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題名 | 臺灣股價指數期貨間交互效果與反向投資獲利性之研究=Cross Effect among Stock Index Futures and Contrarian Profit in Taiwan |
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作 者 | 盧智強; | 書刊名 | 德明學報 |
卷期 | 23 2004.06[民93.06] |
頁次 | 頁89-112 |
分類號 | 561.76 |
關鍵詞 | 反向投資; 買進持有; 交互效果; 網狀因果關係; Contrarian strategy; Buy and hold strategy; Cross effect; Net causality; |
語文 | 中文(Chinese) |
中文摘要 | 本研究主要目的是根據Lo & MacKinlay (1990a)文獻中對於反向投資策略的獲利性主要來源為論點,他們認為當股票報酬間具有規律的領先或落後關係(亦謂交互效果)時,即使股票報酬並不存在負自我相關,採反向操作策略仍可獲得正的利潤。故本研究先採用Chen & Lee (1990)網狀因果關係法,探討臺股指數期貨間是否有領先落後關係。實証結果發現,加權股價指數(JS)領先金融臺指期貨(TF)、加權股價指數(JS)領先小型臺指期貨(MTX)、臺股指數期貨(TX)領先小型臺指期貨(MTX),其餘大部份組合都顯示具有同期影響關係與回饋關係。再依上述結果採Lo & MacKinlay (1990a)之方法建立投資組合,驗證等權(equal weight)、值權(value weight)投組反向投資策略及買進持有策略之獲利性比較。模擬結果發現以具有交互效果的期指所構建的投資組合,再採用值權反向投資策略的獲利性確實存在顯著的獲利性。 |
英文摘要 | The purpose of research is based on the main source of profitability of Contrarian Strategy. The Nested Causality Test presented by Chen & Lee in 1990 has been utilized to find out among Taiwan Stock Index futures the Cross Effect (Lo & Mackinlay, 1990a), which shows even if the return does not exist negative autocorrelation (overreaction), we can still obtain the positive profit by adopting contrarian strategy. We can in turn set up investment portfolio to replace the traditional setting-up way of the loser-winner investment portfolio. The findings include the Weighted Stock Index lead Banking & Insurance Sector Index Future (TF) and Mini-TAIEX Future (MTX), and Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) Future lead Mini-TAIEX Future. Simulation result finds exactly that investment portfolio with Cross Effect paired with value-weight contrarian strategy can gain long-term average return significantly. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。