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| Title: | 印尼礦業股市指數分析：其效率研究
Indonesian mining index analysis: an efficiency study |
| Authors: | 姚翰耀
Sudiro, Elroy |
| Contributors: | 郭維裕
Kuo, George
姚翰耀
Sudiro, Elroy |
| Keywords: | 指數分析
高效投資組合
多樣化
等權重指數
最小變異數投資組合
Index analysis
Efficient portfolio
Diversification
Equally weighted portfolio
Minimum variance portfolio |
| Date: | 2017 |
| Issue Date: | 2017-07-11 11:47:59 (UTC+8) |
| Abstract: | Most indexes use a cap-weighted strategy as the asset allocation method. Many researchers suggest that although the cap-weighted strategy often serves as an appropriate surrogate to the market portfolio, it cannot consistently outperform other portfolio weighting strategies. The main reasons behind it would be related to the market movement and the underlying volatility. It is possible to narrow down the scope of the research by focusing on an industry index as was done in this research. The focus would be on the mining index of Indonesia.
Comparisons will be done between the established index to other portfolio weighting schemes, namely the equally weighted portfolio and the minimum variance portfolio. The results of the research was that the index was not quite efficient, both on the returns and the Sharpe or information ratio aspect. There are many possible reasons behind this, but the most possible reasons would be that the stocks included do not contribute to diversification, over focus on the coal industry, lack of rebalancing or restructuring, in addition to the market itself. The implication of this research would be that stock exclusion might also contribute to risk minimization. |
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| Description: | 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
104933035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104933035 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營管理英語碩士學程IMBA] 學位論文
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