Publications-Theses

題名 指數股票型基金投資策略下應用架構之探討
作者 陳儒君
貢獻者 劉文卿
陳儒君
關鍵詞 指數股票型基金
投資策略
應用架構
日期 2009
上傳時間 8-Dec-2010 16:06:32 (UTC+8)
摘要 指數股票型基金(Exchange-Traded Fund,簡稱ETF)成為投資者重要的投資工
具之一,本研究設計一個ETF 投資策略之應用架構,供開發者建置ETF 投資策
略系統,且可快速地將新的ETF 投資策略增加到系統中。投資者操作系統選擇
適用之ETF 投資策略,可得到系統提供的投資組合作為決策參考。本研究先依
投資決策過程分析ETF 投資策略,接著針對各ETF 投資策略及其投資規則,提
出一套共通流程及流程內所需基本功能。最後,依此共通流程及各功能提出三層
式的應用架構,說明架構中核心物件及執行流程,同時在系統基本功能提出設計
上建議,供使用者開發時有所參考。
參考文獻 1. 李于青譯,結城浩著,民國94,Design Patterns於Java語言上的實習應用(第二版),台北:博碩文化。
2. 李錦庭,民國91,框架為基之企業系統開發方法論研究,國立成功大學製造工程研究所碩士論文。
3. 曹飴珊,民國97,建立預測模型之應用框架設計,國立政治大學資管研究所碩士論文。
4. 楊之宜譯,Charles P. Jones著,民國89,投資學分析與管理(第七版),台北:台灣西書出版社。
5. 鐘俊文、羅靖霖,民國96,股價指數之編製與應用,台北:臺灣經濟新報文化事業公司。
6. Agarwal, V., Naik, N. Y., “Characterizing Hedge Fund Risks with Buy-and-Hold and Option-Based Strategies,” 2001
7. Alur, D., Crupi, J., and Malks, D., Core J2EETM Patterns: Best Practices and Design Strategies Prentice, Hall PTR, 2003
8. Amenc, N., Martellini, L., Vaissié, M., “Benefits and Risks of Alternative Investment Strategies,” Journal of Asset Management (4:2) 2003, pp: 96-118
9. Appel, M., Investing with Exchange-Traded Funds Made Easy, FINANCIAL TIMES, 2006
10. Arnott, R. D., Hsu, J., Moore, P., “Fundamental Indexation,” Financial Analysts Journal (61:2) 2005,pp: 83-99
11. Berner, R. F. and Epstein, R. C. “Measuring Business Cycles,” American Economic Association (39:3) 1949, pp: 777-782
12. Cherry, J., “The Limits of Arbitrage: Evidence from Exchange,” 2004
13. DeFusco, R. A., Ivanov, S. I., Karels, G. V., “The Exchange Traded Funds Pricing Deviation Analysis and Forecasts,” 2007
14. Dellva, W. L., “Exchange-Traded Funds Not for Everyone,” Journal of Financial Planning (14:4) 2001, pp: 110-124
15. Deville, L., “Exchange Traded Funds: History, Trading and Research,” 2006
16. Fayad, M., Johnson, R. and Schmidt, D., Building application frameworks: Object-oriented foundations of framework design, NY:John Wiley and Sons, Inc, 1999
17. Fung, W., Hsieh, D. A., “The Risk in Hedge Fund Strategies Theory and Evidence from Trend Followers,” Review of Financial Studies (14:2) 2001, pp: 313-341
18. Gallagher, D. R., Segara, R., “The Performance and Trading Characteristics of Exchange Traded Funds,” 2005
19. Gallagher, D.R., Investment Manager Characteristics, Strategy and Fund Performance, University of Sydney. Business, 2006
20. Gamma, E., Helm, R., Johnson R., Vlissides, J., Design Patterns:elements of reusable object-oriented software, Addison-Wesley, 1995
21. Gleason, K. C., Mathur, I. and Peterson, M. A., “Analysis of Intraday Herding Behavior Among the Sector ETFs,” Journal of Empirical Finance (11:5) 2004, pp: 681-694
22. Harper, J. T., Madura, J. and Schnusenberg, O., ”Equity index funds and ETFs Performance comparison between passive investing alternatives,” Journal of International Financial Markets, Institutions and Money (16:2) 2006, pp: 104-122
23. Jares, T. E., Lavin, A. M., “Japan and Hong Kong Exchange-Traded Funds (ETFs) : Discounts, Return and Trading Strategies,” Journal of Financial Services Research (25:1) 2004, pp: 57-69
24. Johnson, R.E., Foote, B., “Designing Reusable Classes,” Journal of Object-Oriented Programming (1:2) 1988, pp: 22-35
25. Jones, C. P., Investments: Analysis And Management, Wiley-India, 2007
26. Kaul, A., Mehrotra, V. and Morck R., “Demand Curves for Stocks Do Slope Down:New Evidence From An Index Weights Adjustment,” Journal of Finance (55:2) 2000, pp: 893-912
27. KUO, T. W., MATEUS, C., “The Performance and Persistence of Exchange-Traded Funds Evidence for iShares MSCI Country-Specific ETFs,” 2006
28. Lazzara, C. J., “Index Construction Issues for Exchange-Traded Funds,” 2004
29. Leung, P. L., Wong, W. K., “On testing the equality of the multiple Sharpe Ratios, with application on the evaluation of iShares,” 2006
30. Miffre, J., “Country-Specific ETFs An Efficient Approach to Global Asset Allocation,” Journal of Asset Management (8:2) 2007, pp: 112-122
31. Morningstar, “ETF, Exchange Traded Funds Research, ETF Investing,” 2009 (online available at http://www.morningstar.com/Cover/ETFs.aspx )
32. Poterba, J. M. and Shoven, J. B., “A New Investment Option for Taxable Investors,” American Economic Review (92:2) 2002, pp: 422-427
33. Richie, N., Madura, J., “Overreaction of Exchange-Traded Funds During the Bubble of 1998-2002,” Journal of Behavioral Finance (5:2) 2004, pp: 91-104
34. Rompotis, G. G., “Performance and Trading Characteristics of German Passively Managed ETFs,” Journal of International Financial Markets, Institutions and Money (16:2) 2006, pp: 104-122
35. Sharpe, W. F., “Indexed Investing: A Prosaic Way to Beat the Average Investor,” 2002
36. Wirfs-Brock, R. J., Johnson, R. E., ”Surveying Current Research in Object-Oriented Design,” Communication of the ACM (33:9) 1990, pp: 104-124
37. ZHENG, L., “Is Money Smart? A study of Mutual Fund Investors Fund Selection Ability,” Journal of Finance (54:3) 1999, pp: 901-933
描述 碩士
國立政治大學
資訊管理研究所
96356033
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0963560331
資料類型 thesis
dc.contributor.advisor 劉文卿zh_TW
dc.contributor.author (Authors) 陳儒君zh_TW
dc.creator (作者) 陳儒君zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 8-Dec-2010 16:06:32 (UTC+8)-
dc.date.available 8-Dec-2010 16:06:32 (UTC+8)-
dc.date.issued (上傳時間) 8-Dec-2010 16:06:32 (UTC+8)-
dc.identifier (Other Identifiers) G0963560331en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/49660-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 資訊管理研究所zh_TW
dc.description (描述) 96356033zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 指數股票型基金(Exchange-Traded Fund,簡稱ETF)成為投資者重要的投資工
具之一,本研究設計一個ETF 投資策略之應用架構,供開發者建置ETF 投資策
略系統,且可快速地將新的ETF 投資策略增加到系統中。投資者操作系統選擇
適用之ETF 投資策略,可得到系統提供的投資組合作為決策參考。本研究先依
投資決策過程分析ETF 投資策略,接著針對各ETF 投資策略及其投資規則,提
出一套共通流程及流程內所需基本功能。最後,依此共通流程及各功能提出三層
式的應用架構,說明架構中核心物件及執行流程,同時在系統基本功能提出設計
上建議,供使用者開發時有所參考。
zh_TW
dc.description.tableofcontents 壹、 研究緒論………………………………………………… 1
一、 研究背景及動機…………………………………………… 1
二、 研究目的…………………………………………………… 1
三、 研究範圍…………………………………………………… 1
四、 研究流程…………………………………………………… 2
貳、 文獻探討………………………………………………… 3
一、 指數股票型基金之探討…………………………………… 3
二、 投資策略之探討…………………………………………… 10
三、 應用架構之探討…………………………………………… 12
四、 設計樣式之探討…………………………………………… 13
參、 研究方法………………………………………………… 15
一、 研究架構………………………………………………… 15
二、 研究方法………………………………………………… 16
肆、 應用架構分析設計與結果……………………………… 20
一、 依投資決策過程分析ETF投資策略…………………… 20
