| 姓名 |
李健足(Chien-Chu Li)
查詢紙本館藏 |
畢業系所 |
會計研究所企業資源規劃會計碩士在職專班 |
| 論文名稱 |
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)
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| 相關論文 | |
| 檔案 |
 [Endnote RIS 格式]
[Bibtex 格式]
 [相關文章]  [文章引用]  [完整記錄]  [館藏目錄]  至系統瀏覽論文 (2027-7-8以後開放)
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| 摘要(中) |
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。
時間序列之研究結果，向量差數匡正模型（VECM）顯示，OTC、VIX對TSE都有長線關係，VIX對TSE長線負向，OTC對TSE長線正向。根據Granger因果判定，TSE與VIX有雙向回饋的因果關係；TSE對OTC有單向領先因果關係。根據衝撞反饋，TSE、VIX在面對來自本身衝撞時反饋最為激烈，OTC則是受到TSE的衝撞最劇烈；VIX與TSE二者之間確實存在長線負向影響關係；TSE對OTC全程影響高度顯著。
全部上市櫃個股及以時間序列之研究定錨，採XQ回測之結論，TSE對OTC，確實具有高強度的正向關係，且單向領先因果關係。在僅針對上櫃公司回測部分，TSE為因子之投資報酬率加總高居第一名，與時間序列Granger因果判定、衝撞反饋之分析完全相符。分別加總三個因子的「投報率加總」後，反映出了，因投資策略、入場時機的不同，OTC外生變數最弱，但依然可以在有效的投資組合運用下，獲得高於其他因子的報酬率。從時間加權報酬率解讀之數據可看出，全部因子TSE、VIX、OTC，都無可避免受到大趨勢影響，而一致性地有較好、較差的報酬率。因而可了解一點，TSE、VIX、OTC因子故然有影響投資績效，但大環境趨勢為何，影響卻是更為重大。
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| 摘要(英) |
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. |
| 關鍵字(中) |
★ XQ
★ 回測
★ 加權指數
★ 櫃買指數
★ 台指VIX
★ 影響力
★ 社會投資報酬率 |
關鍵字(英) |
★ XQ
★ backtesting
★ TSE
★ OTC
★ Taiwan VIX
★ Impact
★ SROI |
| 論文目次 |
摘要...............................................................................................................................i
Abstract ........................................................................................................................ii
誌謝..............................................................................................................................iv
目錄 .............................................................................................................................v
圖目錄 .......................................................................................................................viii
表目錄 ........................................................................................................................x
一、 緒論 ....................................................................................................................1
1-1 研究背景 ..........................................................................................................1
1-2 研究動機 ..........................................................................................................2
1-2-1 時間序列探討相關指數..............................................................................2
1-2-2 回測（Backtesting）之有關研究...............................................................3
1-3 研究目的 ..........................................................................................................6
1-3-1 時間序列方法...............................................................................................6
1-3-2 回測驗證（Backtesting）方法.....................................................................6
1-4 研究架構...........................................................................................................8
1-5 研究流程 ..........................................................................................................9
二、 文獻探討 ..........................................................................................................10
2-1 TSE、OTC、台指VIX指數間關聯 .................................................................10
2-2 程式交易回測相關文獻 ...................................................................................11
三、 研究方法 ..........................................................................................................13
3-1 研究區域與資料來處 ......................................................................................13
3-2 重要名詞解釋.................................................................................................14
3-3 時間序列方法.................................................................................................15
3-3-1 單根判定 .................................................................................................15
3-3-2 Johansen共整合判定 .............................................................................16
3-3-3 向量差數匡正模型（VECM）..................................................................17
3-3-4 Granger因果判定....................................................................................18
3-3-5 變異數拆分（Variance Decompositions）...............................................19
3-3-6 衝撞反饋（Impulse Response Function）...............................................19
3-4 回測驗證（Backtesting）...............................................................................20
3-4-1 華倫巴婓特選股法...................................................................................20
3-4-1-1 台灣全部上市櫃公司之選股................................................................20
3-4-1-2 以時間序列之研究結論定錨，僅針對台灣上櫃公司之選股..................21
3-4-1-3 財務面基本指標說明...........................................................................22
3-4-2 投資策略.................................................................................................23
3-4-3 K棒、均線為基礎之入場時機.................................................................24
3-4-4 XQ程式交易系統回測............................................................................24
3-4-5 以時間加權報酬率法解讀結論................................................................26
四、 實證結果分析 ..................................................................................................28
4-1 資料前置處理 ...............................................................................................28
