適應性市場假說在標準普爾指數的實證與投資應用

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研究生：	林玉堂 Yu-Tang Lin
論文名稱：	適應性市場假說在標準普爾指數的實證與投資應用 Empirical Evidence and Investing Application of Adaptive Markets Hypothesis in S&P500
指導教授：	葉錦徽
口試委員:
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融學系 Department of Finance
論文出版年：	2016
畢業學年度：	104
語文別：	中文
論文頁數：	56
中文關鍵詞：	適應性市場假說、變異數擇時投資、效率市場假說、行為財務學
外文關鍵詞：	Adaptive Market Hypothesis, Efficient Market Hypothesis, Behavioral Finance, Volatility Timing
相關次數：	點閱：7 下載：0
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我們透過對S&P500指數報酬率之波動度建模，利用總體經濟變數因子與情緒因子的代理變數將波動度解構成兩組不同力量驅使的波動度。再藉著比較理性因子與情緒因子所驅動出來的波動度大小之交疊，實證Lo (2004) 提出之適應性市場假說再美國股票市場的適用
性。我們不僅發現S&P500指數報酬率的波動度確實會隨著市場氛圍的轉變而由不同力量驅使，市場情緒高張的時期還會隨時間推移越來越多。在依據市場效率無法藉由新資訊獲得超額報酬的假設，我們建立適應性市場投資組合，當市場呈現理性有效率時，持有三個月到期之政府公債；反之當市場情緒高張時，買進S&P500指數以賺取報酬。根據這樣的策略，長期來看可以獲得超過買進持有指數3.5倍的累積報酬。不僅如此，我們還發現這樣的超額報酬來不被Fama and French (1992) 的三因子模型的公司規模與帳市值比所解釋。我們參考 Lo (2004) 從宏觀經濟的角度實證AMH，並且應用市場適應性建構出投資組合以賺取報酬。

To decompose the volatility of S&P500 index return, we used macroeconomic factors as rational power and sentimental factors as sentimental power. By comparing the crossing of both powers, we documented the fact that the adaptive market hypothesis (AMH), proposed by Lo (2004), is suitable for the US stock market.We found out that the atmosphere of the stock market not only changes periodically, but also that the sentimental power conquers the market more frequently over time. Based on the assumption of ecient market hypothesis (EMH), we formed an investing strategy to take advantages from the adaptive phenomena of stock market. We invested in 3-month T-Bills when the market appeared rational, inversely, we invested in S&P500 index when the market appeared sentimental. The cumulative return of that strategy is 3.5 times higher than the cumulative return of the buy-and-hold index strategy. Moreover, we found out that these outstanding returns could not be explained by the size eect and the BM ratio eect proposed by Fama and French (1992). The main contribution of this paper is that we proved AMH macro-economically by decomposing volatility and proposed a useful strategy based on our decomposition.

中文摘要............................................................................................................... i
英文摘要............................................................................................................... iii
謝誌...................................................................................................................... v
目錄...................................................................................................................... vii
圖目錄.................................................................................................................. vii
表目錄.................................................................................................................. ix
一、緒論................................................................................................ 1
二、文獻回顧......................................................................................... 3
2.1 傳統效率市場理論. . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.2 行為財務理論的演進. . . . . . . . . . . . . . . . . . . . . . . . . 5
2.3 適應性市場假說. . . . . . . . . . . . . . . . . . . . . . . . . . . 5
三、波動度模型之建構.......................................................................... 7
3.1 估計S&P500指數報酬率之波動性. . . . . . . . . . . . . . . . . . 7
3.1.1 理性力量與非理性力量之代理變數. . . . . . . . . . . . . . . . . . 9
3.1.2 解構波動度之迴歸模型. . . . . . . . . . . . . . . . . . . . . . . . 15
四、實證結果......................................................................................... 21
4.1 波動度之解構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
4.2 理性力量與非理性力量的消長. . . . . . . . . . . . . . . . . . . . 22
五、實證結果應用.................................................................................. 25
5.1 波動度投資策略. . . . . . . . . . . . . . . . . . . . . . . . . . . 25
5.2 超額報酬的來源. . . . . . . . . . . . . . . . . . . . . . . . . . . 28
六、穩健性分析..................................................................................... 31
七、結論................................................................................................ 33
索引...................................................................................................................... 35
文獻...................................................................................................................... 35
                                

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