English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25810024      Online Users : 130
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/76435


    Title: 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
    Authors: 陳怡如
    Chen, I Ju
    Contributors: 黃泓智
    Huang, Hong Chih
    陳怡如
    Chen, I Ju
    Keywords: ASKSR
    技術指標
    多元Gaussian Copula
    效用函數
    資產配置
    Date: 2015
    Issue Date: 2015-07-13 11:09:34 (UTC+8)
    Abstract:   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。
    Reference: 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.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    102358010
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102358010
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系 ] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback