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|Other Titles: ||The analysis and research of correlation between stocks, sectors and TAIEX|
|Authors: ||蕭豪君;Shiau, Hogan c|
|Keywords: ||相關係數;投資組合;投資風險;多角化;Correlation Coefficient;investment portfolio;Investment Risk;Diversification|
|Issue Date: ||2010-09-23 16:16:31 (UTC+8)|
How to use the portfolio to raise the probability of gaining profit and decrease the lost risk is well-known for the public. This research is trying to illustrate the correlation coefficient between TAIEX and stocks and sectors. This research catalogues the related variables into 3 sections, which is aimed to elaborate the variables’ influences on correlation coefficient.
The research finds that, in sectors, when extending the range of up and down of TAIEX, there are not highly significant on electronic and financial sectors with high weight, but on traditional industries and tourism sectors. The Shanghai SSE Composite Index is negatively significant on Cement sector. When the rate of change of bearish raises, the correlation of Electrical & Cable sector and TAIEX becomes higher. When the foreign capital and the public consider the TAIEX as bull market, the correlation of both Construction and Tourism sectors is negatively significant with TAIEX. Moreover, from the perspective of Macro-economic, the macro-economic index presents the negative significance with Tourism sector.
The research also finds that, as to the stocks, with interfere of foreign capital and the public that are considering the TAIEX as strong bull market, the relation of President Enterprises Corp. and TAIEX becomes highly connected. Furthermore, under the interfere of foreign capital and the rate of change of finance raises, the correlation of Compal and TAIEX becomes negative. Nevertheless, the correlation between Nan-Ya Plastic Corp. and TAIEX will reduce when the foreign capital’s rate in investing raises and the public holds the positive attitudes, on the contrary, for Synnex and China Development Financial Holdings, the situation for them would go the other way.
|Appears in Collections:||[管理科學學系暨研究所] 學位論文|
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