1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 以技術分析指標建構台灣股票市場最適資產配置
The Optimal Asset Allocation According to Technical Indicators in Taiwan Stock Market
作者 陳怡如
Chen, I Ju
貢獻者 黃泓智
Huang, Hong Chih
陳怡如
Chen, I Ju
關鍵詞 ASKSR
技術指標
多元Gaussian Copula
效用函數
資產配置
日期 2015
上傳時間 13-Jul-2015 11:09:34 (UTC+8)
摘要 　　本研究以2006年至2015年4月30日台灣股票市場所有上市櫃股票為樣本，首先利用每季公布之財務報表，以市值、股票月週轉率、每股盈餘、股東權益報酬率、本益比等六項指標作為第一階段篩選股票之準則。接著進行第二階段之股票篩選，先透過ASKSR篩選出現最好之兩倍投資組合數的股票後，再透過計算其技術指標總分篩選出符合投資組合數的股票。選好股票後再由多元Gaussian Copula-GARCH(1,1)-t與元Gaussian Copula-GJR(1,1)-t模型進行估計並以蒙地卡羅法模擬，藉由CRRA效用函數、mean-variance效用函數、Sharpe ratio、CARA效用函數最適化權重來投資。樣本期間內採Rolling window方式不斷調整投資組合直到結束。
     　　本論文欲探討結合財務資訊指標、股票評分指標與技術指標去選股，並嘗試比較以多元Gaussian-Copula-GARCH(1,1)-t資產模型與多元Gaussian-Copula-GJR(1,1)-t資產模型進行資產配置之效果，希望達到穩健獲利的效果。
參考文獻 Ait-Sahalia, Yacine, and Michael W Brandt. 2001. Variable selection for portfolio choice: National Bureau of Economic Research.
     Ang, Andrew, and Joseph Chen. 2002. Asymmetric correlations of equity portfolios. Journal of Financial Economics 63 (3):443-494.
     Ball, Ray, and Philip Brown. 1968. An empirical evaluation of accounting income numbers. Journal of accounting research:159-178.
     Basu, Sanjoy. 1977. Investment performance of common stocks in relation to their price‐earnings ratios: A test of the efficient market hypothesis. The journal of Finance 32 (3):663-682.
     ———. 1983. The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence. Journal of financial economics 12 (1):129-156.
     Bessembinder, Hendrik, and Kalok Chan. 1998. Market efficiency and the returns to technical analysis. Financial Management:5-17.
     Bollerslev, Tim. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of econometrics 31 (3):307-327.
     Boubaker, Heni, and Nadia Sghaier. 2013. Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. Journal of Banking & Finance 37 (2):361-377.
     Brock, William, Josef Lakonishok, and Blake LeBaron. 1992. Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance 47 (5):1731-1764.
     Campbell, John Y, and Luis M Viceira. 1996. Consumption and portfolio decisions when expected returns are time varying: National Bureau of Economic Research.
     Chan, Louis KC, Narasimhan Jegadeesh, and Josef Lakonishok. 1996. Momentum strategies. The Journal of Finance 51 (5):1681-1713.
     Corsetti, Giancarlo, Marcello Pericoli, and Massimo Sbracia. 2005. Some contagion, some interdependence’: More pitfalls in tests of financial contagion. Journal of International Money and Finance 24 (8):1177-1199.
     Engle, Robert F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society:987-1007.
     Engle, Robert F, David M Lilien, and Russell P Robins. 1987. Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica: Journal of the Econometric Society:391-407.
     Engle, Robert F, and Victor K Ng. 1993. Measuring and testing the impact of news on volatility. The journal of finance 48 (5):1749-1778.
     Fama, Eugene F, and Kenneth R French. 1988. Permanent and temporary components of stock prices. The Journal of Political Economy:246-273.
     ———. 1993. Common risk factors in the returns on stocks and bonds. Journal of financial economics 33 (1):3-56.
     Fang, Yue, and Daming Xu. 2003. The predictability of asset returns: an approach combining technical analysis and time series forecasts. International Journal of Forecasting 19 (3):369-385.
