股票投資入手門檻較低,對於資金上的需求相對其他投資活動也較低,根據台灣證券交易所統計,2014年底已有近九百三十萬人次投資股票,儼然成為台灣民眾普遍進行投資的一種方式。基於中華民國政府於1999年大幅開放外資來台投資上限,三大法人所屬之籌碼面分析更趨重要。過去眾多學者在股票之研究上嘗試使用各式樣之方式進行選股模型的建立,其中以基本面與技術面為最多,而籌碼面之研究較少。 本研究以基本面指標與籌碼面指標為研究因子,實驗環境自2008年自2013年, 透過三階段實驗來探討基本面因子與籌碼面因子在台灣大型股、大型電子類股及大型傳統產業類股之影響。首先透過單因子績效分析找出強勢之單因子,接著透過雙因子加總及排序相乘之方法分析單因子間組合之效用,最後以效益加成法找出最強勢之多因子組合。
Stock investment has relatively lower entrance barrier and funding requirement. According to the statistics from TWSE, by the end of 2014, 9.3 million people have been doing stock investment, and it has clearly becoming a popular way of money investing among Taiwanese people. Since the Taiwanese government largely increased the limit for the foreign investment institution in year 1999, the chip analysis of institutional investors had become more and more important. Many researcher have been trying to build up a model for stock selecting. Most of them are used fundamental analysis and technical analysis, and chip analysis were less discussed. The following experiment use fundamental analysis and chip analysis factors as researching factors, started from 2008 to 2013, discussing how these factors affect Taiwanese large scale stocks, large scale electronics stocks and large scale traditional industries stocks in three stages. First of all, we use single factor performance analysis to find out the dominant single factor. Then we use double factor summation method and multiply sorting method to find out how every single factor effect on each other. Finally, we impress on profit improvement method to find out the most powerful combination.