4-2 時間序列之結果.............................................................................................29
4-2-1 Eviews參數調整.....................................................................................29
4-2-2 ADF、KPSS單根判定 ...........................................................................30
4-2-2-1 曲線圖.................................................................................................31
4-2-2-2 相關圖（correlogram）.....................................................................33
4-2-2-3 ADF單根判定..................................................................................36
4-2-2-4 KPSS單根判定................................................................................38
4-2-2-5 一階差分............................................................................................40
4-2-3 最適落後期數..........................................................................................42
4-2-4 Johansen共整合判定.............................................................................43
4-2-5 向量差數匡正模型（VECM）..................................................................44
4-2-6 Granger因果判定....................................................................................45
4-2-7 變異數拆分（Variance Decompositions）...............................................46
4-2-8 衝撞反饋（Impulse Response Function）...............................................47
4-2-8-1 衝撞反饋圖.........................................................................................48
4-2-8-2 衝撞反饋分析具體數據.......................................................................50
4-2-9 時間序列之研究結論................................................................................52
4-3 回測驗證（Backtesting）呈現.......................................................................53
4-3-1 華倫巴婓特選股法...................................................................................53
4-3-2 K棒、均線為基礎之入場時機.................................................................59
4-3-3 XQ程式交易系統回測..............................................................................67
4-3-3-1 交易成本...........................................................................................67
4-3-3-2 回測數據與曲線圖.............................................................................68
4-3-3-3 時間加權報酬率法之結論..................................................................87
五、 結論..................................................................................................................89
5-1 時間序列之研究結論 .....................................................................................89
5-1-1 時間序列目的回顧.....................................................................................89
5-1-2 結論...........................................................................................................89
5-2 全部上市櫃個股及以時間序列之研究定錨，採XQ回測之結論......................90
5-2-1 回測驗證（Backtesting）目的回顧...........................................................90
5-2-2 結論...........................................................................................................90
5-2-2-1 回測（Backtesting）與時間序列研究相符..........................................90
5-2-2-2 投資影響解析......................................................................................90
5-3 總結................................................................................................................92
5-4 研究的限制與未來提議...................................................................................93
參考文獻.....................................................................................................................94 |
| 參考文獻 |
國內文獻
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〔2〕邱定鴻：〈探討VIX恐慌指數與股價報酬之間的線性與非線性關係-以亞洲六國及美國股市為例〉。碩士論文，國立中正大學，民國105年7月。
〔3〕陳志杰〈台灣大型權值股股價報酬與VIX指數、黃金報酬之關聯性分析〉。碩士論文，國立臺北大學，民國100年6月。
〔4〕施瓊如〈VIX指數與美國債市、匯市、股市趨勢之探討〉。碩士論文，國立高雄第一科技大學，民國106年6月。
〔5〕劉惠真〈以VIX指數建構股市投資策略〉。碩士論文，國立高雄應用科技大學，民國106年6月。
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〔8〕謝俊宏：〈台灣加權指數、金融類股指數與金融個股價格關聯之分析〉。碩士論文，嶺東科技大學，民國102年6月。
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〔11〕徐瓊茹：〈透過技術指標建構程式交易系統驗證是否能夠打敗標竿指數績效-以富邦科技成分股為例〉。碩士論文，國立臺北商業大學，民國108年6月。
〔12〕李雅璇：〈以巴菲特選股模式建構基本面投資組合：在台股之實證研究〉。碩士論文，國立中央大學，民國101年6月。
〔13〕楊美霞：〈台灣加權股價指數與美國三大股價指數關聯性之研究〉。碩士論文，嶺東科技大學，民國108年12月。
〔14〕施佳恩：〈台灣加權指數、匯率、那斯達克指數之關聯性研究〉。碩士論文，國立高雄應用科技大學，民國103年6月。
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國外文獻
〔1〕Gil Cohen, “Is it Profitable to Invest According to the VIX Fear Index?” ISSN 1548-6583 January 2011, Vol. 7, No. 1, pp.86-90
〔2〕James Kozyra and Camillo Lento, “Using VIX data to enhance technical trading signals.” Faculty of Business Administration, Lakehead University, 16 Mar 2011.
〔3〕Qiaosheng Yu, “A tool for securities analysis and trading strategy back-testing.” Computer and Information Sciences, Graduate, Harrisburg University of Science and Technology, 15 April 2020.
〔4〕Jiarui Ni and Chengqi Zhang, “An Efficient Implementation of the Backtesting of Trading Strategies.” Faculty of Information Technology, University of Technology, 2007.
網路資料
〔1〕許繼元：〈TWRR時間加權平均報酬 vs MWRR資金加權平均報酬 完整解析-和IRR一樣嗎？〉，2022年2月23日，取自https://rich01.com/what-is-twrr-vs-mwrr/。
〔2〕嘉實資訊股份有限公司：〈策略雷達回測功能：「回測報告」說明〉，2018年7月31日，取自https://www.xq.com.tw/lesson/sensor/%E7%AD%96%E7%95%A5%E9%9B%B7%E9%81%94%E5%9B%9E%E6%B8%AC%E5%8A%9F%E8%83%BD%EF%BC%9A%E3%80%8C%E5%9B%9E%E6%B8%AC%E5%A0%B1%E5%91%8A%E3%80%8D%E8%AA%AA%E6%98%8E/。 |
| 指導教授 |
許秉瑜(Ping-Yu Hsu)
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審核日期 |
2022-7-11 |
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