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| Title: | 大中華區的行業輪動策略——基於擁擠交易
Sector Rotation Strategies in Greater China--Based on Crowded Trade |
| Authors: | 邊宇濤
Bian, Yu-Tao |
| Contributors: | 廖四郎
邊宇濤
Bian, Yu-Tao |
| Keywords: | 行業輪動
擁擠交易
泡沫
大中華區
Sector Rotation
Crowded Trade
Bubbles
Greater China |
| Date: | 2022 |
| Issue Date: | 2022-08-01 17:30:57 (UTC+8) |
| Abstract: | 當資產價格發生顯著變化而基本面沒有變化時，會出現擁擠交易。作者提供了兩種方法來識別不同的行業泡沫階段。一種衡量標準是資產中心性，它基於主成分分析 (PCA)，以區分泡沫和基本合理的價格上漲。結合另一種標準——相對價值，定位到不同的泡沫階段，如無泡沫、泡沫膨脹階段和泡沫破裂階段。本研究利用上述方法形成了大中華區不同行業泡沫階段的策略。利用期間為2013年至2021年的一級行業指數，本淨比和市值來探索三個市場的投資者行為和風險偏好，發現每個市場的最佳策略都幫助投資者獲得高超額回報和卡爾馬比率。實證結果表明，當擁擠交易發生時，投資者可以利用行業ETF來追求超額收益，監管機構應監控拋售泡沫階段可能出現的價格崩盤。
Crowded trade occurs when the asset prices significantly change while the fundamentals do not shift. The author provides two measures for identifying the different sector bubble stages. One measure, asset centrality, is based on principle component analysis (PCA) to distinguish bubbles from fundamentally justified price increases. Combined with relative value, we can locate the different bubble stages, such as no, run-up, and sell-off bubbles. The research uses the above method to form different sector bubble stages’ strategies in Greater China. Based on the Section Index Level 1 from 2013 to 2021, the research employs sector index, price to book value, and free-market value to explore the investor behaviors and risk appetites in three markets, revealing the best strategy in each market helps investors obtain a high excess return and Calmar ratio. The empirical results show that investors can take advantage of sector ETFs to pursue the excess return when crowded trade occurs and that regulators should monitor the possible price collapse in a sell-off bubble stage. |
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| Description: | 碩士
國立政治大學
金融學系
109352034 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109352034 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202201006 |
| Appears in Collections: | [金融學系] 學位論文
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