跳躍對波動擇時策略之經濟價值 : 以臺灣股票型投資組合為例

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Title:	跳躍對波動擇時策略之經濟價值 : 以臺灣股票型投資組合為例
Other Titles:	Jump for the economic value of volatility timing strategy-evidence from stock : based portfolio of Taiwan
Authors:	程羽旋;Cheng, Yu-Hsuan
Contributors:	淡江大學財務金融學系碩士班邱建良;Chiu, Chien-Liang
Keywords:	波動度;跳躍;擇時策略;經濟價值;夏普比率;效用績效服務費;周轉率;Volatility;Jump;Timing Strategy;Economic Value;Sharpe ratio;Utility performance-fee;turn-over
Date:	2012
Issue Date:	2013-04-13 10:50:20 (UTC+8)
Abstract:	本文研究股票市場的報酬率和波動受到跳躍的干擾，比較其在不同擇時策略下之經濟價值。我們知道跳躍的發生是受到突發事件的干擾，所以跳躍是不可預測而且罕見的。跳躍會影響波動的穩定性，如果可以捕捉受到跳躍干擾的波動和報酬率並修正之，以致未來對波動與報酬率有更準確的預測，那隨時可以更精確地調整各項資產的權重，做更好的投資決策。本文樣本使用台灣六大類股的投資組合和台灣前50股中的6個股為投資組合，利用樣本內的波動預測樣本外的波動，比較各其投資組合之樣本外的資產配置策略之經濟價值，其策略分別為動態波動擇時策略與動態波動跳躍擇時策略並分析此兩種動態策略之經濟價值之比較。 This paper considers the return rate and volatility are intervened by jumps and then compares the economic value under revised return rate and volatility to not revised ones. We know that the occurances of jumps are affected by sudden events; thus, jumps are unpredictable and scarce and will affect the stability of volatility. We can adjust the weight of each asset precisely so that to make better invest decisions anytime. The study used two portfolios consisting of Taiwan’s six sectors and six stocks of Taiwan’s top 50 stocks respectively and compared the economic value of two dynamic asset allocation strategies under the two portfolios of out sample. The strategies are dynamic volatility timing strategy and dynamic jump volatility timing strategy.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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