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| Title: | 檢測價格泡沫與建構泡沫投資組合之績效分析: 台灣上市股票之實證研究
Testing bubbles and analyzing the performance of bubble portfolio: empirical research of Taiwan’s exchange listed company |
| Authors: | 郭獻聰
Guo, Sian Cong |
| Contributors: | 林士貴
郭獻聰
Guo, Sian Cong |
| Keywords: | SADF
GSADF
右尾單根檢定
泡沫
投資組合
SADF
GSADF
Right-Sided Unit Root Tests
Bubble
Portfolio |
| Date: | 2017 |
| Issue Date: | 2017-07-11 11:32:13 (UTC+8) |
| Abstract: | 本研究根據Phillips, Wu and Yu (2011)以及後續相關文獻所提出的檢測泡沫模型對台灣市場以及NASDAQ指數進行實證研究。本文使用的模型分別為PWY模型、PSY模型、Rolling Window ADF，以及我們參考PSY模型與Rolling Window ADF所建構出的Rolling Window BSADF。我們利用上述四種模型對NASDAQ指數進行泡沫檢測，以及在台灣上市公司股票中建構投資泡沫投資組合與不投資泡沫投資組合。實證結果顯示投資泡沫投資組合績效優於不投資泡沫投資組合，此結果與Guenster et al. (2009)相同，同時本研究所建構的Rolling Window BSADF在投資績效上優於另外三種模型；此外對NASDAQ指數的檢測發現Rolling Window BSADF 具有檢定結果獨立於起始點的選取與不受週期性泡沫破裂影響等優點，故綜合以上實證結果，Rolling Window BSADF 對於泡沫的檢測與建構泡沫投資組合的績效明顯優於另外三種模型。
This paper used the bubble examination model according to Phillips, Wu and Yu (2011) and following papers to conduct empirical research on Taiwan market and NASDAQ index. The models used in this paper are PWY model, PSY model, Rolling Window ADF and Rolling Window BSADF that referred to the PSY model and the Rolling Window ADF. We tested NASDAQ index through the above models to test the bubbles, and constructed the portfolio of investing bubbles against not investing. The result shows that the portfolio of investing bubbles performs better than not investing bubbles, which is the same as the result of Guenster et al. (2009). In addition, the Rolling Window BSADF constructed by this paper are superior to the other three models on the performance of investment. Moreover, the examination of NASDAQ index finds that there are some advantages of Rolling Window BSADF including that the test result is independent of the selection of the initial point and not affected by the broken of cyclical bubbles and so on. To sum up, this paper concludes that the bubble examination and the construction of bubble investing portfolio of the Rolling Window BSADF are significantly better than the other three models. |
| Reference: | 王景南，葉錦徽與林宗漢.(2011)。台灣房市存在價格泡沫嗎?經濟論文，39(2)，61-89。
葉錦徽，林怡諄與朱珊瑩.(2015)。拉高倒貨型股價操縱之台灣經驗與預警。經濟論文， 43(4)，589-638。
范姜士君.(2015)。依股價泡沫形成投資策略之可行性分析.未出版之碩士論文，國立中央大學，財務金融研究所。
Abreu, D., and Brunnermeier, M. K. (2003). Bubbles and crashes. Econometrica, 71(1), 173-204.
Chong, J., and Hurn, A. S. (2016). Testing for Speculative Bubbles: Revisiting the Rolling Window, Working paper.
Diba, B. T., and Grossman, H. I. (1988). Explosive rational bubbles in stock prices?. The American Economic Review, 78(3), 520-530.
Dickey, D. A., and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431.
Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review, 81(4), 922-930.
Guenster, N., Kole, E., and Jacobsen, B. (2009). Riding bubbles, Working paper.
Phillips, P. C., Wu, Y., and Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?. International Economic Review, 52(1), 201-226.
Phillips, P. C., and Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455-491.
Phillips, P. C., Shi, S., and Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.
Phillips, P. C., Shi, S., and Yu, J. (2014). Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour. Oxford Bulletin of Economics and Statistics, 76(3), 315-333.
Said, S. E., and Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607. |
| Description: | 碩士
國立政治大學
金融學系
104352031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104352031 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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