     Garcia, René, and Georges Tsafack. 2011. Dependence structure and extreme comovements in international equity and bond markets. Journal of Banking & Finance 35 (8):1954-1970.
     Hamilton, James D. 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society:357-384.
     Hu, Yu Ming. 2004. 臺灣指數期貨到期效果之檢測─GARCH模型之應用. 碩士論文.
     Jaffe, Jeffrey, Donald B Keim, and Randolph Westerfield. 1989. Earnings yields, market values, and stock returns. The Journal of Finance 44 (1):135-148.
     Jefferis, Keith, and Pako Thupayagale. 2008. Long memory in southern African stock markets. South African Journal of Economics 76 (3):384-398.
     Jondeau, Eric, and Michael Rockinger. 2006. The copula-garch model of conditional dependencies: An international stock market application. Journal of international money and finance 25 (5):827-853.
     Li, David X. 1999. On default correlation: A copula function approach. Available at SSRN 187289.
     Lo, Andrew W, and Archie Craig MacKinlay. 1988. Stock market prices do not follow random walks: Evidence from a simple specification test. Review of financial studies 1 (1):41-66.
     Longin, Francois, and Bruno Solnik. 2001. Extreme correlation of international equity markets. The journal of finance 56 (2):649-676.
     Mohanram, Partha S. 2005. Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis. Review of Accounting Studies 10 (2-3):133-170.
     Nelson, Daniel B. 1991. Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society:347-370.
     Okimoto, Tatsuyoshi. 2008. New evidence of asymmetric dependence structures in international equity markets. Journal of Financial and Quantitative Analysis 43 (03):787-815.
     Ou, Jane A, and Stephen H Penman. 1989. Financial statement analysis and the prediction of stock returns. Journal of accounting and economics 11 (4):295-329.
     Patton, Andrew J. 2004. On the out-of-sample importance of skewness and asymmetric dependence for asset allocation. Journal of Financial Econometrics 2 (1):130-168.
     Piotroski, Joseph D. 2000. Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research:1-41.
     Rodriguez, Juan Carlos. 2007. Measuring financial contagion: A copula approach. Journal of Empirical Finance 14 (3):401-423.
     Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein. 1985. Persuasive evidence of market inefficiency. The Journal of Portfolio Management 11 (3):9-16.
     Sharpe, William F. 1989. Capital Asset Prices : A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance 19:425-442.
     Sklar, M. 1959. Fonctions de répartition à n dimensions et leurs marges: Université Paris 8.
     Stober, Thomas L. 1992. Summary financial statement measures and analysts` forecasts of earnings. Journal of Accounting and Economics 15 (2):347-372.
     Zakamouline, Valeri, and Steen Koekebakker. 2009. Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance. Journal of Banking & Finance 33 (7):1242-1254.
     呂紀賢. 2007. 運用緩長記憶與VIX基礎制波動度預測模型估計風險值之研究. 碩士論文.
     賴柏成. 2013. 以財務報表資訊與 Copula-GARCH 模型建構投資組合-應用在台灣股票市場. 中山大學財務管理學系研究所學位論文:1-65.
     蘇嘉雄. 2013. 以財務報表資訊為台灣股票市場建構最適資產配置.
