以完全複製不定期調整方式建構指數股票型基金之績效研究; The performance research of complete duplication in order to adjust the way from time to time simulation of the stock index fund

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/12440

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12440

Title:	以完全複製不定期調整方式建構指數股票型基金之績效研究;The performance research of complete duplication in order to adjust the way from time to time simulation of the stock index fund
Authors:	胡建熙;CHIEN-HIS HU
Contributors:	財務金融學系碩士在職專班
Keywords:	指數股票型基金;寶來台灣卓越50 基金;50 Polaris Taiwan Excellence Fund;stock index fund
Date:	2009-06-20
Issue Date:	2009-09-22 14:49:20 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究以完全複製法不定期調整方式模擬指數股票型基金，並以寶來台灣卓越50 基金(英文簡稱TTT)，2009 年第一季之成份股為研究標的，探討股價報酬與振幅波動之間的關係，再以報酬率分析探究異常振幅波動對於標的股股價未來走勢與報酬之影響，最後再以此異常振幅波動值所建構之不定期調整交易策略，以寶來台灣卓越50 基金2009 年第一季之成份股為樣本，經由不定期的股數調整，觀察與原建構方式所形成的投資組合報酬率是否不同，實證結果顯示異常的振幅波動對於標的股之未來報酬存在影響，而以此振幅波動值作為持股調整依據之投資組合報酬率，優於原建構方式及追蹤標的之報酬率。 Complete duplication of this study way in order to adjust the way from time to time simulation of the stock index fund and 50 Polaris Taiwan Excellence Fund ( abbreviation TTT), The first quarter of 2009 for the study of the constituent stocks of the subject, Investigate the price paid and the relationship between the esceptionally range fluctuations,Further analysis to explore the abnormal return on the esceptionally of range fluctuations in stocks for the future direction of the subject and the impact of reward, Finally, the esceptionally of range fluctuations in the value of this anomaly constructed from time to time to adjust the trading strategy, Polaris Taiwan Excellence in Fund 50 in the first quarter of 2009, the constituent stocks for the sample, The shares from time to time by the number of adjustments, Observation of the manner in which the original construction of the formation of return on the investment portfolio is different。
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

Files in This Item:

File	Size	Format

社群 sharing

Loading...