Title page for etd-0524116-203313
 論文名稱Title 馬爾可夫狀態轉換模型對 Smart Beta 之應用 —以台灣股票市場之交易策略研究A study of strategy trading in Taiwan stock market-An application of Markov Switch Regression Model on Smart Beta 系所名稱Department 財務管理學系Department of Finance 畢業學年期Year, semester 104 學年度 第 2 學期The spring semester of Academic Year 104 語文別Language 中文Chinese 學位類別Degree 碩士Master 頁數Number of pages 73 研究生Author 廖志鴻Chih-Hung Liao 指導教授Advisor 召集委員Convenor 口試委員Advisory Committee 口試日期Date of Exam 2016-06-23 繳交日期Date of Submission 2016-06-24 關鍵字Keywords 狀態轉換模型、隱藏馬爾可夫模型、最大期望演算法、預測報酬、投資策略、績效回測、多重起始值Regression Regime Switch, Hidden Markov Model, Expectation-maximization Algorithm, Return forecasting, Investment strategy, Back-test, Multiple Starting Point 統計Statistics 本論文已被瀏覽 5851 次，被下載 25 次The thesis/dissertation has been browsed 5851 times, has been downloaded 25 times.
 中文摘要 在金融市場中,所有的投資者都在尋找屬於自己的投資聖杯,透過主動式 操作,打敗大盤報酬,創造年化報酬率為正的績效。本文透過 CAPM、Fama- French 三因子模型及 Smart Beta 五因子模型,運用隱藏馬爾可夫狀態轉換模型 來預測下一期市場所處在的隱狀態機率。在隱藏馬爾可夫模型中,參數估計是 以 EM 演算法(Expectation-maximization Algorithm)得到最適化參數,並利用多 重起始點來避免 EM 演算法對初始值估計過於敏感的問題。透過每期財務報表 季報及月報公布時的財報資訊作為篩股的標準,發展出一套完整的投資策略。實際回測的結果顯示,此套投資策略應用於現實股票市場並搭配台指期貨 避險下,三種模型之投組績效皆至少達到年化報酬率 30%、夏普比率 1.91 以 上,且長期操作皆能有穩定的績效報酬。另外,本研究將傳統迴歸模型與狀態 迴歸模型相比較,發現區分出兩狀態的迴歸式有更準確預測能力,所篩選出的 投資組合績效較傳統迴歸模型更佳,且馬爾可夫狀態模型在考慮了隨機波動 下,明顯地區分出兩種模型的在選股上的不同。 Abstract In the financial markets, all investors are looking for their Holy Grail of investing. By actively operating, they defeat the market return, and create a positive performance of the annual rate of return. In this paper, through CAPM, Fama-French three factor model and Smart-Beta five factor model, using hidden Markov model to predict the probability of hidden regime in the next period. In hidden Markov model, the EM algorithm is used to estimate the optimal parameters, and using multiple starting point to avoid EM algorithm highly relies on the initial values. Through the financial reports, released quarterly and monthly, selecting asset pool to compose investment portfolio, develop a complete investment strategies.The empirical results show that this investment strategy applied in the actual financial market and used Taiwan stock index futures to achieve the objective of hedging. Regardless of which factor models, all of their portfolio have at least 30% annual return rate, Sharpe ratio 1.91 and the long-term performance can be stable. Furthermore, this study also compare traditional regression model and Markov regression model, and found that Markov regression model has more accurate prediction ability, the performance of its portfolio is better than traditional regression model. Because Markov regression model consider the stochastic volatility of stocks, obviously distinguishing the difference of selecting stocks.
 目次 Table of Contents 目錄誌謝辭.....................................................................................................................i 摘要........................................................................................................................ii Abstract ................................................................................................................ iii 目錄.......................................................................................................................iv 圖次........................................................................................................................v 表次.......................................................................................................................vi 第一章 緒論............................................................................................................1第一節 研究背景與動機......................................................................................... 1 第二節 研究目的.................................................................................................... 2 第三節 研究流程.................................................................................................... 3第二章 文獻探討.....................................................................................................4 第一節 傳統迴歸模型............................................................................................. 4第二節 Smart Beta 因子之解釋能力 ......................................................................4 第三節 馬爾可夫狀態轉換模型之應用.................................................................... 5 第四節 EM 演算法.................................................................................................. 5第三章 研究方法......................................................................................................7 第一節 變數介紹..................................................................................................... 7第二節 模型設定..................................................................................................... 9第三節 投資策略................................................................................................... 25 第四章 實證結果....................................................................................................31 第一節 績效回測................................................................................................... 31第二節 模型間比較................................................................................................ 61 第五章 結論與建議.................................................................................................62 第一節 結論........................................................................................................... 62第二節 後續研究建議............................................................................................. 63 參考文獻.................................................................................................................64 中文部分 ............................................................................................................... 64英文部分 ............................................................................................................... 64
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