English  |  正體中文  |  简体中文  |  Items with full text/Total items : 78852/78852 (100%)
Visitors : 36138408      Online Users : 3315
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version

    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/89683

    Title: 探討加權指數、櫃買指數、台指VIX關聯,並以回測驗證在台股投資之效益;The result of verifying the benefits of investing in Taiwan stocks by backtesting using an empirical study of the relationships between the TSE, OTC and TAIWAN VIX
    Authors: 李健足;Li, Chien-Chu
    Contributors: 會計研究所企業資源規劃會計碩士在職專班
    Keywords: XQ;回測;加權指數;櫃買指數;台指VIX;影響力;社會投資報酬率;XQ;backtesting;TSE;OTC;Taiwan VIX;Impact;SROI
    Date: 2022-07-11
    Issue Date: 2022-10-04 11:52:33 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 探討TSE、OTC、台指VIX關聯,並以回測驗證在台股投資之效益。本文獻先以時間序列的單根判定,判別資料是否定態,接著以Johansen共整合判定,評估有無長線平衡關係。若有,以向量差數匡正模型(Vector Error Correction Model, VECM)跑迴歸。針對迴歸之結果以Granger因果判定、變異數拆分、衝撞反饋,來衡量三者變數間的關係。再將此時間序列之結果,作為回測驗證(Backtesting)的定錨錨點,以華倫巴婓特選股法作為選股標準,投資策略為買進持有(Buy and Hold)及波段(Band Trade),TSE、OTC、台指VIX則為進、出場因子的36種投資組合,採回測方式驗證此三變數在台股投資之效益。

    ;Explore the relationship between TSE, OTC, and Taiwan VIX, and verify the benefits of investing in Taiwan stocks with backtesting. In this paper, Unit Root Test of the time series is used to determine whether the data is in a stationary state, and then the Johansen Cointegration Test is used to evaluate whether there is a long-term equilibrium relationship. If so, run the regression with the Vector Error Correction Model. For the regression results, Granger Causality Test, Variance Decomposition, and Impulse Response Function are used to measure the relationship between the three variables. The results of this time series are then used as the anchor point for the backtesting verification, and the Buffett′s Stock Selection Method is used as the stock selection standard. The investment strategy is Buy and Hold, and Band Trade. TSE, OTC, and Taiwan VIX are 36 investment portfolios of entry and exit factors. Backtesting is used to verify the benefits of investing in Taiwan stocks for these three variables.
    The research results of time series, the VECM shows that OTC and VIX have a long-term relationship with TSE, VIX has a negative long-term relationship with TSE, and OTC has a long-term positive relationship with TSE. According to the Granger Causality Test, TSE and VIX have a two-way feedback causal relationship; TSE has a one-way leading causal relationship with OTC. According to IRF, the TSE and VIX have the most intense feedback when facing the collision from themselves, while the OTC is the most violently impacted by the TSE; there is indeed a long-term negative relationship between the VIX and the TSE; the TSE has a highly significant impact on the OTC throughout the process. .
    All listed OTC stocks are anchored by time series research, and the conclusion of XQ backtesting is that TSE does have a high-strength positive relationship with OTC, and one-way leading causality. In the part of backtesting only for listed companies, TSE is the factor with the highest ROI, which is completely consistent with the analysis of time series Granger Causality Test and IRF. After summing up the "Return rate of Summation" of the three factors respectively, it reflects that due to different investment strategies and entry timings, OTC exogenous variables are the weakest, but they can still be used in an effective investment portfolio. From the data of time-weighted rate of return interpretation, it can be seen that all factors TSE, VIX, OTC are inevitably affected by the general trend, and consistently have better and worse rates of return. Therefore, it can be understood that TSE, VIX, and OTC factors have an impact on investment performance, but the impact of the general environmental trend is more significant.
    Appears in Collections:[企業資源規劃(ERP)會計碩士在職專班] 博碩士論文

    Files in This Item:

    File Description SizeFormat

    All items in NCUIR are protected by copyright, with all rights reserved.

    社群 sharing

    ::: Copyright National Central University. | 國立中央大學圖書館版權所有 | 收藏本站 | 設為首頁 | 最佳瀏覽畫面: 1024*768 | 建站日期:8-24-2009 :::
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 隱私權政策聲明