運用灰色理論模型於IPO股票交易可行性探索

Application of Grey theory to the feasibility of IPO stock trading strategy

戴長青(Chang-Jing Dai)

指導教授 ： 陳俊益

義守大學/管理學院/工業管理學系/碩士(2014年)

https://doi.org/10.6343/ISU.2014.00269

摘要

對大多數投資者而言，投資的定義就是在現在投入一筆金額，之後期待在未來的某一段選定的時間能夠回收更多的報酬。目前在投資的工具中，股票市場相較於其他投資工具，諸如債券、房地產等等較為高度流通性與高度成熟性，國人參與股市投資開戶數也每年漸增。
目前投資市場上可投資的標的物繁多，諸如上市股票、上櫃股票、土地及房地產、私募基金、指數型股票基金、期貨、債券、銀行定存等等，當某家公司通過審核後上市發行時，該公司財務表報的資訊揭露程度會接受到最嚴格檢視，有利於散戶投資人可以挑選初上市股票(IPO)標的來進行相關投資計畫。
因此，建立在投資人是理性的前提下，吾人應可以使用已發生的價格資訊來預測未來股票走勢，並且使用相關的論點來驗證所預測的報酬率是否能超越其他金融預測工具。本研究使用灰色理論GM(1,1)應用於初上市股票(IPO)作為可行性探討，以便散戶投資人可以挑選初上市股票(IPO)標的來進行相關投資計畫。
本研究挑選101年度初上市股票(IPO)來進行驗證，故本次所選取研究時間自民國101年1月1日起至民國101年12月31止所核准並且公告之上市公司為主。以股票成交價來驗證灰預測理論可行性，並以收盤價為為研究依據，相關法人、大股東以及大戶投資人干擾不予以考慮。為使本研究趨近於嚴謹，將不採計除權息效果且交易成本不以計算。
經灰色理論GM(1,1)實驗證明，如使用灰色理論應用於初上市股票(IPO)，其投資報酬率有很大的比例成為正向報酬，也優於均線理論之報酬，故投資人使用灰色理論應用於初上市股(IPO)，將具有優勢來預測股票走勢。

關鍵字

初上市股票 ； 灰色理論 ； 股票

並列摘要

For most of investors, the purpose of investment is to put a quantity of capital and expect the positive return after a period of time. Among all the investment tools, comparing with bond, real estate, the stock market holds characteristics of high fluidity and high maturity. Therefore, the number of domestic investors grows each.
There are many investable targets in the investing markets, such as listed stocks, OTC stocks, land and real estate, private equity funds, index-based equity funds, futures, bonds, bank deposit, etc. When a company pass the review and could be listed in the trading board, the company's financial statements will be examined by rigorous watch both from government and investors. This will help the investors to select the IPOs as the investing plans.
Therefore, the establishment of investment is in the premise that people are rational. We should be able to use the occurred pricing information to predict future stock movements, and the use of related arguments to verify the predicted rate of return can surpass other financial forecasting tools. In this study, the grey theory is applied to initial public offerings (IPO) to explore the feasibility, so that investors can pick initial public offerings (IPO) subject to the relevant investment plans.
The IPOs from year 2012 are chosen to be the research topics, the precise time period is from January 1 ,2012 to December 31, 2012. The stock price are recorded to verify the feasibility of grey theory, and based on the closing price for the study. The legal person, major shareholders and major investors are excluded as interference. For the present study tending to strict, the ex-interest and transaction costs will not be taken into consideration. .
By verification of grey theory applied to initial public offerings (IPO), its ROI has become a large proportion of positive rewards, and also better than the average analysis theory. Therefore, investor could use the grey theory to initial public offerings (IPO), will be advantage to predict stock movements.

並列關鍵字

Initial Public Offerings (IPO) ； Grey Theory ； Stock

參考文獻

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