| DC 欄位 |
值 |
語言 |
| DC.contributor | 資訊管理學系 | zh_TW |
| DC.creator | 林柏年 | zh_TW |
| DC.creator | Bo-Nian Lin | en_US |
| dc.date.accessioned | 2022-7-7T07:39:07Z | |
| dc.date.available | 2022-7-7T07:39:07Z | |
| dc.date.issued | 2022 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=109423060 | |
| dc.contributor.department | 資訊管理學系 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.abstract | 在股票市場會將位於相同產業之公司歸於同一類當中形成類股，由於同一類股內的公司屬於同一產業所進行的商業活動大致相同，因此產業趨勢以及所受到的外部經濟影響也趨於一致，因此同一類股內的股票走勢彼此之間具備高度的關聯性。現今類股輪動被動輪動策略之研究大多著重於價格動能，然而根據過往之文獻顯示成交量動能也對股票之未來走勢習習相關，卻鮮少被納入類股輪動之討論範圍，對此本研究參考了許正諺（2021）之研究，對該研究進行延伸探討。
本研究針對許正諺（2021）之研究所提出的成交量動能因子進行跨類股正規化，並對所有動能因子進行正反項選股交叉驗證，並將上述類股選擇方式套用至美股各不同大盤加權指數所包含的公司當中以驗證各項不同挑選方式對類股輪動被動輪動策略之影響。
呈上所述，為驗證上述之各項挑選原則，本研究將建置一個類股輪動量化交易回測系統並利用此系統進行績效回測以驗證各項挑選原則之績效。實驗結果顯示不同公司範圍所試用之類股輪動被動投資策略有很大的異質性，且當採用類股輪動被動輪動投資策略時會出現大者恆大贏者通吃的現象。 | zh_TW |
| dc.description.abstract | In the stock market, companies in the same industry will be grouped into the same class to form Sector. Since companies in the same Sector belong to the same industry and carry out roughly same business activities, the industry trends and external economic impacts also tend to be alike, so the movements of stocks in the same Sector are highly correlated with each other. Most of the current research on the Sector rotation strategies cultivated on the price momentum. However, according to the literature, it shows that the volume momentum is also related to the future trend of the stock, but it is rarely included in the discussion of Sector rotation. This study refers to the research of 許正諺 (2021), and extends this research.
Volume momentum for strategies impacts was studied by 許正諺 (2021), and this research would focus on the cross-sector normalization of the all momentum factors which included volume momentum, and those factors were cross-checked for positive and negative stock selection. The above-mentioned Sector selection methods were applied to U.S. stocks index to verify the influence of different selection methods on the Sector rotation strategies.
To sum up, in order to verify the above selection principles, a quantitative Sector rotation backtesting system will be built and used to test the performance. The experimental results demostrate that there is great heterogeneity in the Sector rotation strategies used in different index, and when using the Sector rotation strategies, there is a phenomenon that the winner will take all on market. | en_US |
| DC.subject | 類股輪動 | zh_TW |
| DC.subject | 動能投資 | zh_TW |
| DC.subject | 成交量動能 | zh_TW |
| DC.subject | 跨類股正規化 | zh_TW |
| DC.subject | 移動窗格 | zh_TW |
| DC.subject | 量化交易 | zh_TW |
| DC.subject | Sector Rotation | en_US |
| DC.subject | Momentum Investing | en_US |
| DC.subject | Volume Momentum | en_US |
| DC.subject | CrossSector Normalization | en_US |
| DC.subject | Walk Forward Analysis | en_US |
| DC.subject | Quantitative Trading | en_US |
| DC.title | 以量化交易驗證類股輪動策略之挑選原則與績效評估— 以美股為例 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.title | Evaluating the Selection Criteria for Sector Rotation via Quantitative Trading on Stocks in Major U.S. Exchanges | en_US |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |