Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/141070
|
| Title: | 大中華區的行業輪動策略——基於擁擠交易
Sector Rotation Strategies in Greater China--Based on Crowded Trade |
| Authors: | 邊宇濤
Bian, Yu-Tao |
| Contributors: | 廖四郎
邊宇濤
Bian, Yu-Tao |
| Keywords: | 行業輪動
擁擠交易
泡沫
大中華區
Sector Rotation
Crowded Trade
Bubbles
Greater China |
| Date: | 2022 |
| Issue Date: | 2022-08-01 17:30:57 (UTC+8) |
| Abstract: | 當資產價格發生顯著變化而基本面沒有變化時，會出現擁擠交易。作者提供了兩種方法來識別不同的行業泡沫階段。一種衡量標準是資產中心性，它基於主成分分析 (PCA)，以區分泡沫和基本合理的價格上漲。結合另一種標準——相對價值，定位到不同的泡沫階段，如無泡沫、泡沫膨脹階段和泡沫破裂階段。本研究利用上述方法形成了大中華區不同行業泡沫階段的策略。利用期間為2013年至2021年的一級行業指數，本淨比和市值來探索三個市場的投資者行為和風險偏好，發現每個市場的最佳策略都幫助投資者獲得高超額回報和卡爾馬比率。實證結果表明，當擁擠交易發生時，投資者可以利用行業ETF來追求超額收益，監管機構應監控拋售泡沫階段可能出現的價格崩盤。
Crowded trade occurs when the asset prices significantly change while the fundamentals do not shift. The author provides two measures for identifying the different sector bubble stages. One measure, asset centrality, is based on principle component analysis (PCA) to distinguish bubbles from fundamentally justified price increases. Combined with relative value, we can locate the different bubble stages, such as no, run-up, and sell-off bubbles. The research uses the above method to form different sector bubble stages’ strategies in Greater China. Based on the Section Index Level 1 from 2013 to 2021, the research employs sector index, price to book value, and free-market value to explore the investor behaviors and risk appetites in three markets, revealing the best strategy in each market helps investors obtain a high excess return and Calmar ratio. The empirical results show that investors can take advantage of sector ETFs to pursue the excess return when crowded trade occurs and that regulators should monitor the possible price collapse in a sell-off bubble stage. |
| Reference: | 彭艷、張維（2013），「我國股票市場的分板塊投資策略及其應用」，數量經濟技術經濟研究，12。
孫海波、宋曦（2019），「貨幣周期指導下的行業投資組合構建」，中央財經大學學報，第11期，41-46。
伍軍（2010），「國際對沖基金的行業輪動投資：理論與實踐」，上海社會科學院。
蘇民、逯宇鐸（2011），「我國股市行業輪動現象及相應策略的探討——從經濟周期和貨幣周期角度出發」，學習與實踐，第4期。
武文超（2014），「中國A股市場的行業輪動現象分析——基於動量和反轉交易策略的檢驗」，金融理論與實踐，第9期。
徐景昭（2017），「基於多因子模型的量化選股分析」，金融理論探索，第3期。
周亮（2018），「貨幣周期對我國股市行業輪動的影響」，湖北經濟學院學報，第3期，31-37。
周彩節（2020），「基於關聯規則的我國股市行業輪動現象研究」，中國市場，第26期。
張鑫（2020），「股市行業板塊輪動效應與宏觀經濟驅動的研究」，特區經濟，第5期。
陳國進、陶可（2011），「機構投資者的擁擠效應與藍籌股泡沫」，系統工程，第2期，1-8。
賈麗娜、扈文秀、章偉果（2015），「基金擁擠交易對 A 股股價泡沫的影響研究」，運籌與管理，第5期， 237-244。
周麗雲（2017），「投資者情緒、投資者擁擠交易行為與資產定價研究」，華南理工大學博士學位論文。
Narasimhan Jegadeesh and Sheridan Titman (1993), “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”, The Journal of Finance, 56(2), 699-720.
Sam Stovall (1996), Sector Investing.
Massimiliano Tani (2003), “Dynamic Asset Allocation Using Systematic Sector Rotation”, The Journal of Wealth Management, 8(4), 59-70.
Lorenzo Newsome and Pamela A. Turner (2007), “Homemade Sector Hedge Funds: Can Investors Replicate the Returns Without Paying the Fees”, Journal of Investing.
Ben Jacobsen, Jeffrey Scott Stangl and Nuttawat Visaltanachoti (2008), “Sector Rotation Across the Business Cycle.”
James Chong and G. Michael Phillips (2015), “Sector rotation with macroeconomic factors”, The journal of wealth management, 18(1), 54-68.
Golam Sarwar, Cesario Mateus and Natasa Todorovic (2018), “US sector rotation with five-factor Fama–French alphas”, Journal of Asset Management, 19, 116–132.
Constantinos Alexiou and Anshul Tyagi (2020), “Gauging the effectiveness of sector rotation strategies: evidence from the USA and Europe”, Journal of Asset Management, 21, 239–260
Momtchil Pojarliev and Richard M. Levich (2011), “Detecting Crowded Trades in Currency Funds”, Financial Analysts Journal, 67(1), 26- 39.
Yan Philip (2013), “Crowded Trades, Short Covering, and Momentum Crashes.”
Albert J Menkveld and Author Notes (2017), “Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties”, The Review of Asset Pricing Studies, 7(2), 209-242.
Chunpeng Yang and Liyun Zhou (2016), “Individual stock crowded trades, individual stock investor sentiment and excess returns”, The North American Journal of Economics and Finance, 38, 39-53.
Menkveld and Albert J. (2017), “Systemic Risk in Central Clearing: Should Crowded Trades Be Avoided?”.
Robin Greenwood, Andrei Shleifer and Yang You (2019), “Bubbles for Fama”, Journal of Financial Economics, 131(1), 20-43.
Liyun Zhou and Chunpeng Yang (2019), “Differences in the effects of seller-initiated versus buyer-initiated crowded trades in stock markets”, Journal of Economic Interaction and Coordination, 14, 859–890.
William Kinlaw, Mark Kritzman and David Turkington (2019), “Crowded Trades: Implications for Sector Rotation and Factor Timing”, The Journal of Portfolio Management, 45(5), 46-57. |
| Description: | 碩士
國立政治大學
金融學系
109352034 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109352034 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202201006 |
| Appears in Collections: | [Department of Money and Banking] Theses
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 110 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