二、 分析各ETF投資策略及其投資規則…………………… 23
三、 設定投資規則及ETF投資策略………………………… 24
四、 提出共通流程及基本功能……………………………… 25
五、 ETF投資策略應用架構………………………………… 35
六、 核心元件互動…………………………………………… 40
七、 基本功能設計…………………………………………… 43
八、 實際案例模擬…………………………………………… 46
伍、 結論與建議……………………………………………… 51
一、 研究結論…………………………………………………… 51
二、 研究限制…………………………………………………… 51
三、 未來研究方向……………………………………………… 51
參考文獻………………………………………………………… 52
zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0963560331en_US
dc.subject (關鍵詞) 指數股票型基金zh_TW
dc.subject (關鍵詞) 投資策略zh_TW
dc.subject (關鍵詞) 應用架構zh_TW
dc.title (題名) 指數股票型基金投資策略下應用架構之探討zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. 李于青譯,結城浩著,民國94,Design Patterns於Java語言上的實習應用(第二版),台北:博碩文化。zh_TW
dc.relation.reference (參考文獻) 2. 李錦庭,民國91,框架為基之企業系統開發方法論研究,國立成功大學製造工程研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 3. 曹飴珊,民國97,建立預測模型之應用框架設計,國立政治大學資管研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 4. 楊之宜譯,Charles P. Jones著,民國89,投資學分析與管理(第七版),台北:台灣西書出版社。zh_TW
dc.relation.reference (參考文獻) 5. 鐘俊文、羅靖霖,民國96,股價指數之編製與應用,台北:臺灣經濟新報文化事業公司。zh_TW
dc.relation.reference (參考文獻) 6. Agarwal, V., Naik, N. Y., “Characterizing Hedge Fund Risks with Buy-and-Hold and Option-Based Strategies,” 2001zh_TW
dc.relation.reference (參考文獻) 7. Alur, D., Crupi, J., and Malks, D., Core J2EETM Patterns: Best Practices and Design Strategies Prentice, Hall PTR, 2003zh_TW
dc.relation.reference (參考文獻) 8. Amenc, N., Martellini, L., Vaissié, M., “Benefits and Risks of Alternative Investment Strategies,” Journal of Asset Management (4:2) 2003, pp: 96-118zh_TW
dc.relation.reference (參考文獻) 9. Appel, M., Investing with Exchange-Traded Funds Made Easy, FINANCIAL TIMES, 2006zh_TW
dc.relation.reference (參考文獻) 10. Arnott, R. D., Hsu, J., Moore, P., “Fundamental Indexation,” Financial Analysts Journal (61:2) 2005,pp: 83-99zh_TW
dc.relation.reference (參考文獻) 11. Berner, R. F. and Epstein, R. C. “Measuring Business Cycles,” American Economic Association (39:3) 1949, pp: 777-782zh_TW
dc.relation.reference (參考文獻) 12. Cherry, J., “The Limits of Arbitrage: Evidence from Exchange,” 2004zh_TW
dc.relation.reference (參考文獻) 13. DeFusco, R. A., Ivanov, S. I., Karels, G. V., “The Exchange Traded Funds Pricing Deviation Analysis and Forecasts,” 2007zh_TW
dc.relation.reference (參考文獻) 14. Dellva, W. L., “Exchange-Traded Funds Not for Everyone,” Journal of Financial Planning (14:4) 2001, pp: 110-124zh_TW
dc.relation.reference (參考文獻) 15. Deville, L., “Exchange Traded Funds: History, Trading and Research,” 2006zh_TW
dc.relation.reference (參考文獻) 16. Fayad, M., Johnson, R. and Schmidt, D., Building application frameworks: Object-oriented foundations of framework design, NY:John Wiley and Sons, Inc, 1999zh_TW
dc.relation.reference (參考文獻) 17. Fung, W., Hsieh, D. A., “The Risk in Hedge Fund Strategies Theory and Evidence from Trend Followers,” Review of Financial Studies (14:2) 2001, pp: 313-341zh_TW
dc.relation.reference (參考文獻) 18. Gallagher, D. R., Segara, R., “The Performance and Trading Characteristics of Exchange Traded Funds,” 2005zh_TW
dc.relation.reference (參考文獻) 19. Gallagher, D.R., Investment Manager Characteristics, Strategy and Fund Performance, University of Sydney. Business, 2006zh_TW
