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系統識別號 U0002-0608201213141500
中文論文名稱 跳躍對波動擇時策略之經濟價值-以台灣股票型投資組合為例
英文論文名稱 Jump for the Economic Value of Volatility Timing Strategy-Evidence from Stock-based Portfolio of Taiwan
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 100
學期 2
出版年 101
研究生中文姓名 程羽旋
研究生英文姓名 Yu-Hsuan Cheng
學號 699530704
學位類別 碩士
語文別 中文
口試日期 2012-05-05
論文頁數 71頁
口試委員 指導教授-邱建良
共同指導教授-洪瑞成
委員-黃博怡
委員-涂登才
委員-邱建良
委員-李命志
委員-洪瑞成
中文關鍵字 波動度  跳躍  擇時策略  經濟價值  夏普比率  效用績效服務費  周轉率 
英文關鍵字 Volatility  Jump  Timing Strategy  Economic Value  Sharpe ratio  Utility performance-fee  turn-over 
學科別分類 學科別社會科學商學
中文摘要 本文研究股票市場的報酬率和波動受到跳躍的干擾,比較其在不同擇時策略下之經濟價值。我們知道跳躍的發生是受到突發事件的干擾,所以跳躍是不可預測而且罕見的。跳躍會影響波動的穩定性,如果可以捕捉受到跳躍干擾的波動和報酬率並修正之,以致未來對波動與報酬率有更準確的預測,那隨時可以更精確地調整各項資產的權重,做更好的投資決策。本文樣本使用台灣六大類股的投資組合和台灣前50股中的6個股為投資組合,利用樣本內的波動預測樣本外的波動,比較各其投資組合之樣本外的資產配置策略之經濟價值,其策略分別為動態波動擇時策略與動態波動跳躍擇時策略並分析此兩種動態策略之經濟價值之比較。
英文摘要 This paper considers the return rate and volatility are intervened by jumps and then compares the economic value under revised return rate and volatility to not revised ones. We know that the occurances of jumps are affected by sudden events; thus, jumps are unpredictable and scarce and will affect the stability of volatility. We can adjust the weight of each asset precisely so that to make better invest decisions anytime. The study used two portfolios consisting of Taiwan’s six sectors and six stocks of Taiwan’s top 50 stocks respectively and compared the economic value of two dynamic asset allocation strategies under the two portfolios of out sample. The strategies are dynamic volatility timing strategy and dynamic jump volatility timing strategy.
論文目次 第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 3
第三節 研究架構 6
第二章 理論基礎與文獻回顧 7
第一節 波動度性質探討 7
第二節 跳躍探討 8
第三節 預測波動模型 9
第四節 波動擇時策略之經濟價值 12
第三章 研究方法 14
第一節 GARJI模型 14
第二節 平均數-變異數模型架構 17
第三節 DCC-GARCH 模型 18
第四節 績效測度 21
一、夏普比率測度 21
二、效用績效服務費測度 21
第四章 實證分析 23
第一節 資料與敘述統計 23
第二節 跳躍偵測與參數估計 25
第三節 最適權重配置 32
第四節 擇時策略之經濟價值比較 45
第五章 結論 60
參考文獻.. 62
一、國外文獻 62
二、國內文獻 69

表目次
表 一:類股與個股的各檔股票週報酬率之敘述統計.......................................... 25
表 二:GARJI 模型的週報酬率參數估計值......................................................... 29
表 三:類股投資組合之極大化報酬率在動態策略下的比較.............................. 47
表 四:個股投資組合之極大化報酬率在動態策略下的比較.............................. 50
表 五:類股投資組合之極小化波動率在動態策略下的比較.............................. 51
表 六:個股投資組合之極小化波動率在動態策略下的比較.............................. 52
表 七:類股投資組合之極大化報酬率的年份動態策略比較.............................. 56
表 八:類股投資組合之極小化波動率的年份動態策略比較.............................. 57
表 九:個股投資組合之極大化報酬率的年份動態策略比較.............................. 58
表 十:個股投資組合之極小化波動率的年份動態策略比較.............................. 59

圖目次
圖 一:營建類股之跳躍頻率、異質波動率之跳躍發生對應圖............................. 30
圖 二:塑化類股之跳躍頻率、異質波動率之跳躍發生對應圖............................. 30
圖 三:亞泥之跳躍頻率、異質波動率之跳躍發生對應圖.................................. 31
圖 四:裕隆之跳躍頻率、異質波動率之跳躍發生對應圖.................................. 31
圖 五:年份總跳躍次數直方圖............................................................................ 32
圖 六: 極大化利潤之下類股投資組合權重配置圖 (目標波動率=0.5%) ............. 35
圖 七: 極大化利潤之下類股投資組合權重配置圖 (目標波動率=1.5%) ............. 36
圖 八: 極小化風險之下類股投資組合權重配置圖 (目標報酬率=0.05%) ........... 37
圖 九: 極小化風險之下類股投資組合權重配置圖 (目標報酬率=0.15%) ........... 38
圖 十: 極大化利潤之下個股投資組合權重配置圖 (目標波動率=0.5%) ............. 41
圖 十一: 極大化利潤之下個股投資組合權重配置圖 (目標波動率=1.5%) ......... 42
圖 十二: 極小化風險之下個股投資組合權重配置圖 (目標報酬率=0.05%) ....... 43
圖 十三: 極小化風險之下個股投資組合權重配置圖 (目標報酬率=0.15%) ....... 44
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二、國內文獻
陳昱宏,(1995),利用DCC-CARR及DCC-GARCH模型求算商品期貨最適避險比率,國立中央大學財務金融系碩士論文。

黃維誠,(1999),在非對稱條件波動下風險值跳躍擴散模型之研究,國立成功大學統計學研究所碩士論文。

蘇欣玫、黃聖志、黃健銘與陳玉瓏,(1997),「美國存託憑證與相關變數動態傳效果之研究-以中國上市公司為例」,朝陽商管評論,第六卷第二期,頁57-74。

韋伯韜、陳信宏與謝邦昌,「應用成分資料統計於最佳投資組合信賴區間之研究」,投稿文章。

周雨田、巫春洲與劉炳麟,(2004),「動態波動模型預測能力之比較與實證」,財金論文叢刊,2004 年6 月第一期,頁1-23。

周雨田、陳唯帆與殷正華,(2011),「VIX對崩盤風險之避險功能分析」,期貨與選擇權期刊,第四卷第二期。

姜淑美、陳明麗與蔡佩珊,(2005),「國際股價指數現貨與期貨報酬外溢性及不對稱效果之研究」,經營管理論叢,第一卷第二期,頁23-29。

陳冠凱,(2005),波動度交易之風險與報酬-跳躍模型的應用,國立成功大學財務金融研究所碩士論文。

蘇欣玫、鄒易凭與邱建良,(2008),「利率波動對國際股市報酬之不對稱性效果」,東吳經濟商學學報,第62期,頁23-46。
李命志、陳志偉與黃小菁,(2006),「DCC多變量GARCH模型之風險值計算-G7及臺灣等八國股市投資組合之實證研究」,貨幣市場期刊,第十卷第一期。
翁妮玲,(2007),利用CCC與DCC模型估算能源期貨最適避險比率,國立交通大學經營管理研究所碩士論文。


曾亭碩,(2011),變幅波動於波動擇時策略之經濟價值:以股票型投資組合為例,淡江大學財務金融研究所碩士論文。

梁信舜,(2010),An Economic Evaluation of Range-based Covariance between Stock and Bond Returns with Dynamic Copulas,元智大學財務金融所碩士論文。
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