被動式管理投資策略興起，股票指數型基金成為投資新寵，而股價指數為被動式投資商品之追蹤標的，其重要性亦與日俱增。隨著金融商品不斷創新，股價指數也出現新樣貌，編製方式或選股條件、資格等，都有新的創舉。本研究嘗試以連續機率比檢定模式，以股票之報酬率進行股價指數成分股之篩選，探討是否能有優於現行股價指數之表現。採樣期間為2001年9月至2008年12月，依台灣上市上櫃股票分別編製50、100指數、產業類指數及大、中、小型股指數，並與相應之基準指數比較。
上市及上櫃50、100指數全期間之績效均優於基準指數，上市上櫃產業指數均有半數以上指數優於基準指數。上市指數中以上市電機機械指數表現最佳，於各項比較下均優於基準指數。上櫃部分則以電子業及化學生技醫療表現較佳。

Because of development of passive investment strategy, the exchange traded funds become the most popular investment tool. The stock index is the tracing sign of passive investment commodity, so it becomes more and more important. As well as the innovation of financial product, the stock index also presents with a new appearance. For instance, the construction way and choosing condition and qualifications all have the new pioneering work. This research uses the Sequential probability ratio test to select stock shares through stock month return, and compare the performance, whether it could defeat the current stock index. Sampling period was from September, 2001 to December, 2008, and constructing 50 index and 100 index, industrial stock index and large-cap, med-cap and small-cap stock index separately, according to TSE and OTC listed company in Taiwan, and compared them with the corresponding benchmark.
The entire period performance of TSE & OTC 50 and 100 indexes all surpass the benchmark. Industrial stock index have more than half index surpassing the benchmark. TSE electrical machinery index which surpasses the benchmark under each comparison is the best among TSE stock indexes. OTC electronic and Chemical, Biotechnology and Medical Care index is the best of OTC stock indexes.

第壹章  緒論------------------------1
第一節  研究背景與動機--------------1
第二節  研究限制--------------------5
第三節  研究架構--------------------6
第貳章  文獻回顧--------------------7
第一節  主動式與被動式管理投資策略--7
第二節  股價指數相關文獻------------11
第三節  指數股票型基金相關文獻------33
第四節  績效衡量方法----------------48
第叁章  研究方法--------------------52
第一節  指數編製模型----------------52
第二節  樣本來源及期間--------------54
第三節  實證方法--------------------54
第肆章  實證結果--------------------56
第一節  上市股票績效結果------------56
第二節  上櫃股票績效結果------------69
第伍章  結論與建議------------------76
第一節  結論------------------------76
第二節  建議------------------------78
參考文獻----------------------------79
圖目錄
圖1-1  全球ETF資產總額及數量	2
圖2-1  ETF架構圖	36
圖2-2  全球指數股票型基金之種類圖	39
圖3-1  SPRT決策流程	53
表目錄
表1-1 亞洲ETF發展現況(截至2008年二月底)	3
表1-2 2008年二月底之ETF資產管理規模前十大排名	4
表2-1 風格指數分類表	12
表2-2  Russell指數成分股選取及指數類別	16
表2-3 指數分類表	22
表2-4 台灣指數系列簡介與特色	27
表2-5 ETF發行架構比較	34
表2-6 ETF與基金、股票特性比較	37
表2-7 國內指數股票型基金與一般共同基金之平均經理費用比較	38
表2-8 ETF投資取向分類	40
表2-9台灣ETF基本資料	47
表4-1  上市50、100指數績效結果(200109~200812)	56
表4-2  上市50、100指數績效結果分年探討	57
表4-3  上市50、100指數多空頭市場績效結果	57
表4-4  上市50、100指數多空頭年度績效結果	58
表4-5  上市產業類股指數績效結果(200109~200812)	59
表4-6  上市產業類股指數各年度績效結果	60
表4-7  上市產業類股指數多空頭市場績效結果	63
表4-8  上市產業類股指數多空頭年度績效結果	64
表4-9  上市大、中、小型股指數績效結果	66
表4-10  上市50、100指數及大型股指數與台灣50績效比較(200208~200812)	67
表4-11  上市50、100指數及大型股指數各年度績效結果	67
表4-12  上市50、100指數及大型股指數多空頭市場績效結果	68
表4-13  上市50、100指數及大型股指數多空頭年度績效結果	68
表4-14  上櫃50、100指數績效結果(200109~200812)	69
表4-15  上櫃50、100指數分年績效結果	69
表4-16  上櫃50、100指數多空頭市場績效結果	70
表4-17  上櫃50、100指數多空頭年度績效結果	70
表4-18  上櫃產業指數績效結果(200109~200812)	71
表4-19  上櫃產業指數分年績效結果	72
表4-20  上櫃產業指數多空頭市場績效結果	73
表4-21  上櫃產業指數多空頭年度績效結果	74
表4-22  上櫃中型、小型股指數績效結果	75

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