景氣循環下之投資組合-以台股為例

Portfolio Selection over The Business Cycle – The Case of Taiwan Stock Market

徐美玉(Mei-Yu Shyu)

指導教授 ： 江長周

中原大學/商學院/國際經營與貿易研究所/碩士(2014年)

https://doi.org/10.6840/cycu201400743

摘要

本文利用馬可維茲「平均數-變異數」投資組合理論和效率前緣作為模型基礎並根據國家發展委員會所公布的景氣循環基準點及景氣同時指標循環波動劃分，景氣緊縮時期及景氣擴張時期。利用兩個不同的景氣階段去研究資產之間的變化，而研究主要投資資產為台灣股票。此外，也納入澳幣定存和美金定存作為台股以外的避險資產；以2002年6月至2013年6月的台股月報酬率、澳幣定存和美金定存的月報酬率作為研究資料，以探討台股跟外幣在不同的景氣階段及其投資報酬率及風險的變化。根據資產間的相關係數找出投資組合的風險分散程度；此外，並利用MV模型去探討投資組合資產配置權重的變化，透過過去資料找出台股跟景氣循環之間的相關性，能提供未來投資的方向。
經由實證結果顯示，在景氣擴張時期，台股投資報酬率比景氣緊縮時期好，而依據景氣階段調節資產配置的比例，能提高投資報酬率。此外，不同景氣階段會有特定產業類股較為突出，且納入外幣確實能達到趨避風險的效果，並能提高投資組合的投資報酬率。

關鍵字

景氣循環 ； 投資組合 ； MV模型

並列摘要

This paper uses Markowitz’s mean - variance portfolio theory and the efficient frontier as a model basis. According to the National Development Council, cyclical basis points and coincident indicators divide business cycle fluctuations into different business phases. The majority of the assets in this study is Taiwan Stock Market (TAIEX stocks) and in order to avoid all the fund in the same market, we selected AUD deposit and USD deposit as the hedge assets. Using the data from June 2002 to June 2013 we analyzed a portfolio of TAIEX stocks and foreign currency deposit to determine the variance of the return and risk, diversification of risk and the change of portfolio during different business phases. We found correlation between TAIEX stocks and foreign currency deposit through past data in order to provide guidance on investment decisions.
The result shows that utilizing different investment strategies during certain business phase can improve the return on investment. During each business phase, there will be a few TAIEX stocks that outperform others. Furthermore, adding foreign currency deposit has the effect of minimizing risk and increasing return on investment portfolio as well.

並列關鍵字

Portfolio Selection ； MV Model ； Business Cycle

參考文獻

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