股價指數之編製與績效評估

Stock Index Construction and Performance Evaluation

邱佩亭(Pei-Ting Chiu)

指導教授 ： 繆震宇

淡江大學/商學院/保險學系保險經營碩士班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00587

摘要

被動式管理投資策略興起，股票指數型基金成為投資新寵，而股價指數為被動式投資商品之追蹤標的，其重要性亦與日俱增。隨著金融商品不斷創新，股價指數也出現新樣貌，編製方式或選股條件、資格等，都有新的創舉。本研究嘗試以連續機率比檢定模式，以股票之報酬率進行股價指數成分股之篩選，探討是否能有優於現行股價指數之表現。採樣期間為2001年9月至2008年12月，依台灣上市上櫃股票分別編製50、100指數、產業類指數及大、中、小型股指數，並與相應之基準指數比較。
上市及上櫃50、100指數全期間之績效均優於基準指數，上市上櫃產業指數均有半數以上指數優於基準指數。上市指數中以上市電機機械指數表現最佳，於各項比較下均優於基準指數。上櫃部分則以電子業及化學生技醫療表現較佳。

關鍵字

股價指數 ； 股票指數型基金 ； 被動式投資管理 ； 連續機率比檢定

並列摘要

Because of development of passive investment strategy, the exchange traded funds become the most popular investment tool. The stock index is the tracing sign of passive investment commodity, so it becomes more and more important. As well as the innovation of financial product, the stock index also presents with a new appearance. For instance, the construction way and choosing condition and qualifications all have the new pioneering work. This research uses the Sequential probability ratio test to select stock shares through stock month return, and compare the performance, whether it could defeat the current stock index. Sampling period was from September, 2001 to December, 2008, and constructing 50 index and 100 index, industrial stock index and large-cap, med-cap and small-cap stock index separately, according to TSE and OTC listed company in Taiwan, and compared them with the corresponding benchmark.
The entire period performance of TSE & OTC 50 and 100 indexes all surpass the benchmark. Industrial stock index have more than half index surpassing the benchmark. TSE electrical machinery index which surpasses the benchmark under each comparison is the best among TSE stock indexes. OTC electronic and Chemical, Biotechnology and Medical Care index is the best of OTC stock indexes.

並列關鍵字

stock index ； exchange traded funds ； passive investment strategy ； sequential probability ratio test

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