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| Title: | 台灣股票市場的長期績效
Long Term Performance of the Taiwan Stock Market |
| Authors: | 黃寬彥 |
| Contributors: | 周行一
黃寬彥 |
| Date: | 2002 |
| Issue Date: | 2016-05-09 16:24:03 (UTC+8) |
| Abstract: | 台灣股票集中交易市場成立迄今已40年，然而長久以來一直缺乏長期績效表現的研究，主要原因在於缺乏長期而有系統的資料庫，若直接引用台灣證券交易所發行量加權股價指數之漲跌作為計算損益的依據，由於指數並未考量到現金股利收益，會造成大盤報酬率嚴重低估。因此，本文透過證交所發行的刊物與報紙，收集過去上市公司除息相關資料，從民國56年1月開始對現行指數進行現金股利再投資的調整，實證發現，到民國90年12月止，股價指數由5551.24點調整為16179.60點，兩者相差2.91倍，幾何平均年報酬率由12.41%提高為15.9%，標準差則比原先的47.11%增加1.02%。若再將調整現金股利後的指數納入通貨膨脹的影響，結果顯示實質的年平均報酬率為10.32%，標準差是45.76%；其次，雖然大盤在過去35年期間累積有17395﹪報酬率，然實際上報酬的累積僅發生在短短的99天內，佔不到所有交易日的1﹪，顯然短線的進出買賣想累積出高報酬非常困難，唯有將資金長期停留在股市當中才有可能享受到大盤大幅上漲的好處。
上述的實證結果使得台灣股市長期績效的表現首次獲得釐清，對投資人在從事資產配置時將是重要參考依據。
From long-term view, researches on the performance of Taiwan stock market are limited. The main reason leading to this result is that there is no systematic database pertaining to cash dividend in Taiwan. It is inappropriate to measure stock market performance by Taiwan Stock Exchange Market Weighted Index (TAIEX) directly. Because TAIEX doesn’t take cash dividend into consideration, it will understate stock market return. In this article, TAIEX is adjusted by reinvesting cash dividend from January 4, 1967 to December 31, 2001. The adjusted outcome shows that TAIEX was 5551.24 points against 16179.6 points with cash dividend reinvestment by the end of year 2001. The adjusted Index grew to 2.91 times of the original one. It also provided annually return of 15.9% which was 3.5% higher than TAIEX did. In order to get further insights about Taiwan stock market, the paper also reviews long term performance through the adjusted index. In nominal term, the evidences revealed that on average stock market in Taiwan provided annually return of 15.9% with standard deviation 48.13%. In real term, annually return was 10.32% with standard deviation 45.76%. In addition, in spite of huge amount of cumulative return during the past 35 years, only 99 trading days made most of contribution to the rising of stock market. The importance of being persistence in investing is reconfirmed.
This article shows the first evidences about long-term performance in Taiwan stock market. When making asset allocation decisions, theses results will become significant reference to investors. |
| Reference: | 國外：
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2. Bernstein, L. “Do you know What Long-Run Rate of Return to Expect?” Financial Analysis Journal, July-August 1988, pp4-6.
3. Clark, G. and M. Statman. “The DJIA Crossed 652,230” Journal of Portfolio management 26, Winter 2000, pp.89-93.
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國內
13. 周行一、陳怡雯（民90年），「台灣證券交易所發行量加權股價指數未納入現金股利再投資收益因素對投資報酬率的影響及基金績效衡量之影響」，證券市場發展季刊，53期，1-24。
14. 曹中岑、朱大中（民90年），「台灣股市報酬指數-調整以股價指數衡量股市報酬率及財富之差誤」，產業金融，111期，58-75。
15. 賴英照，證券交易法逐條釋義-第二冊，民79年3月，三民書局。
16. 羅靖霖、陳惠玲、鍾俊之（民90年），「台灣100完全收益指數及TAIFEX完全收益指數之試編」，貨幣觀測與信用評等，32期，2-11。
17. 證交所資料室（民60年），「新發行量加權股價指數說明」，證交資料，105期，1-7。
18. 台灣證券交易所網站，http://www.tse.com.tw/ 。 |
| Description: | 碩士
國立政治大學
財務管理研究所
89357005 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#A2010000193 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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