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題名 檢測價格泡沫與建構泡沫投資組合之績效分析: 台灣上市股票之實證研究
Testing bubbles and analyzing the performance of bubble portfolio: empirical research of Taiwan’s exchange listed company
作者 郭獻聰
Guo, Sian Cong
貢獻者 林士貴
郭獻聰
Guo, Sian Cong
關鍵詞 SADF
GSADF
右尾單根檢定
泡沫
投資組合
SADF
GSADF
Right-Sided Unit Root Tests
Bubble
Portfolio
日期 2017
上傳時間 11-Jul-2017 11:32:13 (UTC+8)
摘要 本研究根據Phillips, Wu and Yu (2011)以及後續相關文獻所提出的檢測泡沫模型對台灣市場以及NASDAQ指數進行實證研究。本文使用的模型分別為PWY模型、PSY模型、Rolling Window ADF，以及我們參考PSY模型與Rolling Window ADF所建構出的Rolling Window BSADF。我們利用上述四種模型對NASDAQ指數進行泡沫檢測，以及在台灣上市公司股票中建構投資泡沫投資組合與不投資泡沫投資組合。實證結果顯示投資泡沫投資組合績效優於不投資泡沫投資組合，此結果與Guenster et al. (2009)相同，同時本研究所建構的Rolling Window BSADF在投資績效上優於另外三種模型；此外對NASDAQ指數的檢測發現Rolling Window BSADF 具有檢定結果獨立於起始點的選取與不受週期性泡沫破裂影響等優點，故綜合以上實證結果，Rolling Window BSADF 對於泡沫的檢測與建構泡沫投資組合的績效明顯優於另外三種模型。
This paper used the bubble examination model according to Phillips, Wu and Yu (2011) and following papers to conduct empirical research on Taiwan market and NASDAQ index. The models used in this paper are PWY model, PSY model, Rolling Window ADF and Rolling Window BSADF that referred to the PSY model and the Rolling Window ADF. We tested NASDAQ index through the above models to test the bubbles, and constructed the portfolio of investing bubbles against not investing. The result shows that the portfolio of investing bubbles performs better than not investing bubbles, which is the same as the result of Guenster et al. (2009). In addition, the Rolling Window BSADF constructed by this paper are superior to the other three models on the performance of investment. Moreover, the examination of NASDAQ index finds that there are some advantages of Rolling Window BSADF including that the test result is independent of the selection of the initial point and not affected by the broken of cyclical bubbles and so on. To sum up, this paper concludes that the bubble examination and the construction of bubble investing portfolio of the Rolling Window BSADF are significantly better than the other three models.
參考文獻 王景南，葉錦徽與林宗漢.(2011)。台灣房市存在價格泡沫嗎?經濟論文，39(2)，61-89。
葉錦徽，林怡諄與朱珊瑩.(2015)。拉高倒貨型股價操縱之台灣經驗與預警。經濟論文， 43(4)，589-638。
范姜士君.(2015)。依股價泡沫形成投資策略之可行性分析.未出版之碩士論文，國立中央大學，財務金融研究所。
Abreu, D., and Brunnermeier, M. K. (2003). Bubbles and crashes. Econometrica, 71(1), 173-204.
Chong, J., and Hurn, A. S. (2016). Testing for Speculative Bubbles: Revisiting the Rolling Window, Working paper.
Diba, B. T., and Grossman, H. I. (1988). Explosive rational bubbles in stock prices?. The American Economic Review, 78(3), 520-530.
Dickey, D. A., and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431.
Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review, 81(4), 922-930.
Guenster, N., Kole, E., and Jacobsen, B. (2009). Riding bubbles, Working paper.
Phillips, P. C., Wu, Y., and Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?. International Economic Review, 52(1), 201-226.
Phillips, P. C., and Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455-491.
Phillips, P. C., Shi, S., and Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.
Phillips, P. C., Shi, S., and Yu, J. (2014). Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour. Oxford Bulletin of Economics and Statistics, 76(3), 315-333.
Said, S. E., and Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607.
