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| Title: | 擁擠交易：臺灣股市類股輪動策略
Crowded Trades: Sector Rotation Strategy in Taiwan Stock Market |
| Authors: | 林雅琪 |
| Contributors: | 廖四郎
Liao, Szu-Lang
林雅琪 |
| Keywords: | 擁擠交易
產業輪動
主成分分析
Crowded Trades
Sector Rotation
PCA |
| Date: | 2024 |
| Issue Date: | 2024-08-05 12:19:19 (UTC+8) |
| Abstract: | 本研究旨在探討擁擠交易現象與資產價格泡沫化的關聯，並提供一種發現泡沫擴
張及泡沫破裂階段的方法，使投資人能夠在價格上漲過程中獲利、在價格下降前出售。
研究中採用了兩種方法來判斷資產價格的階段：資產中心度和相對價值。前者判斷資
金是否流入或流出該資產，即資金在少數資產上流動的程度。當資產中心度高時，表
示大量資金流入或流出該資產，推升其價格上漲或驟降之可能性。後者判斷價格是否
已偏離其實際價值，當相對價值高於某一標準時，表示價格可能已偏離其實際價值，
存在泡沫破裂風險。
此外，本研究將這些方法結合 Black-Litterman 模型，利用此模型結合資產中心度
和相對價值，進行動態的資產配置，從而達到優於其餘資產配置模型的效果。
This study explores the relationship between crowded trading and asset bubbles,
providing a method to identify the stages of bubble expansion and burst. This method
enables investors to profit during the price increase and sell before the price declines. The
study employs two methods to determine the stages of asset prices: centrality and relative
value. The former assesses whether capital flows into or out of the asset, indicating the
degree of capital movement in a few assets. When centrality is high, it suggests significant
capital inflows or outflows. That increases the probability of price rises or sudden drops.
The latter assesses whether the price has deviated from its actual value. When the
relative value exceeds a certain threshold, the price may have deviated from its actual
value, posing a risk of a bubble burst. Furthermore, this study integrates these methods
with the Black-Litterman model. Combining centrality and relative value using this model
performs dynamic asset allocation, achieving results superior to other models. |
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| Description: | 碩士
國立政治大學
金融學系
111352036 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111352036 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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