處於全球金融風暴環境中的投資者對金融商品選擇之決策分析 -----AHP分析方法之應用

In a global environment of the major banking crisis, investors decision analysis of selection of financial commodities using AHP analysis method is expand

林怡秀(Yi-Hsiu Lin)

指導教授 ： 謝錦堂

共同指導教授 ： 趙重光(Chung-Kuang Chao)

國立臺北大學/商學院/企業管理學系/碩士(2009年)

摘要

投資者或投資資金管理人員使用基本分析、技術分析，以及全球或國家總體經濟環境的評估，從事投資決策。在投資決策的過程中，分析工具通常影響投資決策的績效。每一位投資者依據可承擔的風險程度，建構較適合的投資組合，以儘量提高他/她的投資報酬。

本研究目的主要探討金融風暴期間，三種不同類型的風險承受者 (風險規避者、風險中立者、風險偏好者)是否改變投資決策的變數，(分別為總體經濟、投資者、產品、市場、風險評估的五項構面，對投資決策過程的影響權重。本研究由數位專業人士回答問卷以獲得原始資料，運用層級分析法分析這些資料，以達成驗證上述的研究目標。

研究結果發現，不同類型投資人在選擇不同金融商品時，最重視的準則為總體經濟因素、其次為風險影響因素、市場因素、產品因素、最後為投資者本身因素。

三種類型的投資人的評估指標中，依優勢向量排序，發現如下:
積極型投資人「風險影響因素」是最重要的影響因素，其次為「市場因素」，第三為「產品因素」。穩固型投資人「總體經濟因素」是最重要的影響因素，其次為「風險影響因素」，第三為「市場因素」。保守型投資人「風險影響因素」是最重要的影響因素，其次為「總體經濟因素風險」，第三為「市場因素」。

關鍵字

金融風暴 ； 投資決策 ； 風險偏好 ； 投資屬性 ； 層級分析法

並列摘要

Investors or managers of investment funds use basic analysis, technical analysis, and evaluation of macro economies of world and/or nations to conduct their investment decision processes. In processes of investment decisions, the level of use effectiveness of analysis tools normally affects the performance of investment decisions consistently. Based on individual risk-taking level of each investor, he/she will establish his/her proper portfolio to effectively improve his/her investment return.

Based on the assumptions of efficient market hypothesis, it suggests that investors can not quickly and effectively apply investment information in the market, non-systematic information, and accidentally occurring information in their investment decision processes. Thus, the prospect theory was developed by applying psychology theories in investment decision processes. The prospect theory applies theories and techniques of behavioral psychology and statistical analysis to allow investors to have more realistic expectancy of their investment returns in a changing environment. Therefore, the theory improves the effectiveness of the expectancy level of real investment return using the expected utility theory. Use of the prospect theory may solve several problems unsolved by using traditional financial models, e.g., solving equity premium puzzle.

The major purpose of the study will explore the effectiveness level of investment decision strategy variables (i.e., these variables are separated in five variable groups: macro economy, consumer, product, market, and risk assessment) affecting investment decision process by three types of risk-taking investors (i.e., risk averter, risk neutral and risk lover investors) in a major banking crisis environment. This study will examine questionnaire answered by several professional subjects and use the Analytic Hierarchy Process to analyze the data.

The findings discovered that different type investor when choice different finance commodity, most takes seriously criterion for overall economic factor, next for risk influencing factor, market factor, product factor, finally for investor factor.
Among three types of investors appraisal index, there is a finding as below:

The most important influence factor for aggressive investors is “Risk affective factor”, followed “the market factor” and then “product factor”. For stable investors they concern the most is “total economic factor” and then “risk affective factor”. “market factor” would be the last one for stable investors. However for conservative investors, they care about “risk affective factor” the most and “total economic factor” the next and then “the market factor”.

並列關鍵字

Banking crisis ； Investment decision ； Risk preference ； Investment features

參考文獻

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