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題名 以台股融資維持率建構交易策略
Use margin ratio of Taiwan stock market to build arbitrage strategies作者 尤聖文 貢獻者 周行一
尤聖文關鍵詞 融資維持率
護盤效果
交易策略
margin ratio
stock index protection effect
trading rule日期 2012 上傳時間 11-七月-2013 16:47:36 (UTC+8) 摘要 在股市的參與者當中，某些投資人必須長期持有股票部位，例如政府為民眾代操的四大基金、以及投信公司的股票型基金經理人。筆者推測這些大型投資者基於長期投資下，應選擇股價便宜時進場，而融資維持率接近追繳維持率時正是大盤的低點，符合長期投資者進場的時機，加以其手中部位的盈虧代表其操作績效，應更加願意在融資維持率低落時進場買入股票，因為此動作能夠產生類似護盤的效果，使融資維持率不致長時間跌破追繳維持率水準，引發大規模崩盤，進而使其手中部位產生虧損。 根據以上推測，筆者觀察股市中融資維持率以及股價指數的走勢，進而設計出稱為〝改良式濾嘴法則〞的交易策略，其中以月資料回測後發現報酬率顯著，但是以週資料及月資料進行回測後卻發現報酬率低落的現象，因此交易策略的結果顯示僅以融資維持率的高低區間做為交易策略的進出場指標似非可行的方法。
Some participants in stock market have to hold their position for longer time. For example, four major fund that government manage for people, and stock fund managed by investing trust company fund manager. Author suggest that “big investors” in stock market have to take care of their performance so that can keep their job. Under these pressure, “big investor” would willing to buy stocks when stock market crush, and this action will have similar results as “stock index protection effect” to avoid margin ratio fall down to margin call level for too long time , because , since it happened, stock market will fall to the lower level, and probably cause the stock market crush. According to the assumption above, author observe relation between margin ratio and stock market index trend and develop a series of trading rule. But after counting in transaction fee, only month data has significant return , so author thought that use only one bench mark range to build trading rule is not effective.參考文獻 1. Chau, F., Rataporn, D., Marco, C.K., L., (2011). Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis, Vol.20, 292–305. 2. Chu, Y-H., (2012). Unraveling the Enigma of East Asian Economic Resiliency : The Case of Taiwan. Japan International Cooperation Agency Research Institute, Vol.44, 1-42 3. Chianga, Y-C., Mei-Chu, K., Tung, L, L. and Cin-Dian, W., (2012). Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market. Applied Financial Economics, Vol. 22, Issue 12,955–965. 4. De Haan, L., Jan, K.,(2011). Momentum or contrarian investment strategies: Evidence from Dutch institutional investors. Journal of Banking & Finance, Vol. 35, 2245–2251. 5. Fama, E.F., Robert, L, (2012). An Experienced View on Markets and Investing. Financial Analysts Journal, Vol.68, 15-19. 6. Hou, T, C-T., Phillip, J, M., Charlie, W., (2011).Mutual Fund Herding in Taiwan. Journal of Economic Literature, G12, 1-39 7. Hsieh, M-F., T-Y, Y., YU-TAI, Y. and JEN-SIN, L., (2011). Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries. Quantitative Finance, Vol.11, Issue 3,423–435 8. Liu, Y-J., Chih-Hsien, Y., (2002). On the Effect of Stock Stabilization Fund: A Case of Taiwan. Review of Pacific Basin Financial Markets and Policies, Vol.5, Issue 1, 93-109 9. Miwa, K., Kazuhiro, U., (2011). A Dynamic Volume–Return Relation and Investors’ Positive Feedback Trading. International Review of Finance, Vol. 11 , 325–351. 10. Mitra, S, K., (2011). How rewarding is technical analysis in the Indian stock market? Quantitative Finance, Vol.11, Issue 2,287–297. 11.Wang, Y-M., Chun-An, L., Chia-Fei, L., (2012). Investor sentiment of lottery stock evidence from the Taiwan stock market. Investment Management and Financial Innovations, Vol.9, Issue 2 , 203-207 描述 碩士
國立政治大學
財務管理研究所
100357025
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G1003570251 資料類型 thesis dc.contributor.advisor 周行一 zh_TW dc.contributor.author (作者) 尤聖文 zh_TW dc.creator (作者) 尤聖文 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 11-七月-2013 16:47:36 (UTC+8) - dc.date.available 11-七月-2013 16:47:36 (UTC+8) - dc.date.issued (上傳時間) 11-七月-2013 16:47:36 (UTC+8) - dc.identifier (其他 識別碼) G1003570251 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58795 - 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) 100357025 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 在股市的參與者當中，某些投資人必須長期持有股票部位，例如政府為民眾代操的四大基金、以及投信公司的股票型基金經理人。筆者推測這些大型投資者基於長期投資下，應選擇股價便宜時進場，而融資維持率接近追繳維持率時正是大盤的低點，符合長期投資者進場的時機，加以其手中部位的盈虧代表其操作績效，應更加願意在融資維持率低落時進場買入股票，因為此動作能夠產生類似護盤的效果，使融資維持率不致長時間跌破追繳維持率水準，引發大規模崩盤，進而使其手中部位產生虧損。 根據以上推測，筆者觀察股市中融資維持率以及股價指數的走勢，進而設計出稱為〝改良式濾嘴法則〞的交易策略，其中以月資料回測後發現報酬率顯著，但是以週資料及月資料進行回測後卻發現報酬率低落的現象，因此交易策略的結果顯示僅以融資維持率的高低區間做為交易策略的進出場指標似非可行的方法。 