金融風暴下-下跌段，投資工具選擇考量因素與決策

回顧近年來金融大事件，歷年危機發生間隔往往在6~10年間。在2009~10年歐債危機之後，事隔至今已有6~7年之久，若近年即將發生再一次的金融危機，選擇最切適之投資工具與了解其各自的報酬與風險，將是一個重要的關鍵。本研究採用的MCDM法，能找出各項因素的相對關係，並計算出各項因子權重，找出關鍵評選準則，並根據各項因子權重排列出投資工具選擇的優劣順序，並做出最佳的決策，期望能透過此次研究，做為投資人未來在股市下跌段時，投資工具選擇的一項參考指標。首先，以金融風暴下-下跌段的投資工具選擇考量因素為中心，透過回顧過去文獻找出哪幾項構面最常被學者提及，從中我們找出了「報酬」、「風險」兩項構面，並進一步的深入探討，找出了「股息收入」、「資本利得」、「市場風險」、「流動性風險」、「事件風險」五項次因子，以及最常被提及使用的「選擇權(賣權)、「權證(認售)」、「股票(放空)」等三項投資工具；隨後，進行專家問卷回收16份有效問卷，之後應用DEMATEL法計算出各項準則的關聯性，發現「股息收入」有最高的影響力，代表如需改善其他準則，可以由此作為主要改善考量；而「資本利得」則擁有最大關聯性，表示此項為專家學者認為較重要的評選準則。接著運用DANP法進行權重分析，5項評選準則的權重依序為資本利得、市場風險、流動性風險、事件風險、股息收入；最後，運用VIKOR進行投資工具評估，由分析結果得知，選擇權(賣權)的總績效值最高，同時也擁有最低的平均差距（gaps），代表選擇權(賣權)在專家學者眼中，相對於其他兩種投資工具更適合作為金融風暴下-下跌段時的選擇，也就是本研究得出的最佳決策。

關鍵字

金融風暴；下跌段；投資工具；多準則決策； MCDM ； DEMATEL ； DANP ； VIKOR

並列摘要

Review financial events in recent years, the crisis often happened the interval every 6-10 years. After the 2009-10 European debt crisis has been 6-7 years , if it going to happen again in recent years, there will be a key point choosing the most suitable investment tools. We used MCDM methods in this study, it can identify the relative relationship between the factors, calculate the weight of each other, identify key selection criteria, and according to the factor weights to array the sequence of the investment tools. Finally, choose the best decisions. Through this study, hope we can give investors a better suggestion choosing the investment tools during downside. First, through past literature to find out which of several facts has been studied by scholars that based on the selecting investment tools during financial crisis downside. We find out the "returns" and "risk" two dimensions, and further in-depth discussion to find out the "dividend income", "capital gains", "market risk", and "liquidity risk", and "event risk" five minor factors, and most often was mentioned using of "options (put) ", and" warrants (put warrants) ", and" stock (short) " , Three kinds of investment tool; Subsequently, recover 16 valid questionnaires by expert questionnaire , and application DEMATEL method to calculate the relevance of the criterions, found "dividend income" has the highest influence, if you want to improve other criteria, you can priority to improve this criterion. " Capital gains " has the largest association, which represents the experts believe that is more important selection criterion. Next, use the DANP method to calculate the weights of the criterions, the weighting of the selection criteria in order for " capital gains", "market risk"," liquidity risk", "event risk", and "dividend income". Finally, use the VIKOR method to evaluation performance of the three investment tools. We found the options (put) has both the highest value and the lowest average total performance gaps, which is the optimal decision relatively. The results show that options (put) is the better decision in this study.

並列關鍵字

Financial Crisis ； Downside ； Investment Tools ； Multi-Criteria Decision-Making ； MCDM ； DEMATEL ； DANP ； VIKOR

參考文獻

Abdelmounaim Lahrecha, Kevin Sylwesterb,(2011), “U.S. and Latin American stock market linkages“, Journal of International Money and Finance 30(7):1341–1357

A.Marcel Oestreicha, Ilias Tsiakasb,(2015) “Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme” ,Journal of Banking & Finance 58:294–308

Alexei Goriaeva, Alexei Zabotkinb,(2006), “Risks of investing in the Russian stock market: Lessons of the first decade”, Emerging Markets Review Volume

Amedeo De Cesari, Winifred Huang-Meier(2015), “Dividend changes and stock price informativeness” Journal of Corporate Finance 35: 1–17

Bing Zhang, Xiao-Ming Li(2014), “Has there been any change in the comovement between the Chinese and US stock markets? ” International Review of Economics & Finance, 29: 525-536

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金融風暴下-下跌段，投資工具選擇考量因素與決策

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