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    题名: 臺灣股票型基金市場連動性探勘之研究
    其它题名: The study of co-movement on Taiwan stock funds market
    台灣股票型基金市場連動性探勘之研究
    作者: 鄧子綱;Teng, Tzu-kang
    贡献者: 淡江大學管理科學研究所碩士班
    廖述賢;Liao, Shu-hsien
    关键词: 股票型基金;連動性;資料探勘;關聯法則;stock funds;co-movement;data mining;association rule
    日期: 2009
    上传时间: 2010-01-11 03:21:53 (UTC+8)
    摘要: 在一般投資人開始尋求多樣化理財管道下,定存、股票已不能滿足需求,長期而言,共同基金以其風險較股票小、獲利率較定存高的優點,成為忙碌的現代人不可或缺的理財工具。然而面對為數眾多的基金,評估基金績效是個重要的課題。目前對於共同基金績效的研究,多由財務模型、一般統計方法或是風險值來衡量。過去許多研究未有使用資料探勘的方法,所以本研究著重在以資料探勘來研究是否股票型基金不同風險類別間具有連動性。若具有連動性,則是屬於正向或反向連動性。本研究為所有投資者提供有別於過去既有的方法,另一種新的思考及研究方式。最後,本研究再將資料探勘的技術應用於挑選股票型基金,利用資料探勘中的關聯法則發現隱藏的規則,並藉此針對投資大眾做出實際投資組合,然後透過報酬風險分析來證明其績效表現是優於市場的。此外,也站在法人的立場,設計一支傘型基金,並針對不同屬性的投資者,給予不同的投資比例建議。
    It has not satisfied general investors’ needs by simply saving their money into account or investing their money in stock market, when they have begun to search many distinct ways to manage their money. In the long-term, depending on its major advantages which risk is smaller than stock market and rate of return is higher than the money that save into account, the mutual funds have become an indispensable tool of managing money these days. However, evaluating their performance is an important issue while facing numerous mutual funds. As to the research on the performance of the mutual funds so far, it mostly has been measured with financial model、general statistical techniques and value at risk. Many of previous researches haven’t used data mining as research ways, so this study puts emphasis on whether it has co-movement among the stock funds of different risk type through data mining. Furthermore, it belongs to positive or negative comovement if it has co-movement. This study would provide investors with a new thought and research technique which is totally different from previous ways. Finally, the technique of data mining would be used to select stock funds in this study, taking advantage of association rule to find some hidden rules and making a realistic portfolio for general investors; moreover, the realistic portfolio would be proved that its performance is superior to the market through the analysis of return and risk. In addition, this study would also stand from a corporation’s angle, devising an umbrella funds and advising different percentage of investment for diverse attribute of investors.
    显示于类别:[管理科學學系暨研究所] 學位論文

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