政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152475

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152475

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题名:	擁擠交易：臺灣股市類股輪動策略 Crowded Trades: Sector Rotation Strategy in Taiwan Stock Market
作者:	林雅琪
贡献者:	廖四郎 Liao, Szu-Lang 林雅琪
关键词:	擁擠交易產業輪動主成分分析 Crowded Trades Sector Rotation PCA
日期:	2024
上传时间:	2024-08-05 12:19:19 (UTC+8)
摘要:	本研究旨在探討擁擠交易現象與資產價格泡沫化的關聯，並提供一種發現泡沫擴張及泡沫破裂階段的方法，使投資人能夠在價格上漲過程中獲利、在價格下降前出售。研究中採用了兩種方法來判斷資產價格的階段：資產中心度和相對價值。前者判斷資金是否流入或流出該資產，即資金在少數資產上流動的程度。當資產中心度高時，表示大量資金流入或流出該資產，推升其價格上漲或驟降之可能性。後者判斷價格是否已偏離其實際價值，當相對價值高於某一標準時，表示價格可能已偏離其實際價值，存在泡沫破裂風險。此外，本研究將這些方法結合 Black-Litterman 模型，利用此模型結合資產中心度和相對價值，進行動態的資產配置，從而達到優於其餘資產配置模型的效果。 This study explores the relationship between crowded trading and asset bubbles, providing a method to identify the stages of bubble expansion and burst. This method enables investors to profit during the price increase and sell before the price declines. The study employs two methods to determine the stages of asset prices: centrality and relative value. The former assesses whether capital flows into or out of the asset, indicating the degree of capital movement in a few assets. When centrality is high, it suggests significant capital inflows or outflows. That increases the probability of price rises or sudden drops. The latter assesses whether the price has deviated from its actual value. When the relative value exceeds a certain threshold, the price may have deviated from its actual value, posing a risk of a bubble burst. Furthermore, this study integrates these methods with the Black-Litterman model. Combining centrality and relative value using this model performs dynamic asset allocation, achieving results superior to other models.
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描述:	碩士國立政治大學金融學系 111352036
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0111352036
数据类型:	thesis
显示于类别:	[金融學系] 學位論文

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