以融資、融券增減比率為指標之台灣上市公司投資組合分析

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/29837

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Title:	以融資、融券增減比率為指標之台灣上市公司投資組合分析
Other Titles:	The Empirical Analysis of Portfolios on the Basis of Margin Trading and Short Selling Increase or Decrease Ratio: Evidence on Taiwan Listed Companies
Authors:	陳禹奇 CHEN, YU-CHI
Contributors:	財務金融學系財務管理碩士班廖永熙 LIAU, YUNG-SHI
Keywords:	融資增減比率;融券增減比率;市值;報酬率;投資組合;投資策略 Margin trading increase or decrease ratio;Short selling increase or decrease ratio;Market capitalization;Rate of return;Investment portfolio;Investment strategy
Date:	2023
Issue Date:	2023-11-14 13:50:10 (UTC+8)
Abstract:	本研究採用2011年1月到2022年8月期間，台灣全體上市公司、台灣上市電子類公司股票、台灣上市非電子類公司股票為樣本，每月融資、融券增減比率，與市值為指標，建構投資組合，並探討其報酬率。結果發現不論是在台灣全體上市公司股票、台灣上市電子類公司股票或台灣上市非電子類公司股票中：(一)高融資增減比率指標投資組合平均月報酬率皆高於低融資增減比率指標投資組合平均月報酬率，也高於加權指數投資組合平均月報酬率。(二)高融券增減比率指標投資組合平均月報酬率皆高於低融券增減比率指標投資組合平均月報酬率，也高於加權指數投資組合平均月報酬率。雖然在三種樣本中，使用較高信用交易之投資組合其報酬率皆較高，惟進行檢定後發現其差異皆不顯著。　　並且發現在三種樣本中，最高月報酬率之投資組合皆是小規模投資組合，而最低月報酬率之投資組合皆是大規模投資組合。　　而在本研究共61種投資組合中，月報酬率最高者為台灣上市電子類公司股票中融券增減比率加小規模指標投資組合，月報酬率最低者則為台灣上市非電子類公司股票低融資增減比率加大規模指標投資組合。　　This study adopts the stocks of all listed companies in Taiwan, the stocks of electronic companies listed in Taiwan, and the stocks of non-electronic companies listed in Taiwan from January 2011 to August 2022 as samples, adopts the monthly margin trading and short selling increase or decrease ratio and market capitalization as indicators, to establish investment portfolios and explore their rates of return. The results found that no matter in the stocks of all listed companies in Taiwan, the stocks of electronic companies listed in Taiwan or the stocks of non-electronic companies listed in Taiwan: (1) The average monthly rate of return of the portfolios with high margin trading increase/decrease ratio are higher than those with low margin trading increase/decrease ratio, also higher than the average monthly rate of return of the investment portfolio of Taiwan Capitalization Weighted Stock Index. (2) The average monthly rate of return of the portfolios with high short selling increase/decrease ratio are higher than the average monthly returns of the portfolios with low short selling increase or decrease ratio, also higher than the average monthly rate of return of the investment portfolio of Taiwan Capitalization Weighted Stock Index. Although in the three samples, the rate of return of the investment portfolios using higher credit transactions is higher, but after the test, it is found that the difference is not significant.　　It is also found that among the three samples, the portfolios with the highest monthly returns are all small-scale portfolios, while the portfolios with the lowest monthly returns are all large-scale portfolios.　　And among the total 61 investment portfolios in this research, the one with the highest monthly rate of return is the medium short-selling increase/decrease ratio plus small-scale indicators investment portfolio of stocks of electronic companies listed in Taiwan, the one with the lowest monthly return rate is the low margin trading increase/decrease ratio plus large-scale index investment portfolio of stocks of non-electronic companies listed in Taiwan.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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