檢測價格泡沫與建構泡沫投資組合之績效分析：台灣上市股票之實證研究

本研究根據Phillips、Wu and Yu（2011）以及後續相關文獻所提出的檢測泡沬模型，對台灣市場以及NASDAQ指數進行實證研究。本文使用的方法分別爲PWY檢測、PSY檢測、Rolling Window ADF，以及我們參考PSY檢測與Rolling Window ADF所建構出的Rolling Window BSADF。利用上述四種檢測對NASDAQ指數來判定泡沬的生成，以及在台灣上市公司股票中建構投資與不投資泡沬投資組合。同時本研究所建構的Rolling Window BSADF在投資績效上優於另外三種檢測；此外對NASDAQ指數的檢測發現，Rolling Window BSADF具有檢定結果獨立於起始點的選取，與不受週期性泡沬破裂影響等優點，故綜合以上實證結果，Rolling Window BSADF對於泡沬的檢測與建構泡沬投資組合的績效，明顯優於另外三種檢測。

關鍵字

SADF ； GSADF ； BSADF ；泡沬；移動窗格；投資組合

並列摘要

This paper used the bubble examination model according to Phillips, Wu and Yu (2011) and following papers to conduct empirical research on Taiwan market and NASDAQ index. The models used in this paper are PWY test, PSY test, Rolling Window ADF and Rolling Window BSADF that referred to the PSY test and the Rolling Window ADF. We tested NASDAQ index through the above tests to find the bubbles, and constructed the portfolio of investing bubbles against not investing. In addition, the Rolling Window BSADF constructed by this paper is superior to the other three tests on the performance of investment. Moreover, the examination of NASDAQ index finds that there are some advantages of Rolling Window BSADF including that the test result is independent of the selection of the initial point and not affected by the broken of cyclical bubbles and so on. To sum up, this paper concludes that the bubble examination and the construction of bubble investing portfolio of the Rolling Window BSADF are significantly better than the other three tests.