描述 碩士
國立政治大學
風險管理與保險研究所
102358010
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102358010
資料類型 thesis
dc.contributor.advisor 黃泓智zh_TW
dc.contributor.advisor Huang, Hong Chihen_US
dc.contributor.author (Authors) 陳怡如zh_TW
dc.contributor.author (Authors) Chen, I Juen_US
dc.creator (作者) 陳怡如zh_TW
dc.creator (作者) Chen, I Juen_US
dc.date (日期) 2015en_US
dc.date.accessioned 13-Jul-2015 11:09:34 (UTC+8)-
dc.date.available 13-Jul-2015 11:09:34 (UTC+8)-
dc.date.issued (上傳時間) 13-Jul-2015 11:09:34 (UTC+8)-
dc.identifier (Other Identifiers) G0102358010en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76435-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 102358010zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 　　本研究以2006年至2015年4月30日台灣股票市場所有上市櫃股票為樣本，首先利用每季公布之財務報表，以市值、股票月週轉率、每股盈餘、股東權益報酬率、本益比等六項指標作為第一階段篩選股票之準則。接著進行第二階段之股票篩選，先透過ASKSR篩選出現最好之兩倍投資組合數的股票後，再透過計算其技術指標總分篩選出符合投資組合數的股票。選好股票後再由多元Gaussian Copula-GARCH(1,1)-t與元Gaussian Copula-GJR(1,1)-t模型進行估計並以蒙地卡羅法模擬，藉由CRRA效用函數、mean-variance效用函數、Sharpe ratio、CARA效用函數最適化權重來投資。樣本期間內採Rolling window方式不斷調整投資組合直到結束。
     　　本論文欲探討結合財務資訊指標、股票評分指標與技術指標去選股，並嘗試比較以多元Gaussian-Copula-GARCH(1,1)-t資產模型與多元Gaussian-Copula-GJR(1,1)-t資產模型進行資產配置之效果，希望達到穩健獲利的效果。		zh_TW
dc.description.tableofcontents 目 錄 I
     表目錄 II
     圖目錄 IV
     第壹章 緒論 1
     第一節 研究背景與動機 1
     第二節 研究目的 2
     第三節 研究流程 3
     第貳章 文獻探討 5
     第一節 股價報酬決定因素之文獻探討 5
     第二節 技術指標之文獻探討 6
     第三節 資產模型之文獻探討 7
     第四節 關聯結構之文獻探討 10
     第參章 理論基礎 12
     第一節 財務報表指標 12
     第二節 股票評分指標 14
     第三節 技術指標 15
     第四節 資產模型 19
     第五節 蒙地卡羅法 21
     第肆章 研究方法 23
     第一節 資產選擇 23
     第二節 資產模型 26
     第伍章 實證結果 30
     第一節 資料說明與處理 30
     第二節 技術指標之最適化權重 31
     第三節 投資組合績效分析 32
     第陸章 結論與未來研究 55
     第一節 結論 55
     第二節 未來研究 57
     參考文獻 58
     附錄 61		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102358010en_US
dc.subject (關鍵詞) ASKSRzh_TW
dc.subject (關鍵詞) 技術指標zh_TW
dc.subject (關鍵詞) 多元Gaussian Copulazh_TW
dc.subject (關鍵詞) 效用函數zh_TW
dc.subject (關鍵詞) 資產配置zh_TW
dc.title (題名) 以技術分析指標建構台灣股票市場最適資產配置zh_TW
dc.title (題名) The Optimal Asset Allocation According to Technical Indicators in Taiwan Stock Marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Ait-Sahalia, Yacine, and Michael W Brandt. 2001. Variable selection for portfolio choice: National Bureau of Economic Research.
     Ang, Andrew, and Joseph Chen. 2002. Asymmetric correlations of equity portfolios. Journal of Financial Economics 63 (3):443-494.
     Ball, Ray, and Philip Brown. 1968. An empirical evaluation of accounting income numbers. Journal of accounting research:159-178.
     Basu, Sanjoy. 1977. Investment performance of common stocks in relation to their price‐earnings ratios: A test of the efficient market hypothesis. The journal of Finance 32 (3):663-682.
     ———. 1983. The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence. Journal of financial economics 12 (1):129-156.
     Bessembinder, Hendrik, and Kalok Chan. 1998. Market efficiency and the returns to technical analysis. Financial Management:5-17.
     Bollerslev, Tim. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of econometrics 31 (3):307-327.
     Boubaker, Heni, and Nadia Sghaier. 2013. Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. Journal of Banking & Finance 37 (2):361-377.
     Brock, William, Josef Lakonishok, and Blake LeBaron. 1992. Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance 47 (5):1731-1764.
     Campbell, John Y, and Luis M Viceira. 1996. Consumption and portfolio decisions when expected returns are time varying: National Bureau of Economic Research.
     Chan, Louis KC, Narasimhan Jegadeesh, and Josef Lakonishok. 1996. Momentum strategies. The Journal of Finance 51 (5):1681-1713.
