景氣循環下的投資策略 – 以台灣股市為例

股市作為總體經濟的晴雨表，股價的表現與經濟運行的週期存在一定的相關性，投資人自然無法忽略景氣循環對於資產價格的影響。本文研究目的在於：探討是否存在簡易的景氣轉折判斷原則可供投資人近用，並且透過適當的景氣階段判斷原則找出轉折點後，觀察每個景氣階段中台灣股市類股輪動的情形，接著透過上述結果組成投資策略，檢視與景氣循環相關的投資策略是否能夠擊敗大盤。考量景氣循環指標由1982年1月起編、工業生產指數由1996年1月起編、占台灣股市市值過半的電子類股指數在2007年7月由一類細分出八類指數，本研究所使用的資料範圍分別為：1982年1月至2020年12月的景氣循環指標、1996年1月至2020年12月的工業生產指數與通貨膨脹率、2007年7月至2020年12月的台灣上市公司類股指數。根據研究結果指出：利用Harding and Pagan判斷原則搭配同時指標，可以得到近似於國發會所公布的景氣循環，且結合Dagnino以及美林時鐘景氣階段切分方法後，採取1) 低谷買進大盤指數、高峰賣出大盤指數、2) Dagnino類股輪動策略、3) 美林時鐘類股輪動策略，在不考量交易成本的狀況下，在樣本內的數據中皆能獲得超越長期持有大盤的報酬。

關鍵字

景氣循環； Harding and Pagan ；類股輪動策略

並列摘要

As the barometer of macroeconomic, the stock market correlates with the business cycle to some extent, thus investors cannot neglect the fact that business cycle cause significant impact to asset price. The objective of this research is to examine whether a simple measure to identify the turning points of business cycle exists, and use it to properly divide the business cycle to capture the industries with promising growth. Combining the results above, it is possible that investors could create some investment strategies to beat the benchmark. Considering the facts that business indicators started in January 1982, industrial production index was established in January 1996, TWSE sector indices with electronic further divided into 8 subsector indices were formed in July 2007, business indicators from January 1982 to December 2020, industrial production index and inflation rate data from January 1996 to December 2020, and TWSE sector indices from July 2007 to December 2020 were used in this research. The results of this research indicated that investors are able to identify the turning points of business cycle similar to those announced by National Development Council (Taiwan) by themselves through applying the measure proposed by Harding and Pagan with coincident indicator. Combining the rules suggested respectively by Dagnino and Merrill Lynch to divide the business cycle with the TWSE sector indices, investors could exercise the strategies like 1) buy in when business cycle peaks, sell out when business cycle bottoms, 2) Dagnino rotation strategy, 3) Merrill Lynch rotation strategy to beat the benchmark without considering the trading costs.