如何利用泡沫上漲階段獲利同時迴避泡沫崩潰階段是本研究主要課題。首先得找出價格泡沫期間，我們將引用 Phillips et al. (2009) 所使用之改良式單根檢定，不使用傳統單根檢定是因為其無法檢定出週期性泡沫破裂，這會導致檢定結果為無價格泡沫。資料樣本為每項產業上市櫃之個股收盤價格，針對每項產業個股進行泡沫檢定，若檢定出有泡沫則進行投資，再搭配我們所設定之判斷標準分辨泡沫是否處於上漲或是下跌趨勢，實證結果證實根據有八成產業所組成之泡沫投資組合較產業指數投資組合佳，平均可獲得 47.12%超額報酬，而在電子零組件產業可獲得最高年化超額報酬為218.34%，且其檢定結果為 1% 顯著水準。加入交易成本後投資績效仍優於大盤，此篇研究結果希望提供一項投資人在進行投資決策時之判斷標準，有效利用泡沫上漲期間進而獲利。

How to exploit the upward trend at prices bubbles period while avoiding collapse of the bubble is the main issue in our research. First, we have to define price bubble period. Our research will quote modified unit root test from Phillips et al. (2009). The reason why we don’t use traditional unit root test is that it don’t have much power to detect periodically collapsing bubble which may be taken as evident against the presence of bubbles. We will use unit root test for each closed price in every industry, and then make investment decision according to the signals of bubbles test result. The empirical results confirmed that the investment strategy according to the bubble signals in industry outperform the industry index portfolio .We can get 47.12% annualized excess return on average according our investment strategy. The highest annualized excess return is 218.34% and the excess return is significant under 1% level in Electronic components industry. Bubbles portfolio still can beat market after considering transaction cost. Our research provides empirical evident that investors can riding bubbles effectively to make profit.

中文文獻
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英文文獻
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