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研究生: 蔡檳鴻
研究生(外文): Bin-Hung Tsai
論文名稱: 台灣產業分股價指數復歸現象之探討
論文名稱(外文): The Mean reversion Behavior of Taiwanese Industrial Group Stock Indices
指導教授: 廖世仁
指導教授(外文): Shin-Jen Liao
學位類別: 碩士
校院名稱: 樹德科技大學
系所名稱: 金融保險研究所
論文出版年: 2006
畢業學年度: 94
語文別: 中文
中文關鍵詞: 台灣產業分類股價指數均數復歸變異數比率
外文關鍵詞: Taiwanese Industrial Group Stock Indices、Mean Reversion、Variance Ration Tests
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  • 被引用:1
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  • 評分:*****
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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.
目  錄
中文摘要                            i
英文摘要                            ii
誌謝                            iii
目錄                            iv
表目錄                            vi
圖目錄                            vii
一、緒論                            1
1.1 研究背景與動機          1
1.2 研究目的                    4
1.3 研究流程與架構          5
二、文獻探討                    7
2.1股價與指數之預測          7
2.2平均數復歸之研究史          8
2.3平均數復歸之探討          8
2.3.1股價與平均數復歸之相關文獻  9
2.3.2匯率與平均數復歸之相關文獻  12
2.3.3利率與平均數復歸之相關文獻  16
2.3.4文獻綜合評析                    18
三、研究架構                    23
3.1 資料來源                    23
3.2 研究方法                    24
3.2.1 變異數比例檢定          24
四、實證分析                    28
4.1 變異數比率演算          28
4.2 變異數比率分析          28
4.2.1當持有期間小於12期          28
4.2.2當持有期間大於12期          29
4.2.3小結                    29
4.3 波動性與變異係數          30
4.3.1小結                    31
五、結論與建議                    46
5.1 結論                            46
5.2 建議                            47
參考文獻                            48
1.英文                            48
2.中文                            49
參考文獻
英文
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3.Black, F. and Karasinski, P.(1991), “Bond and Option Pricing When Short Rates Are Lognormal” Financial Analysts Journal, Vol. 47, Iss. 4
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5.Chortareas, G. E., Kapetanios,G and Shin, Y.(2002),”Nonlinear mean reversion in real exchange rates” Economics Letters Volume: 77, Issue: 3, November, 2002; 411-417.
6.Gil-Alana, L. A. (2000), “Mean reversion in the real exchange rates “Economics Letters Volume: 69, Issue: 3, December, 2000: 285-288 .
7.Gropp, J. (2004),”Mean reversion of industry stock returns in the U.S., 1926–1998” Journal of Empirical Finance Volume: 11, Issue: 4, p. 537-551.
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12.Kausik, C., and Yangru, W. (2003), “Mean Reversion in Stock Prices: Evidence from Emerging Markets” Managerial Finance. Patrington: 2003. Vol. 29, Iss. 10; p. 22 (16 pages)
13.Mollick, A. V.(1999),”The real exchange rate in Brazil Mean reversion or random walk in the long run?  “International Review of Economics and Finance Volume: 8, Issue: 1, January, 1999, p. 115-126 .
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