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| Title: | 台灣股市的報酬與風險：三因子與布林通道分析
Returns and Risks of Taiwan’s Stock Market: A Three-Factor and Bollinger Bands Analysis |
| Authors: | 賴志傑
LAI, JHIH-JIE |
| Contributors: | 黃仁德
蕭明福
HUANG, REN-DE
SIAO, MING-FU
賴志傑
LAI, JHIH-JIE |
| Keywords: | 單因子模型
三因子模型
布林通道
回測分析
Single-Factor Model
Three-Factor Model
Bollinger Bands
Backtesting Analysis |
| Date: | 2020 |
| Issue Date: | 2024-09-04 14:36:50 (UTC+8) |
| Abstract: | 本文探討股票報酬與風險之間的關係，以元大台灣50為研究對象，依據元大台灣50股票中的年平均報酬率，分為前5高與後5低，共10檔股票。首先，進行單因子模型迴歸，探討不同年平均報酬率股票的報酬與風險關係。接著，加入規模及淨值市價比因子，進行三因子模型迴歸，探討規模因子及淨值市價比因子對不同年平均報酬率股票之報酬率的影響。第三，建構股票回測基本設定，以布林通道策略作為回測策略，在不同的多空頭市場、經濟景氣的市場狀態下進行股票回測，根據回測的總報酬率與風險指標—最大回撤率、夏普比率、及風報比，分析報酬與風險指標之間的關係。最後，進一步分析在多空頭市場及不同經濟景氣狀態下，使用相同布林通道投資策略買入0050與個股的回測表現比較。
本文研究得到以下的結論：單因子模型迴歸結果，高報酬股票符合高報酬、高市場風險；三因子模型迴歸結果，規模及淨值市價比因子對股票有不同影響；多空頭市場回測結果，高報酬股票在多頭市場存在高報酬、高風險；景氣收縮期、擴張期回測結果，報酬與風險並無明顯相關性；及0050與個股在多空頭市場、收縮期、及擴張期下進行回測結果比較，0050的報酬與風險相對穩定。
This paper explores the relationship between stock returns and risks, focusing on the Yuanta Taiwan 50 as the subject of study. Based on the average annual return rates of the stocks in the Yuanta Taiwan 50, ten stocks were selected—five with the highest returns and five with the lowest. First, a single-factor model regression was conducted to examine the relationship between the returns and risks of stocks with varying average annual return rates. Next, a three-factor model regression was performed, adding size factor and book-to-market ratio factor, to further explore the relationship between these factors and the returns of stocks with different average annual return rates. Third, a stock backtesting setup was constructed using the Bollinger Bands strategy as the backtesting method, which was tested under various market conditions, including bull and bear markets and different economic cycles. The relationship between returns and risk indicators, such as maximum drawdown, Sharpe ratio, and risk-reward ratio, was analyzed based on the backtesting results. Finally, further analysis was conducted on the backtesting performance of purchasing 0050 and individual stocks using the same Bollinger Bands investment strategy under different market conditions and economic cycles.
The study concludes as follows: The single-factor model regression results indicate that high-return stocks align with high returns and high market risk; the three-factor model regression results show that size and book-to-market ratio factors have varying impacts on different stocks; the backtesting results in bull and bear markets reveal that high-return stocks exhibit high returns and high risks in bull markets; the backtesting results during economic contraction and expansion periods indicate no significant correlation between returns and risks; and the comparison between 0050 and individual stocks across bull and bear markets, contraction periods, and expansion periods shows that 0050’s returns and risks are relatively stable. |
| Reference: | 王雍智、張澤、戴宏廩（2011），〈風格投資——臺灣股市的實證〉，《東海管理評論》，13:1，頁1-46。
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| Description: | 碩士
國立政治大學
經濟學系
107258019 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107258019 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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