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題名 印尼礦業股市指數分析：其效率研究
Indonesian mining index analysis: an efficiency study
作者 姚翰耀
Sudiro, Elroy
貢獻者 郭維裕
Kuo, George
姚翰耀
Sudiro, Elroy
關鍵詞 指數分析
高效投資組合
多樣化
等權重指數
最小變異數投資組合
Index analysis
Efficient portfolio
Diversification
Equally weighted portfolio
Minimum variance portfolio
日期 2017
上傳時間 11-Jul-2017 11:47:59 (UTC+8)
摘要 Most indexes use a cap-weighted strategy as the asset allocation method. Many researchers suggest that although the cap-weighted strategy often serves as an appropriate surrogate to the market portfolio, it cannot consistently outperform other portfolio weighting strategies. The main reasons behind it would be related to the market movement and the underlying volatility. It is possible to narrow down the scope of the research by focusing on an industry index as was done in this research. The focus would be on the mining index of Indonesia.
Comparisons will be done between the established index to other portfolio weighting schemes, namely the equally weighted portfolio and the minimum variance portfolio. The results of the research was that the index was not quite efficient, both on the returns and the Sharpe or information ratio aspect. There are many possible reasons behind this, but the most possible reasons would be that the stocks included do not contribute to diversification, over focus on the coal industry, lack of rebalancing or restructuring, in addition to the market itself. The implication of this research would be that stock exclusion might also contribute to risk minimization.
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Lenhard, Walter, interview by Elizabeth Tammaro. Weighing the Pros and Cons of Index Types and Smart Beta (December 2014).
Lo, Andrew W. "The Statistics of Sharpe Ratio." Financial Analysts Journal, 2002: 36-52.
Maillard, Sébastien, Thierry Roncalli, and Jérôme Teiletche. "Equally-weighted Risk contributions: a new method to build risk balanced diversified portfolios." September 2008.
Markowitz, Harry. "Portfolio Selecton." The Journal of Finance, 1952: 77-91.
Mausser, Helmut, and Oleksandr Romanko. "Computing equal risk contribution portfolios." Ibm Journal of Research and Development, 2014: July.
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描述 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
104933035
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104933035
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo, Georgeen_US
dc.contributor.author (Authors) 姚翰耀zh_TW
dc.contributor.author (Authors) Sudiro, Elroyen_US
dc.creator (作者) 姚翰耀zh_TW
dc.creator (作者) Sudiro, Elroyen_US
dc.date (日期) 2017en_US
dc.date.accessioned 11-Jul-2017 11:47:59 (UTC+8)-
dc.date.available 11-Jul-2017 11:47:59 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2017 11:47:59 (UTC+8)-
dc.identifier (Other Identifiers) G0104933035en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/110823-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營管理英語碩士學位學程(IMBA)zh_TW
dc.description (描述) 104933035zh_TW
dc.description.abstract (摘要) Most indexes use a cap-weighted strategy as the asset allocation method. Many researchers suggest that although the cap-weighted strategy often serves as an appropriate surrogate to the market portfolio, it cannot consistently outperform other portfolio weighting strategies. The main reasons behind it would be related to the market movement and the underlying volatility. It is possible to narrow down the scope of the research by focusing on an industry index as was done in this research. The focus would be on the mining index of Indonesia.
Comparisons will be done between the established index to other portfolio weighting schemes, namely the equally weighted portfolio and the minimum variance portfolio. The results of the research was that the index was not quite efficient, both on the returns and the Sharpe or information ratio aspect. There are many possible reasons behind this, but the most possible reasons would be that the stocks included do not contribute to diversification, over focus on the coal industry, lack of rebalancing or restructuring, in addition to the market itself. The implication of this research would be that stock exclusion might also contribute to risk minimization.		en_US
dc.description.tableofcontents Chapter I: Introduction 1
Chapter II: Literature Review 3
2.1 Index construction 3
2.2 Portfolio theory 4
2.3 Market-value weighted index 4
2.4 Equally weighted portfolio 7
2.5 Minimum variance portfolio 8
2.6 Smart Beta 9
2.7 Statistical test/ Hypothesis testing 12
2.8 Sharpe Ratio and Information Ratio 14
Chapter III: Empirical Analysis and Results 16
3.1 Data collection and general processing 16
3.2 New portfolio weighting strategy construction 17
3.2.1 Equally weighted portfolio 17
3.2.2 Minimum variance portfolio 19
3.3 Statistical test and comparison 21
3.3.1 Paired t-test of the equally weighted portfolio 22
3.3.2 Paired t-test of the minimum variance portfolio 23
3.4 Sharpe Ratio and Information Ratio comparison 24
3.4.1 Ratio of equally weighted portfolio 25
3.4.2 Ratio of minimum variance portfolio 26
3.5 Analysis and discussion 26
3.5.1 Description and explanation of assumptions and limitations 26
3.5.2 Overall results discussion and analysis 30
Chapter IV: Conclusion 36
Bibliography 37
Tables 45
Figures 47
Appendix 56		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104933035en_US
dc.subject (關鍵詞) 指數分析zh_TW
dc.subject (關鍵詞) 高效投資組合zh_TW
dc.subject (關鍵詞) 多樣化zh_TW
dc.subject (關鍵詞) 等權重指數zh_TW
dc.subject (關鍵詞) 最小變異數投資組合zh_TW
dc.subject (關鍵詞) Index analysisen_US
dc.subject (關鍵詞) Efficient portfolioen_US
dc.subject (關鍵詞) Diversificationen_US
dc.subject (關鍵詞) Equally weighted portfolioen_US
dc.subject (關鍵詞) Minimum variance portfolioen_US
dc.title (題名) 印尼礦業股市指數分析：其效率研究zh_TW
dc.title (題名) Indonesian mining index analysis: an efficiency studyen_US
dc.type (資料類型) thesisen_US
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Le Sourd, Véronique. Performance Measurement for Traditional Investment. Literature Survey, Lille - Nice: EDHEC Risk and Asset Management Research Centre, 2007.
Lenhard, Walter, interview by Elizabeth Tammaro. Weighing the Pros and Cons of Index Types and Smart Beta (December 2014).
Lo, Andrew W. "The Statistics of Sharpe Ratio." Financial Analysts Journal, 2002: 36-52.
Maillard, Sébastien, Thierry Roncalli, and Jérôme Teiletche. "Equally-weighted Risk contributions: a new method to build risk balanced diversified portfolios." September 2008.
Markowitz, Harry. "Portfolio Selecton." The Journal of Finance, 1952: 77-91.
Mausser, Helmut, and Oleksandr Romanko. "Computing equal risk contribution portfolios." Ibm Journal of Research and Development, 2014: July.
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