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

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文笔数/总笔数 : 113656/144643 (79%)
造访人次 : 51718422 在线人数 : 600

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜寻范围

查询小技巧：

您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果

若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据

进阶搜寻

主页 ‧ 登入 ‧ 上传 ‧ 说明 ‧ 关于政大典藏 ‧ 管理

到手机版

政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/152475

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/152475

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.
參考文獻:	[1] 邊宇濤 (2019), 〈大中華區的行業輪動策略——基於擁擠交易〉, 國立政治大學金融學系碩士論文。. [2] C. Alexiou and A. Tyagi, “Gauging the effectiveness of sector rotation strategies: evidence from the usa and europe,” Journal of Asset Man- agement, vol. 21, no. 3, pp. 239–260, 2020. [3] F. Black and R. Litterman, “Global portfolio optimization,” Financial analysts journal, vol. 48, no. 5, pp. 28–43, 1992. [4] M. Billio, M. Getmansky, A. W. Lo, and L. Pelizzon, “Econometric measures of connectedness and systemic risk in the finance and insurance sectors,” Journal of financial economics, vol. 104, no. 3, pp. 535–559, 2012. [5] M. Billio, M. Getmansky Sherman, and L. Pelizzon, “Crises and hedge fund risk,” UMASS-Amherst Working Paper, Yale ICF Working Paper, no. 07-14, pp. 10–08, 2010. [6] S. Benner, “Benner’s prophecies,” 1876. 33 [7] A.-C. Díaz-Mendoza and A. Pardo, “North american journal of eco- nomics and finance,” North American Journal of Economics and Fi- nance, vol. 52, p. 101124, 2020. [8] G. Connor and R. A. Korajczyk, “Risk and return in an equilibrium apt: Application of a new test methodology,” Journal of financial economics, vol. 21, no. 2, pp. 255–289, 1988. [9] C. Cao, Y. Chen, B. Liang, and A. W. Lo, “Can hedge funds time market liquidity?” Journal of Financial Economics, vol. 109, no. 2, pp. 493–516, 2013. [10] C. M. Conover, G. R. Jensen, R. R. Johnson, and J. M. Mercer, “Sector rotation and monetary conditions,” vol. 17, pp. 34 – 46, 2008. [11] E. F. Fama, “Two pillars of asset pricing,” American Economic Review, vol. 104, no. 6, pp. 1467–1485, 2014. [12] G. J. Feeney and D. D. Hester, “Stock market indices: A principal com- ponents analysis,” 1964. [13] W. Fung and D. A. Hsieh, “Empirical characteristics of dynamic trading strategies: The case of hedge funds,” The review of financial studies, vol. 10, no. 2, pp. 275–302, 1997. [14] R. Greenwood and D. Thesmar, “Stock price fragility,” Journal of Fi- nancial Economics, vol. 102, no. 3, pp. 471–490, 2011. 34 [15] J. Gastwirth, Y. Gel, and W. Miao, “The impact of levene’s test of equality of variances on statistical theory and practice,” Quality Engi- neering, vol. 24, p. 343, 2009. [16] S. Gu, B. Kelly, and D. Xiu, “Empirical asset pricing via machine learn- ing,” The Review of Financial Studies, vol. 33, no. 5, pp. 2223–2273, 2020. [17] H. Hotelling, “Analysis of a complex of statistical variables into principal components.” Journal of educational psychology, vol. 24, no. 6, p. 417, 1933. [18] W. Kinlaw, M. Kritzman, and D. Turkington, “Crowded trades: Impli- cations for sector rotation and factor timing,” The Journal of Portfolio Management, vol. 45, no. 5, pp. 46–57, 2019. [19] L. KPFRS, “On lines and planes of closest fit to systems of points in space,” in Proceedings of the 17th ACM SIGACT-SIGMOD-SIGART symposium on Principles of database systems (SIGMOD), 1901, p. 19. [20] D. Kai-Ineman and A. Tversky, “Prospect theory: An analysis of decision under risk,” Econometrica, vol. 47, no. 2, pp. 363–391, 1979. [21] X. Lu and Y. Shen, “The investment strategies based on sector rotation effect,” 2013 International Conference on Information Technology and Applications, pp. 489–492, 2013. [22] M. Lynch, “The investment clock,” Special report, 2004. 35 [23] R. Litterman, “Common factors affecting bond returns,” Journal of fixed income, pp. 54–61, 1991. [24] H. Markowitz, “Portfolio Selection,” Journal of Finance, vol. 7, no. 1, pp. 77–91, March 1952. [Online]. Available: https://ideas.repec.org/a/ bla/jfinan/v7y1952i1p77-91.html [25] R. C. Merton, “Lifetime portfolio selection under uncertainty: The continuous-time case,” The review of Economics and Statistics, pp. 247– 257, 1969. [26] S. Maillard, T. Roncalli, and J. Teïletche, “The properties of equally weighted risk contribution portfolios,” Journal of Portfolio Management, vol. 36, no. 4, p. 60, 2010. [27] A. Moghar and M. Hamiche, “Stock market prediction using lstm recur- rent neural network,” pp. 1168–1173, 2020. [28] J. Von Neumann and O. Morgenstern, “Theory of games and economic behavior, 2nd rev,” 1947. [29] M. Pericoli and M. Sbracia, “Crowded trades among hedge funds,” Banca d ’Italia working paper, 2010. [30] A. Rehman, A. K. Malik, B. Raza, and W. Ali, “A hybrid cnn-lstm model for improving accuracy of movie reviews sentiment analysis,” Multimedia Tools and Applications, vol. 78, pp. 26 597 – 26 613, 2019. 36 [31] M. Sauer, “Sector rotation through the business cycle: A machine learn- ing regime approach,” Econometric Modeling: Capital Markets - Fore- casting eJournal, 2019. [32] W. F. Sharpe, “Capital asset prices: A theory of market equilibrium under conditions of risk,” The journal of finance, vol. 19, no. 3, pp. 425–442, 1964. [33] D. Song, “Portfolio optimization by lstm with a selection of six stocks,” Advances in Economics, Management and Political Sciences, 2023. [34] W. Sharpe, “The sharpe ratio,” vol. 21, pp. 49 – 58, 1994. [35] Student, “The probable error of a mean,” Biometrika, vol. 6, no. 1, pp. 1–25, 1908. [Online]. Available: http://www.jstor.org/stable/2331554 [36] F. Zhang, Y. Ma, and S. Yu, “Investment model based on lstm network forecasting and portfolio investment,” Proceedings of the 2022 Interna- tional Conference on E-business and Mobile Commerce, 2022.
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

文件中的档案:

档案	描述	大小	格式	浏览次数
203601.pdf		3163Kb	Adobe PDF	0	检视/开启

在政大典藏中所有的数据项都受到原著作权保护.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - 回馈