- 學位論文
最小變異投資組合績效研究:以消費者信心指數建構買進且持有的投資組合
Minimum Variance Portfolio Holding Period Performance: Constructing Buy-and-Hold Portfolio Using Consumer Confidence Index
摘要
在台灣的股票市場中，有80%以上的投資人是一般的散戶，而散戶投資人所關心的莫過於如何運用簡單的交易策略、低廉的交易成本且能以小額投資參與股市，並獲得較佳的投資收益。本研究以2001年1月至2010年6月期間，台灣證券交易所(TSEC)所掛牌上市之個股作為選取標的，以Markowitz(1952)多角化資產配置的概念建構最小變異之最佳投資組合，並配合簡單的買入持有策略、考慮交易成本、限制買空賣空及可投資金額後，散戶投資人是否能藉由最佳化投資組合的選股模式使其報酬超越大盤的報酬。此外，本研究也探討此選股策略下，持有期間長度是否影響投資組合的獲利情形，及考慮消費者信心指數(CCI)下之選股策略是否影響投資組合的表現。 本研究的實證結果發現，以有限制的最小變異投資組合之選股方式，不論是否考慮消費者信心指數，在研究期間中其投資組合報酬確實有優於大盤的表現，其結果並不受持有期間長短所影響。選取的投資組合中，以低價股票占大多數，且產業類別十分分散，不集中於國內投資人所偏愛的產業類別。對散戶投資者而言，運用最小變異的最佳投資組合，且低廉的交易成本，可能提供一個優於大盤表現的有效投資策略。
並列摘要
Among the investors in Taiwan’s stock market, over 80% are individual investors. Their main concern is to reduce the transaction costs and to pursue the maximum profit. Using samples of the Taiwan Stock Exchange Corporation (TSEC) listed companies from January 2001 to June 2010 and constructing Markowitz’s minimum variance portfolios for individual investors, this research investigates whether individual investors can simply use a buy-and-hold strategy to get higher yields than the overall stock market. Different from the literatures, this research considers the consumer confidence index under the stock selection strategies. As this index measures how consumers view prospects for the economy and their own finances, individual investors may use it to guide their investments. The results show that the returns of stock portfolio are consistently superior to TSEC Taiwan Weighted Index throughout the test periods, whether or not the consumer confidence index is adopted. In other words, for individual investors to make excess return in Taiwan Stock market, using Markowitz’s minimum variance portfolios with a buy-and-hold strategy can achieve their goal.