| dc.contributor.advisor | 盧敬植 | zh_TW |
| dc.contributor.author (Authors) | 葉柏良 | zh_TW |
| dc.contributor.author (Authors) | Yeh, Po Liang | en_US |
| dc.creator (作者) | 葉柏良 | zh_TW |
| dc.creator (作者) | Yeh, Po Liang | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:03:00 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:03:00 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:03:00 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095357019 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31007 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 95357019 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 國內外股市普遍發現：在多頭市場下，個股與市場關連性低；空頭市場下，個股與市場關連度高。造成多數投資人往往在股市多頭上方獲利受阻，反而在空頭市場下承擔更多的下方風險。最早將此議題至入資產分配的是Ang and Bekaert (2002)之馬可夫狀態轉換模型，他們將相關程度高、波動度高、預期報酬低視為一種狀態；相關程度低、波動度低、預期報酬高視為另一種狀態。然而考慮這種絕對關係在台灣可能不明顯下，本研究僅僅將狀態設定為高相關程度與低相關程度，因為我們希望能透過馬可夫狀態轉換模型，根據台灣個別產業與市場相關之特性，尋找出由產業組成之投資組合，同時具有風險分散並追求高獲利能力，以因應不同的市場環境。本研究並會針對歸類出的產業，提供投資台股組合配置的建議。 | zh_TW |
| dc.description.tableofcontents | 第一章、前言 第二章、文獻探討 第一節、國外部分 第二節、國內部分 第三章、研究方法 第一節、狀態轉換模型(Regime-Switching Model) 第二節、馬可夫轉換模型(Markovian Property) 第三節、資本資產定價理論(Capital Asset Pricing Model)之應用 第四節、羅吉斯機率迴歸(Logistic Regression) 第四章、資料來源 第一節、樣本及研究期間 第二節、產業分類 第三節、市場報酬(Market Return) 第四節、無風險利率(Risk-Free Rate) 第五章、實証結果 第一節、敘述統計與背景介紹 第二節、產業型態分析與投資建議 第三節、羅吉斯迴歸分析結果 第四節、假設市場與個別產業之變異數為常數下不同狀態下貝他值討論 第五節、解除市場與個別產業變異數不變假設下之相關結構探討 第六章、結論與建議 第一節、結論 第二節、研究限制 第三節、檢討與建議 參考文獻 附錄 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095357019 | en_US |
| dc.subject (關鍵詞) | 狀態轉換 | zh_TW |
| dc.title (題名) | 以狀態轉換模型檢視台灣產業與市場之相關結構 | zh_TW |
| dc.title (題名) | Regime Switching in Correlations:the Case of Industry and Market Portfolios in Taiwan | en_US |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | ed.: Nonstationary time series analysis and cointegration (Advanced Texts in Econometrics.Oxford and New York: Oxford University Press). | zh_TW |
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| dc.relation.reference (參考文獻) | Bekaert, Geert, Robert J. Hodrick, and David A. Marshall, 1997, Peso Problem Expectaton for Term Structure Anomalies, Journal of Economics 48, 241-270. | zh_TW |
| dc.relation.reference (參考文獻) | Ang, Andrew and Geert Bekaert. (2002a), International Asset Allocation with Regime Shifts. Review of Financial Studies, vol. 15, no. 4(Fall):1137-1187. | zh_TW |
| dc.relation.reference (參考文獻) | Ang, Andrew and Geert Bekaert. (2002b). Regime Switches in Interest Rates. Journalof Business and Economic Statistics, vol. 20, no. 2 (April): 163-182. | zh_TW |
| dc.relation.reference (參考文獻) | Ang, Andrew and Geert Bekaert. (2002c). Short Rate Nonlinearities and Regime Switches. Journal of Economic Dynamics and Control, vol. 26, no. 7-8 (July): 1243-1274. | zh_TW |
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