景氣對策信號對投資績效的影響

本文主要探討景氣對策信號對台灣加權股價指數投資績效的影響，本研究以景氣對策信號與台灣加權股價指數為研究對象，研究期間為1992年1月至2009年12月，月資料共216筆，資料出處於行政院經濟建設委員會（經建會）、台灣經濟新報資料庫。首先，檢定景氣對策信號與台灣加權股價指數之因果關係，結果發現，台灣加權股價指數變動會「Granger影響」景氣對策信號綜合分數，也就是台灣加權股價指數對景氣對策信號綜合分數有領先的關係，而景氣對策信號綜合分數變動不會「Granger影響」台灣加權股價指數，表示景氣對策信號綜合分數不顯著影響台灣加權股價指數。雖然經建會所公布的景氣對策信號綜合分數會比台灣加權股價指數落後一個月，但實際上台灣加權股價指數趨勢有波峰、波谷的停滯效果，所以，因應景氣對策信號綜合分數投資台灣加權股價指數是相對時點。因應景氣對策信號，決定投資台灣加權股價指數買賣時點後，比較不同投資策略之績效，計算其年化報酬率，研究結果發現，就投資組合策略而言，燈號策略為年化報酬率最高之策略58.8189％，其次為固定比例投資策略（Constant-Mix Investment Strategy，CM）、時間不變性投資組合保護策略（Time-invariant Portfolio Protection，TIPP）、買入持有投資策略（Buy and Hold strategy，BH），而固定比例投資組合保險策略（Constant Proportion Portfolio Insurance，CPPI）年化報酬率最低，只有2.031977％。在VaR平均值方面，最大、小的投資策略為BH、TIPP策略，分別是0.187692、0.122773，表示投資人在99％的信賴水準之下，使用BH投資策略，可能損失之金額最大。比較五種不同的投資組合策略之夏普指數，發現燈號策略之夏普指數最高，為2.233169，表示投資組合承擔報酬率波動風險有正的回饋；反之，CPPI策略之夏普指數最低，為-0.219367，表示投資組合承受風險但報酬率反而不如定存利率，提供投資人投資之參考。

關鍵字

台灣加權股價指數；風險值；景氣對策信號；資產配置

並列摘要

This study mainly investigates the influences of economic indicators on the investment performance of TAIEX. The study is conducted on monitoring indicators and TAIEX, and the time period ranges from January in 1992 to December in 2009. The monthly data amount to 216 items from the database of Taiwan Economic Journal. The examination of cause and effect between monitoring indicators and TAIEX reveals that the variation（volatility）of TAIEX influences combined scores of monitoring indicators. That is, TAIEX is ahead of monitoring indicators; yet, variation of the combined scores of monitoring indicators doesn’t affect TAIEX, which says that monitoring indicators doesn’t have a significant impact on TAIEX. Based on Monitoring Indicators and afterwards the investment in TAIEX, the comparison is drawn between the performances of different investment strategies and the yearly rate of return is shown. The research finds that in terms the investment portfolio, Indicators strategy is higher than the best strategy of yearly rate of return by 58.8189%. The following order is investment strategies of CM, TIPP, and BH, and the yearly rate of return of CPPI ranks the lowest as2.031977 %. For the average of Value at Risk, the strategy of BH and TIPP rank as the highest one and the lowest one respectively, which individually are 0.18769、0.12277. The finding shows that at the 99% level, investors employing BH investment strategy are likely to lose the greatest fortune. Comparison among the Sharpe Ratios of five different investment portfolios indicates that the Sharpe Ratio of Indicators strategy ranks the highest as2.233169 , which means the positive feedback of investment portfolio to the volatility of rate of return. On the contrary, the Sharpe Ratio of CPPI strategy ranks the lowest as-0.219367 , which displays that the investment portfolio takes on the risk but its rate of return is not as great as interest rates. Investors can refer to the statistics.