低波動度投資組合交易策略分析

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姓名

楊蓁(Chin Yang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

低波動度投資組合交易策略分析
(Low Volatility Portfolio Trading Strategy)

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摘要(中)

低波動度異常現象(Low Volatility Anomaly)是違反傳統財務理論高風險高報酬的現象，低風險資產卻有高報酬。本文除了驗證台灣股票市場具低波動度異常現象之外，試圖加入市場風險因素，解釋造成低波動異常現象的可能原因，並探討低波動度投資組合是否能夠預測市場風險，最後以持有期間的不同做低波動度交易策略分析。透過三種風險分類和不同估計期間，找出最適的分類方式是估計期為一個月的獨特風險，進而從研究結果證實台灣市場確實具低波動度異常現象，並發現在市場風險高時，能擴大低波動度投資組合的報酬，且前一期的低波動度投資組合能夠預測市場風險，而低波動度交易策略是屬於短期投資策略。

摘要(英)

The low risk asset will earn high return, which is contrary to the traditional financial theory, and this phenomenon is called low volatility anomaly. This paper is about the relationship between low volatility portfolio return and market risk. First, verifying whether Taiwan stock market has low volatility anomaly phenomenon and whether market risk can explain low volatility portfolio return. Then, testing whether low volatility portfolio can predict market risk. Finally, analyzing low volatility trading strategy.
The results show that the Taiwan stock market indeed has low volatility anomaly phenomenon and market risk will influence low volatility portfolio return, so low volatility portfolio return can be an indicator to predict market risk. In addition, low volatility trading strategy belong to short-term strategy.

關鍵字(中)

★ 低波動度異常現象
★ 獨特風險
★ 交易策略

關鍵字(英)

★ Low Volatility Anomaly
★ Idiosyncratic Volatility
★ Trading Strategy

論文目次

中文摘要 ..................................... i
英文摘要 .................................... ii
目錄 ....................................... iii
圖目錄 ....................................... v
表目錄 ...................................... vi
一、緒論 .................................... 1
1-1 研究動機 ................................. 1
1-2 研究目的 ................................. 2
1-3 本文架構 ................................. 3
二、文獻回顧 ................................ 4
2-1 獨特風險 ................................. 4
2-2 低波動異常現象 ............................ 5
三、研究方法 ................................. 8
3-1 研究假說 ................................. 8
3-2 研究架構 ................................. 9
3-3 研究對象 ................................ 10
3-4 變數說明 ................................ 11
3-4-1 股價報酬定義 .......................... 11
3-4-2 標的風險定義 .......................... 11
3-4-3 市場風險定義 .......................... 12
3-5 投資組合建立方式 ........................ 13
四、研究結果 ............................... 15
4-1 低波動度異常現象 ........................ 15
4-1-1 估計期：1 個月 ........................ 16
4-1-2 估計期：3 個月 ........................ 19
4-1-3 估計期：6 個月 ........................ 22
4-1-4 估計期：12 個月 ....................... 25
4-1-5 總結 ................................. 28
4-2 市場風險與低波動度投資組合報酬 ............ 30
4-3 低波動度投資組合報酬對市場風險的預測性 ..... 32
4-3-1 市場風險t-2 期、標的風險t 期 ........... 35
4-3-2 市場風險t-1 期、標的風險t 期 ........... 37
4-3-3 市場風險t 期、標的風險t 期 ..............38
4-3-4 市場風險t+1 期、標的風險t 期 ........... 40
4-3-5 市場風險t+2 期、標的風險t 期 ........... 42
4-4 低波動度交易策略實證 ..................... 44
五、結論 ................................... 47
參考文獻 .................................... 48
附錄一景氣對策信號（Monitoring indicator） .. 50
附錄二投資組合建立範例 ...... ................51

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指導教授

吳庭斌(Ting-Pin Wu)

審核日期

2017-1-9

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