最適投資持有期間與報酬之研究—以1997年至2006年期間臺灣證券交易所加權股價指數為例

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Title:	最適投資持有期間與報酬之研究—以1997年至2006年期間臺灣證券交易所加權股價指數為例
Other Titles:	Optimal investment holding periods-the Taiwan stock exchange capitalization weighted stock index from 1997 to 2006
Authors:	何宜芳;Ho, I-fang
Contributors:	淡江大學國際貿易學系國際企業學碩士在職專班賈昭南;Chia, Chao-nan
Keywords:	股價指數;股票投資;最適持有期間;stock index;stock investment;optimal holding period
Date:	2007
Issue Date:	2010-01-11 01:24:05 (UTC+8)
Abstract:	本文以1997年至2006年間台灣證券交易所所編製的五種股價指數為標的，模擬分析在不同持有期間下之報酬率以及正值報酬率次數分配，探索最適投資持有期間。模擬結果顯示整個循環期間內最適投資持有期間為二至三個月，而在上升階段與下降階段內的最適持有期間分別為十到十二個月。此外，以金融、電子與食品三種類股模擬的結果，則並不一致。 Five stock indexes by Taiwan Stock Exchange Corp. from 1997 to 2006 are the targets in this research. With different holding periods, return of investment and frequency of positive returns for stocks are simulated and analyzed in order to find out optimal holding period. In the result, the optimal holding period in the time horizon(1997~2006) is 2 to 3 months, however, the optimal holding periods for ascending and descending time slots is 10 to 12 months exclusively. Moreover, different optimal periods for different group indexes of finance, electric machinery and food are seen in the research.
Appears in Collections:	[Graduate Institute & Department of International Business] Thesis

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