- 學位論文
景氣燈號與加權指數之關聯性與投資策略
The Correlation Of Investment Strategy Between Monitoring Indicators and Taiwan-Weighted Index
摘要
股票一向是國人最容易上手的投資標的，但要從基本面、技術面、籌碼面哪個方向來切入始終令人困擾！不論是基本面專家、還是技術派大師，如何抓到股市高峰與谷底，一直都是努力的目標，進而突顯買、賣股票時機的重要性！本研究根據國內外的基本分析理念做出發，並參考國內先進利用總經指標來判斷股市多空與操作策略！ 除了回顧文獻之貢獻外，也針對其所不足，加入自身的判斷方式，以求更穩健與更高的報酬。在假設驗證前，本文說明了經濟景氣指數分析的方法，同時針對台灣景氣燈號的來源作闡述。此外，也針對台灣主要的經濟指標來作探討，包括GDP的組成、GDP成長率與台股之關聯、景氣指標(領先指標、同時指標、落後指標)分析，最後發現國發會的景氣對策訊號，能大約代表前述的經濟指標，且與台灣加權指數的多空趨勢相當。因此，藉由景氣對策訊號的分數與燈號來做假設，同時研擬出買進與買出訊號，並實際運用在元大台灣卓越50(0050)此檔ETF上，研究結果自2003年6月至2023年4月，交易次數僅八次，但累計之總報酬卻高達226.1%，研判國發會景氣對策信號的參考價值是顯著的。最後，本研究期許研究結果能擴展到景氣燈號相關研究之學術範疇，並將研究結果提供至當前的股票市場，其交易策略方向之參考。
並列摘要
Stocks have always been the easiest investment target for Chinese people, but it is always troublesome to start from the direction of fundamentals, technical aspects, and bargaining chips! Whether it is a fundamental expert or a technical master, how to catch the peak and bottom of the stock market has always been the goal of hard work, and then highlights the importance of the timing of buying and selling stocks! This study is based on the basic analysis concepts at home and abroad, and refers to the domestic advanced use of general economic indicators to judge the stock market's long and short and operating strategies! In addition to reviewing the contributions of the literature, we also add our own judgment methods for the deficiencies in order to achieve more stability and higher rewards. Before verifying the hypothesis, this article explains the method of analyzing the economic prosperity index, and at the same time elaborates on the source of Taiwan's prosperity signal. In addition, it also discusses Taiwan's main economic indicators, including the composition of GDP, the relationship between GDP growth rate and Taiwan stock market, the analysis of economic indicators (leading indicators, simultaneous indicators, lagging indicators), and finally found the economic countermeasures signal of the National Development Council , can approximately represent the aforementioned economic indicators, and is equivalent to the long-short trend of the Taiwan weighted index. Therefore, we make assumptions based on the scores and signals of economic countermeasure signals, and at the same time develop buy and sell signals, and actually apply them to the Yuanta Taiwan Excellence 50 (0050) ETF. The research results have been since June 2003. From April to April 2023, the number of transactions is only eight times, but the cumulative total return is as high as 226.1%. The reference value for studying and judging the economic countermeasure signal of the National Development Council is significant. Finally, this study hopes that the research results can be extended to the academic scope of research related to economic indicators, and the research results will be provided to the current stock market, as a reference for the direction of its trading strategies.