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研究生: 陳沅竹
Yuan-chu Chen
論文名稱: 股票與債券間之動態資產配置-BEYR之應用
Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio
指導教授: 黃彥聖
Yan-Sheng Huang
口試委員: 劉代洋
Dai-Yang Liu
張琬喩
Wan-Yu Chang
學位類別: 碩士
Master
系所名稱: 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年: 2005
畢業學年度: 93
語文別: 中文
論文頁數: 68
中文關鍵詞: 動態配置灰預測擇時指標
外文關鍵詞: Bond-Equity Yield Ratio
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股票與債券之間的關係非常密切,對資產配置亦相當重要。因此,本研究擬將股票與債券結合,運用股債收益比(Bond-Equity Yield Ratio; BEYR)做為動態配置股票及債券短期調整的指標。研究期間擷取自1994年1月至2005年3月,共135筆月資料。有別於過去研究多半使用樣本內預測,本文將樣本區分為樣本內與樣本外資料,先以ARMA(1,1)及GM(1,1)對樣本內資料進行估計,利用滾動式預測方法,求出下一期預測值,建構BEYR之樣本外預測模型。
利用兩預測模型,結合天真策略,本文採用10種交易策略研判股票與債券之動態調整時點,即對股票及債券之一種擇時策略。實證結果顯示,在10種交易策略中,以短期平均(實際值前12期平均)及固定值為1做為門檻值形成的交易策略,無論在ARMA(1,1)、GM(1,1)或是天真策略的預測模型下,皆能為投資人帶來比買進持有策略更高的報酬。
此外,為觀察結合股票與債券資訊的股債收益比,相較於純粹僅使用股價資訊之股價指數盈餘收益率之優劣,本研究亦採用後者,並使用相同的研究方法重新計算各交易策略下動態配置之損益,研究結果發現,以股價指數盈餘收益率做為動態配置股票與債券投資時點指標並不能為投資人帶來較高的報酬,反而會有虧損。
經由實證分析,本文發現BEYR在台灣資本市場中的確是股票與債券動態配置上的良好擇時指標,透過BEYR及各種交易策略之結合,可提供給投資人判斷買賣股票及債券之適當時機。


The relationship between stocks and bonds is close and important for asset allocation. In order to allocate capital between equities and bonds dynamically on a short-term basis, this research tries to use the information of stocks and bonds and put forward Bond-Equity Yield Ratio (BEYR) as a criterion.

Most previous studies only use in-sample data to observe return predictability. In this paper, we employ an alternative approach by separating data into in-sample and out-of-sample data. We use monthly data from January in 1994 to March in 2005 and adopt ARMA Model and Grey Theory to model and forecast the BEYR. To judge the investment timing of stocks and bonds, we utilize ten trading rules which is formed by two forecasting model and naïve strategy. The evidence shows that whatever in ARMA(1,1),GM(1,1) or naïve strategy, the strategies using short-term average and fixed value 1 as a threshold value of BEYR will make higher profit than buy-and-hold strategy.

For comparing the differences between BEYR combining the information of stocks and bonds and equity yield only including the information of stock price, we also use the equity yield as input variable to investigate the profit of dynamic asset allocation under the same ten trading rules. The evidence finds that using equity yield as a criterion to judge the investment timing between stocks and bonds can not obtain higher profit for investors. However, investors will loss in these cases.

In summary, we find that BEYR is a good indicator in Taiwan capital market. If we want to capture the market timing between stocks and bonds, BEYR can help investors to judge the investment timing in each period of time.

第一章 緒論 …………………………………………………………1 第一節 研究動機 ……………………………………………………………1 第二節 研究目的 ……………………………………………………………2 第三節 研究架構 ……………………………………………………………4 第二章 動態資產配置策略之相關文獻探討 ………………………5 第一節投資組合理論及動態資產配置………………………………………5 第二節股債收益比(BEYR) …………………………………………………14 第三章 研究方法與流程 ……………………………………………19 第一節 樣本選取……………………………………………………………20 第二節 時間序列模型的建立………………………………………………21 第三節 ARMA模型…………………………………………………………25 第四節 灰預測模型…………………………………………………………27 第五節 灰預測數據處理……………………………………………………29 第六節 GM(1,1)建模與檢驗 ………………………………………………32 第七節 績效評估指標………………………………………………………36 第八節 交易策略 …………………………………………………………38 第四章 實證結果分析 ………………………………………………40 第一節 單根檢定與模型績效評估…………………………………………40 第二節 交易策略獲利分析…………………………………………………46 第五章 結論與建議 …………………………………………………59 第一節 結論…………………………………………………………………59 第二節 建議…………………………………………………………………60 參考文獻 中文部分…………………………………………………………………………61 英文部分…………………………………………………………………………61 圖 目 錄 圖1-1 研究架構圖 ………………………………………………………………4 圖3-1 研究方法流程 ……………………………………………………………9 圖3-2 GM(1,1)(灰預測模型)的運作流程……………………………………36 圖4-1a BEYR之原始序列圖……………………………………………………41 圖4-1b equity yield之原始序列圖………………………………………………42 圖4-2a BEYR經一階差分後之時間序列圖……………………………………44 圖4-2b equity yield經一階差分後之時間序列圖………………………………45 表 目 錄 表4-1 各變數之敘述性統計 ……………………………………………………41 表4-2 BEYR 與 equity yield之ADF、PP單根檢定………………………… 43 表4-3 delta_B 與 delta_E之ADF、PP單根檢定 ……………………………43 表4-4 ARMA模型階次檢定 ……………………………………………………45 表4-5 預測模型之績效評估 ……………………………………………………46 表4-6a BEYR利用ARMA(1,1)預測並透過10種交易策略之報酬比較 ……48 表4-6b BEYR利用GM(1,1)預測並透過10種交易策略之報酬比較…………48 表4-7a equity yield利用ARMA(1,1)預測並透過8種交易策略之報酬比較…51 表4-7b equity yield利用GM(1,1)預測並透過8種交易策略之報酬比較 ……51 表4-8a BEYR利用ARMA(1,1)預測並透過10種交易策略之報酬比較(加入證券交易所得稅及手續費) ……………………………………………………………54 表4-8b BEYR利用GM(1,1)預測並透過10種交易策略之報酬比較(加入證券交易所得稅及手續費) ………………………………………………………………54 表4-9a equity yield利用ARMA(1,1)預測並透過8種交易策略之報酬比較(加入證券交易所得稅及手續費) ………………………………………………………55 表4-9b equity yield利用GM(1,1)預測並透過8種交易策略之報酬比較(加入證券交易所得稅及手續費) ……………………………………………………………55 表4-10a 以BEYR 及equity yield做動態資產配置相對於買進持有債券之報酬比較(未考慮稅負)……………………………………………………………………57 表4-10b 以BEYR 及equity yield做動態資產配置相對於買進持有股票之報酬比較(未考慮稅負)……………………………………………………………………57

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