描述 碩士
國立政治大學
金融學系
104352031
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104352031
資料類型 thesis
dc.contributor.advisor 林士貴zh_TW
dc.contributor.author (Authors) 郭獻聰zh_TW
dc.contributor.author (Authors) Guo, Sian Congen_US
dc.creator (作者) 郭獻聰zh_TW
dc.creator (作者) Guo, Sian Congen_US
dc.date (日期) 2017en_US
dc.date.accessioned 11-Jul-2017 11:32:13 (UTC+8)-
dc.date.available 11-Jul-2017 11:32:13 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2017 11:32:13 (UTC+8)-
dc.identifier (Other Identifiers) G0104352031en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/110805-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 104352031zh_TW
dc.description.abstract (摘要) 本研究根據Phillips, Wu and Yu (2011)以及後續相關文獻所提出的檢測泡沫模型對台灣市場以及NASDAQ指數進行實證研究。本文使用的模型分別為PWY模型、PSY模型、Rolling Window ADF，以及我們參考PSY模型與Rolling Window ADF所建構出的Rolling Window BSADF。我們利用上述四種模型對NASDAQ指數進行泡沫檢測，以及在台灣上市公司股票中建構投資泡沫投資組合與不投資泡沫投資組合。實證結果顯示投資泡沫投資組合績效優於不投資泡沫投資組合，此結果與Guenster et al. (2009)相同，同時本研究所建構的Rolling Window BSADF在投資績效上優於另外三種模型；此外對NASDAQ指數的檢測發現Rolling Window BSADF 具有檢定結果獨立於起始點的選取與不受週期性泡沫破裂影響等優點，故綜合以上實證結果，Rolling Window BSADF 對於泡沫的檢測與建構泡沫投資組合的績效明顯優於另外三種模型。zh_TW
dc.description.abstract (摘要) This paper used the bubble examination model according to Phillips, Wu and Yu (2011) and following papers to conduct empirical research on Taiwan market and NASDAQ index. The models used in this paper are PWY model, PSY model, Rolling Window ADF and Rolling Window BSADF that referred to the PSY model and the Rolling Window ADF. We tested NASDAQ index through the above models to test the bubbles, and constructed the portfolio of investing bubbles against not investing. The result shows that the portfolio of investing bubbles performs better than not investing bubbles, which is the same as the result of Guenster et al. (2009). In addition, the Rolling Window BSADF constructed by this paper are superior to the other three models on the performance of investment. Moreover, the examination of NASDAQ index finds that there are some advantages of Rolling Window BSADF including that the test result is independent of the selection of the initial point and not affected by the broken of cyclical bubbles and so on. To sum up, this paper concludes that the bubble examination and the construction of bubble investing portfolio of the Rolling Window BSADF are significantly better than the other three models.en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻探討 4
第一節 股價泡沫理論相關文獻探討 4
第二節 利用泡沫建構投資組合相關文獻探討 7
第三章 研究方法 8
第一節 理性泡沫理論 8
第二節 檢測泡沫模型介紹 9
第四章 實證結果 20
第一節 資料描述 20
第二節 模型參數設定 22
第三節 臨界值計算 24
第四節 NASADQ指數泡沫檢定 28
第五節 台灣上市公司各產業泡沫模型投資組合 37
第六節 綜合比較 52
第五章 結論與建議 53
參考文獻 55		zh_TW
dc.format.extent 2067791 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104352031en_US
dc.subject (關鍵詞) SADFzh_TW
dc.subject (關鍵詞) GSADFzh_TW
dc.subject (關鍵詞) 右尾單根檢定zh_TW
dc.subject (關鍵詞) 泡沫zh_TW
dc.subject (關鍵詞) 投資組合zh_TW
dc.subject (關鍵詞) SADFen_US
dc.subject (關鍵詞) GSADFen_US
dc.subject (關鍵詞) Right-Sided Unit Root Testsen_US
dc.subject (關鍵詞) Bubbleen_US
dc.subject (關鍵詞) Portfolioen_US
dc.title (題名) 檢測價格泡沫與建構泡沫投資組合之績效分析: 台灣上市股票之實證研究zh_TW
dc.title (題名) Testing bubbles and analyzing the performance of bubble portfolio: empirical research of Taiwan’s exchange listed companyen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 王景南，葉錦徽與林宗漢.(2011)。台灣房市存在價格泡沫嗎?經濟論文，39(2)，61-89。
葉錦徽，林怡諄與朱珊瑩.(2015)。拉高倒貨型股價操縱之台灣經驗與預警。經濟論文， 43(4)，589-638。
范姜士君.(2015)。依股價泡沫形成投資策略之可行性分析.未出版之碩士論文，國立中央大學，財務金融研究所。
Abreu, D., and Brunnermeier, M. K. (2003). Bubbles and crashes. Econometrica, 71(1), 173-204.
Chong, J., and Hurn, A. S. (2016). Testing for Speculative Bubbles: Revisiting the Rolling Window, Working paper.
Diba, B. T., and Grossman, H. I. (1988). Explosive rational bubbles in stock prices?. The American Economic Review, 78(3), 520-530.
Dickey, D. A., and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431.
Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review, 81(4), 922-930.
Guenster, N., Kole, E., and Jacobsen, B. (2009). Riding bubbles, Working paper.
Phillips, P. C., Wu, Y., and Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?. International Economic Review, 52(1), 201-226.
Phillips, P. C., and Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455-491.
Phillips, P. C., Shi, S., and Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.
Phillips, P. C., Shi, S., and Yu, J. (2014). Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour. Oxford Bulletin of Economics and Statistics, 76(3), 315-333.
Said, S. E., and Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607.		zh_TW