     Corsetti, Giancarlo, Marcello Pericoli, and Massimo Sbracia. 2005. Some contagion, some interdependence’: More pitfalls in tests of financial contagion. Journal of International Money and Finance 24 (8):1177-1199.
     Engle, Robert F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society:987-1007.
     Engle, Robert F, David M Lilien, and Russell P Robins. 1987. Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica: Journal of the Econometric Society:391-407.
     Engle, Robert F, and Victor K Ng. 1993. Measuring and testing the impact of news on volatility. The journal of finance 48 (5):1749-1778.
     Fama, Eugene F, and Kenneth R French. 1988. Permanent and temporary components of stock prices. The Journal of Political Economy:246-273.
     ———. 1993. Common risk factors in the returns on stocks and bonds. Journal of financial economics 33 (1):3-56.
     Fang, Yue, and Daming Xu. 2003. The predictability of asset returns: an approach combining technical analysis and time series forecasts. International Journal of Forecasting 19 (3):369-385.
     Garcia, René, and Georges Tsafack. 2011. Dependence structure and extreme comovements in international equity and bond markets. Journal of Banking & Finance 35 (8):1954-1970.
     Hamilton, James D. 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society:357-384.
     Hu, Yu Ming. 2004. 臺灣指數期貨到期效果之檢測─GARCH模型之應用. 碩士論文.
     Jaffe, Jeffrey, Donald B Keim, and Randolph Westerfield. 1989. Earnings yields, market values, and stock returns. The Journal of Finance 44 (1):135-148.
     Jefferis, Keith, and Pako Thupayagale. 2008. Long memory in southern African stock markets. South African Journal of Economics 76 (3):384-398.
     Jondeau, Eric, and Michael Rockinger. 2006. The copula-garch model of conditional dependencies: An international stock market application. Journal of international money and finance 25 (5):827-853.
     Li, David X. 1999. On default correlation: A copula function approach. Available at SSRN 187289.
     Lo, Andrew W, and Archie Craig MacKinlay. 1988. Stock market prices do not follow random walks: Evidence from a simple specification test. Review of financial studies 1 (1):41-66.
     Longin, Francois, and Bruno Solnik. 2001. Extreme correlation of international equity markets. The journal of finance 56 (2):649-676.
     Mohanram, Partha S. 2005. Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis. Review of Accounting Studies 10 (2-3):133-170.
     Nelson, Daniel B. 1991. Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society:347-370.
     Okimoto, Tatsuyoshi. 2008. New evidence of asymmetric dependence structures in international equity markets. Journal of Financial and Quantitative Analysis 43 (03):787-815.
     Ou, Jane A, and Stephen H Penman. 1989. Financial statement analysis and the prediction of stock returns. Journal of accounting and economics 11 (4):295-329.
     Patton, Andrew J. 2004. On the out-of-sample importance of skewness and asymmetric dependence for asset allocation. Journal of Financial Econometrics 2 (1):130-168.
     Piotroski, Joseph D. 2000. Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research:1-41.
     Rodriguez, Juan Carlos. 2007. Measuring financial contagion: A copula approach. Journal of Empirical Finance 14 (3):401-423.
     Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein. 1985. Persuasive evidence of market inefficiency. The Journal of Portfolio Management 11 (3):9-16.
     Sharpe, William F. 1989. Capital Asset Prices : A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance 19:425-442.
     Sklar, M. 1959. Fonctions de répartition à n dimensions et leurs marges: Université Paris 8.
     Stober, Thomas L. 1992. Summary financial statement measures and analysts` forecasts of earnings. Journal of Accounting and Economics 15 (2):347-372.
     Zakamouline, Valeri, and Steen Koekebakker. 2009. Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance. Journal of Banking & Finance 33 (7):1242-1254.
     呂紀賢. 2007. 運用緩長記憶與VIX基礎制波動度預測模型估計風險值之研究. 碩士論文.
     賴柏成. 2013. 以財務報表資訊與 Copula-GARCH 模型建構投資組合-應用在台灣股票市場. 中山大學財務管理學系研究所學位論文:1-65.
     蘇嘉雄. 2013. 以財務報表資訊為台灣股票市場建構最適資產配置.		zh_TW