dc.relation.reference (參考文獻) 20. Gamma, E., Helm, R., Johnson R., Vlissides, J., Design Patterns:elements of reusable object-oriented software, Addison-Wesley, 1995zh_TW
dc.relation.reference (參考文獻) 21. Gleason, K. C., Mathur, I. and Peterson, M. A., “Analysis of Intraday Herding Behavior Among the Sector ETFs,” Journal of Empirical Finance (11:5) 2004, pp: 681-694zh_TW
dc.relation.reference (參考文獻) 22. Harper, J. T., Madura, J. and Schnusenberg, O., ”Equity index funds and ETFs Performance comparison between passive investing alternatives,” Journal of International Financial Markets, Institutions and Money (16:2) 2006, pp: 104-122zh_TW
dc.relation.reference (參考文獻) 23. Jares, T. E., Lavin, A. M., “Japan and Hong Kong Exchange-Traded Funds (ETFs) : Discounts, Return and Trading Strategies,” Journal of Financial Services Research (25:1) 2004, pp: 57-69zh_TW
dc.relation.reference (參考文獻) 24. Johnson, R.E., Foote, B., “Designing Reusable Classes,” Journal of Object-Oriented Programming (1:2) 1988, pp: 22-35zh_TW
dc.relation.reference (參考文獻) 25. Jones, C. P., Investments: Analysis And Management, Wiley-India, 2007zh_TW
dc.relation.reference (參考文獻) 26. Kaul, A., Mehrotra, V. and Morck R., “Demand Curves for Stocks Do Slope Down:New Evidence From An Index Weights Adjustment,” Journal of Finance (55:2) 2000, pp: 893-912zh_TW
dc.relation.reference (參考文獻) 27. KUO, T. W., MATEUS, C., “The Performance and Persistence of Exchange-Traded Funds Evidence for iShares MSCI Country-Specific ETFs,” 2006zh_TW
dc.relation.reference (參考文獻) 28. Lazzara, C. J., “Index Construction Issues for Exchange-Traded Funds,” 2004zh_TW
dc.relation.reference (參考文獻) 29. Leung, P. L., Wong, W. K., “On testing the equality of the multiple Sharpe Ratios, with application on the evaluation of iShares,” 2006zh_TW
dc.relation.reference (參考文獻) 30. Miffre, J., “Country-Specific ETFs An Efficient Approach to Global Asset Allocation,” Journal of Asset Management (8:2) 2007, pp: 112-122zh_TW
dc.relation.reference (參考文獻) 31. Morningstar, “ETF, Exchange Traded Funds Research, ETF Investing,” 2009 (online available at http://www.morningstar.com/Cover/ETFs.aspx )zh_TW
dc.relation.reference (參考文獻) 32. Poterba, J. M. and Shoven, J. B., “A New Investment Option for Taxable Investors,” American Economic Review (92:2) 2002, pp: 422-427zh_TW
dc.relation.reference (參考文獻) 33. Richie, N., Madura, J., “Overreaction of Exchange-Traded Funds During the Bubble of 1998-2002,” Journal of Behavioral Finance (5:2) 2004, pp: 91-104zh_TW
dc.relation.reference (參考文獻) 34. Rompotis, G. G., “Performance and Trading Characteristics of German Passively Managed ETFs,” Journal of International Financial Markets, Institutions and Money (16:2) 2006, pp: 104-122zh_TW
dc.relation.reference (參考文獻) 35. Sharpe, W. F., “Indexed Investing: A Prosaic Way to Beat the Average Investor,” 2002zh_TW
dc.relation.reference (參考文獻) 36. Wirfs-Brock, R. J., Johnson, R. E., ”Surveying Current Research in Object-Oriented Design,” Communication of the ACM (33:9) 1990, pp: 104-124zh_TW
dc.relation.reference (參考文獻) 37. ZHENG, L., “Is Money Smart? A study of Mutual Fund Investors Fund Selection Ability,” Journal of Finance (54:3) 1999, pp: 901-933zh_TW