zh_TW dc.description.abstract (摘要) Some participants in stock market have to hold their position for longer time. For example, four major fund that government manage for people, and stock fund managed by investing trust company fund manager. Author suggest that “big investors” in stock market have to take care of their performance so that can keep their job. Under these pressure, “big investor” would willing to buy stocks when stock market crush, and this action will have similar results as “stock index protection effect” to avoid margin ratio fall down to margin call level for too long time , because , since it happened, stock market will fall to the lower level, and probably cause the stock market crush. According to the assumption above, author observe relation between margin ratio and stock market index trend and develop a series of trading rule. But after counting in transaction fee, only month data has significant return , so author thought that use only one bench mark range to build trading rule is not effective. en_US dc.description.tableofcontents 目錄 中文摘要....................................................2 英文摘要....................................................3 目錄.......................................................4 表目錄......................................................6 圖目錄......................................................7 第一章 緒論.................................................8 第一節研究背景及動機..........................................8 第二節研究問題與目的..........................................9 第二章 文獻探討.............................................10 第三章 使用資料的描述........................................14 第一節 使用之資料及種類.......................................14 第二節 計算大盤報酬率資料之選擇................................14 第四章 研究方法與設計........................................15 第一節 資料期間的選擇................................15 第二節 交易策略的說明................................18 第三節 改良式濾嘴法則說明.............................18 第伍章 實證結果.............................................20 第一節 月交易結果...........................................20 第二節 週交易結果...........................................23 第三節 日交易結果...........................................26 第六章 結論與研究限制........................................28 第一節 結論................................................28 第二節 研究限制.............................................28 第三節 後續研究建議..........................................29 附錄......................................................30 參考文獻...................................................45 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1003570251 en_US dc.subject (關鍵詞) 融資維持率 zh_TW dc.subject (關鍵詞) 護盤效果 zh_TW dc.subject (關鍵詞) 交易策略 zh_TW dc.subject (關鍵詞) margin ratio en_US dc.subject (關鍵詞) stock index protection effect en_US dc.subject (關鍵詞) trading rule en_US dc.title (題名) 以台股融資維持率建構交易策略 zh_TW dc.title (題名) Use margin ratio of Taiwan stock market to build arbitrage strategies en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. Chau, F., Rataporn, D., Marco, C.K., L., (2011). Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis, Vol.20, 292–305. 2. Chu, Y-H., (2012). Unraveling the Enigma of East Asian Economic Resiliency : The Case of Taiwan. Japan International Cooperation Agency Research Institute, Vol.44, 1-42 3. Chianga, Y-C., Mei-Chu, K., Tung, L, L. and Cin-Dian, W., (2012). Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market. Applied Financial Economics, Vol. 22, Issue 12,955–965. 4. De Haan, L., Jan, K.,(2011). Momentum or contrarian investment strategies: Evidence from Dutch institutional investors. Journal of Banking & Finance, Vol. 35, 2245–2251. 5. Fama, E.F., Robert, L, (2012). An Experienced View on Markets and Investing. Financial Analysts Journal, Vol.68, 15-19. 6. Hou, T, C-T., Phillip, J, M., Charlie, W., (2011).Mutual Fund Herding in Taiwan. Journal of Economic Literature, G12, 1-39 7. Hsieh, M-F., T-Y, Y., YU-TAI, Y. and JEN-SIN, L., (2011). Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries. Quantitative Finance, Vol.11, Issue 3,423–435 8. Liu, Y-J., Chih-Hsien, Y., (2002). On the Effect of Stock Stabilization Fund: A Case of Taiwan. Review of Pacific Basin Financial Markets and Policies, Vol.5, Issue 1, 93-109 9. Miwa, K., Kazuhiro, U., (2011). A Dynamic Volume–Return Relation and Investors’ Positive Feedback Trading. International Review of Finance, Vol. 11 , 325–351. 10. Mitra, S, K., (2011). How rewarding is technical analysis in the Indian stock market? Quantitative Finance, Vol.11, Issue 2,287–297. 11.Wang, Y-M., Chun-An, L., Chia-Fei, L., (2012). Investor sentiment of lottery stock evidence from the Taiwan stock market. Investment Management and Financial Innovations, Vol.9, Issue 2 , 203-207 zh_TW
