投資成長vs投資價值 - 東南亞股票市場

Growth Investing VS Value Investing in ASEAN stock markets

王吉悟

指導教授 ： 姜真秀

國立交通大學/管理學院/企業管理碩士學程/碩士(2013年)

https://doi.org/10.6842/NCTU.2013.00545

摘要

The objective of this study is to test which investment strategies, between value investing and growth investing, give better returns to investors in ASEAN stock markets. For this purpose, the study concerns all international stock markets in ASEAN, including Malaysia, Vietnam (2 exchanges), Indonesia, Philippines, Thailand and Singapore during 2003-2012. There are three criteria to divide stocks between value and growth stocks including P/E, P/BV, and Dividend Yield. The portfolio of value and growth investing is updated every year. In an independent market analysis, the results show that value investing strategy provides significantly higher return than average market performance and growth investing strategy in all markets. Specifically, the returns from value portfolio in TIP Group, which includes Stock Exchange of Thailand (SET), Indonesia Stock Exchange (IDX), and Philippines Stock Exchange (PSE), significantly outperform returns from growth portfolio as well as Bursa Malaysia (KLCI). In between-market analysis, this study finds that Indonesia Stock Exchange (IDX) has the best performance for market portfolio among 7 markets, and Hanoi Stock Exchange (HNX) has the worst performance for market portfolio among 7 markets. Also, Security Exchange of Thailand (SET) has the best performance for value portfolio among 7 markets, and HoChiMinh Stock Exchange (HOSE) has the worst performance for value portfolio among 7 markets. Lastly, the result shows that growth portfolios among 7 markets statistically have same performance.

關鍵字

投資成長 ； 投資價值 ； 東南亞股票市場

並列摘要

The objective of this study is to test which investment strategies, between value investing and growth investing, give better returns to investors in ASEAN stock markets. For this purpose, the study concerns all international stock markets in ASEAN, including Malaysia, Vietnam (2 exchanges), Indonesia, Philippines, Thailand and Singapore during 2003-2012. There are three criteria to divide stocks between value and growth stocks including P/E, P/BV, and Dividend Yield. The portfolio of value and growth investing is updated every year. In an independent market analysis, the results show that value investing strategy provides significantly higher return than average market performance and growth investing strategy in all markets. Specifically, the returns from value portfolio in TIP Group, which includes Stock Exchange of Thailand (SET), Indonesia Stock Exchange (IDX), and Philippines Stock Exchange (PSE), significantly outperform returns from growth portfolio as well as Bursa Malaysia (KLCI). In between-market analysis, this study finds that Indonesia Stock Exchange (IDX) has the best performance for market portfolio among 7 markets, and Hanoi Stock Exchange (HNX) has the worst performance for market portfolio among 7 markets. Also, Security Exchange of Thailand (SET) has the best performance for value portfolio among 7 markets, and HoChiMinh Stock Exchange (HOSE) has the worst performance for value portfolio among 7 markets. Lastly, the result shows that growth portfolios among 7 markets statistically have same performance.

並列關鍵字

Stock ； ASEAN ； Value ； Growth ； Investment ； Market

參考文獻

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