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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/58795


    Title: 以台股融資維持率建構交易策略
    Use margin ratio of Taiwan stock market to build arbitrage strategies
    Authors: 尤聖文
    Contributors: 周行一
    尤聖文
    Keywords: 融資維持率
    護盤效果
    交易策略
    margin ratio
    stock index protection effect
    trading rule
    Date: 2012
    Issue Date: 2013-07-11 16:47:36 (UTC+8)
    Abstract: 在股市的參與者當中，某些投資人必須長期持有股票部位，例如政府為民眾代操的四大基金、以及投信公司的股票型基金經理人。筆者推測這些大型投資者基於長期投資下，應選擇股價便宜時進場，而融資維持率接近追繳維持率時正是大盤的低點，符合長期投資者進場的時機，加以其手中部位的盈虧代表其操作績效，應更加願意在融資維持率低落時進場買入股票，因為此動作能夠產生類似護盤的效果，使融資維持率不致長時間跌破追繳維持率水準，引發大規模崩盤，進而使其手中部位產生虧損。
    根據以上推測，筆者觀察股市中融資維持率以及股價指數的走勢，進而設計出稱為〝改良式濾嘴法則〞的交易策略，其中以月資料回測後發現報酬率顯著，但是以週資料及月資料進行回測後卻發現報酬率低落的現象，因此交易策略的結果顯示僅以融資維持率的高低區間做為交易策略的進出場指標似非可行的方法。
    Some participants in stock market have to hold their position for longer time. For example, four major fund that government manage for people, and stock fund managed by investing trust company fund manager. Author suggest that “big investors” in stock market have to take care of their performance so that can keep their job. Under these pressure, “big investor” would willing to buy stocks when stock market crush, and this action will have similar results as “stock index protection effect” to avoid margin ratio fall down to margin call level for too long time , because , since it happened, stock market will fall to the lower level, and probably cause the stock market crush.
    According to the assumption above, author observe relation between margin ratio and stock market index trend and develop a series of trading rule. But after counting in transaction fee, only month data has significant return , so author thought that use only one bench mark range to build trading rule is not effective.
    Reference: 1. Chau, F., Rataporn, D., Marco, C.K., L., (2011). Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis, Vol.20, 292–305.

    2. Chu, Y-H., (2012). Unraveling the Enigma of East Asian Economic Resiliency : The Case of Taiwan. Japan International Cooperation Agency Research Institute, Vol.44, 1-42

    3. Chianga, Y-C., Mei-Chu, K., Tung, L, L. and Cin-Dian, W., (2012). Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market. Applied Financial Economics, Vol. 22, Issue 12,955–965.

    4. De Haan, L., Jan, K.,(2011). Momentum or contrarian investment strategies: Evidence from Dutch institutional investors. Journal of Banking & Finance, Vol. 35, 2245–2251.

    5. Fama, E.F., Robert, L, (2012). An Experienced View on Markets and Investing. Financial Analysts Journal, Vol.68, 15-19.

    6. Hou, T, C-T., Phillip, J, M., Charlie, W., (2011).Mutual Fund Herding in Taiwan. Journal of Economic Literature, G12, 1-39

    7. Hsieh, M-F., T-Y, Y., YU-TAI, Y. and JEN-SIN, L., (2011). Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries. Quantitative Finance, Vol.11, Issue 3,423–435

    8. Liu, Y-J., Chih-Hsien, Y., (2002). On the Effect of Stock Stabilization Fund: A Case of Taiwan. Review of Pacific Basin Financial Markets and Policies, Vol.5, Issue 1, 93-109

    9. Miwa, K., Kazuhiro, U., (2011). A Dynamic Volume–Return Relation
    and Investors’ Positive Feedback Trading. International Review of Finance, Vol. 11 , 325–351.

    10. Mitra, S, K., (2011). How rewarding is technical analysis in the Indian stock market? Quantitative Finance, Vol.11, Issue 2,287–297.

    11.Wang, Y-M., Chun-An, L., Chia-Fei, L., (2012). Investor sentiment of lottery stock evidence from the Taiwan stock market. Investment Management and Financial Innovations, Vol.9, Issue 2 , 203-207
    Description: 碩士
    國立政治大學
    財務管理研究所
    100357025
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1003570251
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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