The Journal of Business 38, Issue 1 (Jan., 1965), 34-105. Kaminski, Kathryn, and Andrew W. Lo, 2007, When Do Stop-Loss Rules Stop Losses?, EFA 2007 Ljubljana meetings paper. Shefrin, Hersh, and Meir Statman, 1985, The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, The Journal of Finance 40, 777-790. Snorrason, Bergsveinn, and Garib Yusupov, 2009, Performance of Stop-Loss Rules VS. Buy-And-Hold Strategy, NEKM01, Master Essay in Finance Spring 2009, Lund University School of Economics and Management. Lo, Andrew W., and Alexander Remorov, 2017, Stop-loss strategies with serial correlation, regime switching, and transaction costs, Journal of Financial Markets 34, 1–15. 描述 碩士
國立政治大學
國際經營與貿易學系
110351025資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351025 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei-Yu en_US dc.contributor.author (Authors) 林和勳 zh_TW dc.contributor.author (Authors) Lin, Ho-Hsun en_US dc.creator (作者) 林和勳 zh_TW dc.creator (作者) Lin, Ho-Hsun en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 13:11:31 (UTC+8) - dc.date.available 2-Aug-2023 13:11:31 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 13:11:31 (UTC+8) - dc.identifier (Other Identifiers) G0110351025 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146337 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 110351025 zh_TW dc.description.abstract (摘要) 本研究以2006年至2022年之元大台灣50成分股為研究對象,使用五種不同的停損機制策略與買入持有策略作比較分析,並就個股之停損策略報酬率是否顯著優於買入持有報酬率做統計檢定分析。研究結果顯示,本研究沒有證據顯示停損策略表現優於買入持有策略,然而於熊市期間停損策略即有相對較好之績效,特別是當停損門檻較低時,各策略皆有25檔以上個股表現顯著優於買入持有策略。 zh_TW dc.description.abstract (摘要) This study focuses on the components of the Yuanta Taiwan Top 50 Index from 2006 to 2022. Five different stop-loss mechanisms are employed and compared to a buy-and-hold strategy. Statistical tests are conducted to analyze whether the stop-loss strategy`s returns are significantly better than the buy-and-hold strategy`s returns for individual stocks. The results indicate that there is no evidence to suggest that the stop-loss strategies outperform the buy-and-hold strategy. However, during bear market periods, the stop-loss strategies show relatively better performance, especially when the stop-loss thresholds are tighter. In such cases, more than 25 stocks in each strategy demonstrate significantly better performance than the buy-and-hold strategy. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究架構 2 第二章 文獻探討 3 第一節 國外停損策略相關研究 3 第二節 國內停損策略相關研究 4 第三章 研究方法 6 第一節 研究資料 6 第二節 實證方法 6 第三節 績效之衡量 10 第四章 實證結果與分析 11 第一節 簡單停損停利策略(5%、10%、15%)之績效 11 第二節 簡單停損不停利策略(5%、10%、15%)之績效 18 第三節 追蹤停損不停利策略(5%、10%、15%)之績效 25 第四節 標準差停損停利策略(1倍、1.5倍、2倍、2.5倍、3倍)之績效 31 第五節 標準差停損不停利策略(1倍、1.5倍、2倍、2.5倍、3倍)之績效 40 第六節 各策略績效比較 50 第五章 研究結論與研究建議 53 第一節 研究結論 53 第二節 研究建議 54 參考文獻 55 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351025 en_US dc.subject (關鍵詞) 台灣股市投資 zh_TW dc.subject (關鍵詞) 停損策略 zh_TW dc.subject (關鍵詞) 買入持有 zh_TW dc.subject (關鍵詞) Investing in the Taiwan stock market en_US dc.subject (關鍵詞) Stop-loss strategy en_US dc.subject (關鍵詞) Buy and hold strategy en_US dc.title (題名) 台灣股市各停損機制之策略比較研究-以元大寶來台灣卓越50證券投資信託基金成分股為例 zh_TW dc.title (題名) Comparative Study of Various Stop-loss Mechanisms in Taiwan Stock Market: A Case Study of the Yuanta/P-shares Taiwan Top 50 ETF`s Component Stocks en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 林聖凱(2015),停損策略的價值-以台灣股票市場為例,臺灣大學國際企業學研究所碩士論文。 許顥騰(2015),停損與買入持有之損益比較-台股指數期貨為例,虎尾科技大學財務金融研究所碩士論文。 郭仲年(2011),以移動平均線及停損機制檢測台股效率性,逢甲大學統計與精算所碩士論文。 陳伯奇(2013),技術分析及停利停損交易策略的實證研究-以台股為例,高雄應用科技大學金融資訊研究所碩士論文。 葉光璠(2009),股市投資風險與停損機制探討,東吳大學經濟學系研究所碩士論文 。 薛品嶸(2009),設定停損或停利對投資者行為之影響,臺灣大學財務金融學研究所碩士論文。 謝東澤(2021),結合動能與停損策略的投資有效性研究:台灣股市實證,臺北大學企業管理學系研究所碩士論文。 Acar, Emmanuel, and Robert Toffel, 2000, Stop-loss and Investment Returns, Investment Conference, Faculty and Institute of Actuaries, Hatfield Heath, June 2000. Clare, Andrew, James Seaton, and Stephen Thomas, 2012, Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500, Journal of Asset Management, 14(3), 182-194. Fama, Eugene F., 1965, The behavior of stock-market prices, The Journal of Business 38, Issue 1 (Jan., 1965), 34-105. Kaminski, Kathryn, and Andrew W. Lo, 2007, When Do Stop-Loss Rules Stop Losses?, EFA 2007 Ljubljana meetings paper. Shefrin, Hersh, and Meir Statman, 1985, The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, The Journal of Finance 40, 777-790. Snorrason, Bergsveinn, and Garib Yusupov, 2009, Performance of Stop-Loss Rules VS. Buy-And-Hold Strategy, NEKM01, Master Essay in Finance Spring 2009, Lund University School of Economics and Management. Lo, Andrew W., and Alexander Remorov, 2017, Stop-loss strategies with serial correlation, regime switching, and transaction costs, Journal of Financial Markets 34, 1–15. zh_TW