English  |  正體中文  |  简体中文  |  Items with full text/Total items : 2737/2828
Visitors : 266863      Online Users : 22
RC Version 4.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Adv. Search
LoginUploadHelpAboutAdminister

Please use this identifier to cite or link to this item: http://ir.lib.stu.edu.tw:80/ir/handle/310903100/1024

Title: 台灣產業分股價指數復歸現象之探討
The Mean reversion Behavior of Taiwanese Industrial Group Stock Indices
Authors: 蔡檳鴻
Bin-Hung Tsai
Contributors: 廖世仁
Shin-Jen Liao
金融保險研究所
Keywords: 台灣產業分類股價指數;均數復歸;變異數比率
Taiwanese Industrial Group Stock Indices;Mean Reversion;Variance Ration Tests
Date: 2006
Issue Date: 2011-05-24 13:24:25 (UTC+8)
Publisher: 高雄市:[樹德科技大學金融保險研究所]
Abstract: 摘要
股票市場發展至今,已有許多國內外文獻發現股價具有平均數復歸現象,復歸現象之探討起源於學者們探討股價走勢是否呈現隨機漫步,若股價違反隨機漫步,其中一種情況即是平均數復歸現象。意謂長期股價中存有促使偏離之股價回歸至合理價值之力量。本研究以變異數比率探討台灣產業分類股價指數是否具有平均數復歸現象。研究期間選自1995年1月1日到2005年12月31日,總共2376筆產業股價指數。

實證結果如下:
1.台灣產業分類股價指數具有平均數復歸現象,現象最明顯之產業為觀光類與金融保險類。

2.整體而言,各類股始於持有期間22個月後具有明顯之復歸現象,與台灣加量加權股價指數需36個月後才有明顯之復歸現象相比,相較下產指之復歸現象比大盤還迅速。

3.當投資人之持有期間選定為5年內時,建議選購電子類、塑膠類、汽車類之投資組合,會有較高報酬。
Abstract
Since the development of stock markets, there have been many academic literatures indicating the phenomenon of “stock price mean reversion”. The origin of mean reversion was from many scholars’ questions if the stock prices follow a random walk model. One alternative for stock prices not following random walk model is mean reversion model. It implies that stock prices would revert to their reasonable values over a certain time horizon. The Variance Ration Tests are applied to investigate the possibility of the mean reversion behaviors of the Taiwan Industrial Group Stock Indices. The monthly data are collected from January, 1995 to December, 2005. There are totally 2,376 monthly Industrial Stock Indices.
The empirical analysis results the following conclusions:
1. A strong evidence of mean reversion behavior is indicated among the Taiwanese Industrial Group Stock Indices, the most obviously ones are the Tourism and Finance Industry Group Stock Indices.
2. As a whole, Taiwanese Industrial Group Stock Indices have obviously mean reversion after holding 22 months. Instead, TAIEX has obviously mean reversion after holding 36 months. All industry group stock indices reverse more quickly then the TAIEX.
3. If a investor selects a less than 5 year holding period, a higher return will be expected with a portfolio of Electronics, Plastics and Automobile Industry Group Stock Indices.
Appears in Collections:[金融與風險管理系(所)] 博碩士論文

Files in This Item:

File Description SizeFormat
台灣產業分股價指數復歸現象之探討__臺灣博碩士論文知識加值系統.htm國圖100KbHTML507View/Open


All items in STUAIR are protected by copyright, with all rights reserved.

 


無標題文件

著作權政策宣告:

1.

本網站之數位內容為樹德科技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,請權利人通知本校護人員(clairhsu@stu.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