南華大學機構典藏系統:Item 987654321/28830
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    题名: 以外資成交量為指標之投資組合實證分析：台灣上市公司為例
    其它题名: The Empirical Analysis of Foreign Capital Turnover Portfolio in Taiwan Listed Market
    作者: 蔡清福
    TSAI, CHING-FU
    貢獻者: 財務金融學系財務管理碩士班
    廖永熙
    LIAU, YUNG-SHI
    关键词: 外資成交量;投資策略;多頭市場與空頭市場
    Foreign capital turnover;investment strategy;Bull and Bear market
    日期: 2021
    上传时间: 2022-08-16 13:24:00 (UTC+8)
    摘要: 　　投資台灣全體上市公司、電子股公司與非電子股公司，以L(低外資成交量公司)報酬績效最高，並提供了另一種投資策略。也從台灣全體上市公司、電子股公司與非電子股公司累積報酬走勢圖，發現採用外資成交量策略建議投資電子股公司L(低外資成交量公司)累積報酬績效最佳。　　本研究以台灣全體上市公司及區分電子類股和非電子類股作為研究對象，台灣各上市公司依照公司規模區分，資料從以2010年1月至2020年9月每個月公告外資成交量比重資料建立投資組合策略。研究及利用每個月外資成交量為輔助之多空時期，找尋股票買賣最佳的轉折點，獲得最佳預期之報酬。本研究實證結果顯示如下：一.以外資成交量為投資策略時，以低外資成交量公司之報酬績效最高；以合併報酬之走勢圖觀察看來，發現以低外資成交量投資策略對投資非電子股公司有較高的報酬績效。二.多空時期下，低外資成交量在台灣全體上市公司與非電子類股有顯著的影響。
    　　Investing in all listed companies, electronic stock companies and non-electronic stock companies in Taiwan, L (low foreign trading volume company) has the highest return performance and provides another investment strategy.From the cumulative return chart of all listed companies, electronic stock companies and non-electronic stock companies in Taiwan, it is found that adopting the foreign trading volume strategy recommends investing in electronic stock company L (low foreign trading volume company) with the best cumulative return performance.　　In this study, all listed companies in Taiwan distinction between electronic and non-electronic stocks and shares for the study, Taiwan's listed companies in accordance with the size of the company to distinguish, with data from January 2010 to September 2020 monthly bulletin volume proportion of foreign investment Information to build a portfolio strategy. Research and use the long-short period supplemented by the monthly foreign trading volume to find the best turning point in stock trading and obtain the best expected return.The empirical results of this study are as follows：1. When using foreign trading volume as an investment strategy, companies with low foreign trading volume have the highest return performance； observing the trend chart of combined returns, it is found that low foreign trading volume investment strategies have a higher effect on investing in non-electronic stock companies. Compensation performance.2. In the long-short period, low foreign trading volume has a significant impact on all listed companies and non-electronic stocks in Taiwan.
    显示于类别:[財務金融學系(財務管理碩士班)] 博碩士論文

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