投資策略之績效分析與比較-以台灣股票市場為例

Performance Analysis and Comparison of Investment Strategy-Evidence from Taiwan Stock Market

鐘潔瑩(Chieh-Ying Chung)

指導教授 ： 吳建臺

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2010年)

https://doi.org/10.6827/NFU.2010.00118

摘要

關於投資策略的研究，一向都是財務學術界與實務界研究的焦點之一，在各種投資理財工具中，股票投資已成為投資獲利的主要管道之一；對投資者而言，有效的投資策略意謂可以獲得更高的報酬，而在眾多紛紜的投資策略當中，何種投資策略應用在股票上的獲利性最佳，即成為本研究欲探討目的因此，本研究希望透過實證以比較不同策略的績效，為投資者尋找一個較佳的投資策略。本研究資料來源取自CMoney法人投資決策支援系統，研究期間為2000年1月1日至2008年12月31日，以台灣證券交易所所有上市上櫃公司之普通股為研究對象。本研究以Overlapping的方式，透過 CMoney迴測系統進行投資策略之建構，以比較各種投資策略於不同持有期間的獲利，並針對不同市場條區分多空頭及盤整條件，以更完整地將投資策略作比較與分析。實證結果顯示：不考慮市場情況下，持有3個月以移動平均指標較佳，持有6個月以權益報酬投資法較佳，而價值投資法於12~24個月獲利性較佳。在多頭市場情況下，成長型投資法及權益報酬投資法在3~12個月皆能獲得3.5%以上報酬，而長期投資則以價值投資法獲利較高；在空頭市場情況下，移動平均策略於3~12個月具有顯著正報酬且獲利最高，而價值投資法則負報酬反轉為正報酬，且在長期持有下，獲利較其他策略高；在盤整市場情況下，短、中期持有以動能策略獲利最高，而長期持有則以成長型投資較佳。

關鍵字

移動平均指標 ； 價值投資法 ； 成長型投資法 ； 動能策略

並列摘要

Regarding to the research of investment strategy, it is always one of the researched focus in financial academia and practice field. Among every kind of investment tools, stock has been one of the main channels to make the profit. To investors, the efficient investment strategy means that it is able to get higher return. However among several investments strategies, what is the best strategy applied in stock to get highest profit is to become the purpose we would like to discuss in this research. Therefore, this researcher expects to compare different performances of the strategies by Empirical Evidence in order to look for the better investment strategy for the investors. The date is based on CMoney Juristic Person Investment Decision Support System in this research. The research period was from 1st January, 2000 to 31st December, 2008; the subjects were all listed companies in TSE and OTC. It structured the investment strategy by CMoney Back-testing System. It considered distinguished bull, bear and the correction market by different market conditions. The empirical results stood that if it is not to take into account the market conditions, the performance of holding period of three months is better based on the moving average indicator, it is better for six months based on Equity Approach, and it is better for twelve to twenty four months based on Valuation Approach, as table 1. In the bull, it made over 3.5% of return by Growth Investing and Equity Approach in three to twelve months and the return was the highest by Valuation Approach in the long term. In the bear, the return was significantly positive and the highest by the strategy of moving average for three to twelve months. The Valuation Approach transferred the negative to positive return and the profit was higher than other strategies in the long holing period. In the correction market, the profit was highest by Momentum Strategies in the short and middle term, and it was better by Growth Investing Approach in the long holding period.

並列關鍵字

Moving Averages ； Value Investing ； Growth Investing ； Momentum Strategy

參考文獻

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