股票、類股與大盤間相關係數之分析與研究

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 學位論文 > Item 987654321/51930

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题名:	股票、類股與大盤間相關係數之分析與研究
其它题名:	The analysis and research of correlation between stocks, sectors and TAIEX
作者:	蕭豪君;Shiau, Hogan c
贡献者:	淡江大學管理科學研究所碩士班倪衍森;Ni, Yen-sen
关键词:	相關係數;投資組合;投資風險;多角化;Correlation Coefficient;investment portfolio;Investment Risk;Diversification
日期:	2010
上传时间:	2010-09-23 16:16:31 (UTC+8)
摘要:	本研究乃探討台灣股票集中市場之20類股及台灣五十成分股對於大盤之相關係數為出發點，在投資觀念愈趨健全之現今，如何利用投資組合來提高獲利之機率及降低損失之風險已廣為大眾所探討。然而綜觀相關文獻，發覺以相關係數作為風險評估之著墨者並不多見，故應為值得探討之研究課題，本研究將有關變數分為三類，並分別對類股及台灣五十成分股作分析，探討其對於各類股及個股與大盤相關係數之影響。經由本研究之分析結果後，有以下之重要發現：類股部分，大盤漲跌幅擴大時，權值比重較高之電子與金融類股與大盤相關性不顯著，而是在傳產、觀光類股。陸股漲跌幅對於水泥類股呈現顯著負相關。融券變動率提高時，電器類股與大盤相關性上升。外資與投資大眾皆為多方趨勢時，營建與觀光類股與大盤呈現負相關。從總體經濟分析來看，觀光類股與總體經濟指標呈現負相關，並且在大多變數下其與大盤之相關性皆會反向降低。而個股方面，統一超在外資介入股市較深及投資大眾偏多方時，其與大盤之相關性會提高。仁寶則與外資介入程度及融資變動率呈現負相關。南亞在外資投資比率變高及一般投資者對其投資態度積極時，與大盤之相關性會降低。聯強、開發金在外資投資比率較高及一般投資者偏多方時，與大盤之相關性會提高。 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.
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