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系統識別號 U0026-0812200911305256
論文名稱(中文) 應用多重比較方法評估台灣股票市場個股表現
論文名稱(英文) On Comparing Individual Stocks to Taiwan Market Index by Multiple Comparison Method
校院名稱 成功大學
系所名稱(中) 統計學系碩博士班
系所名稱(英) Department of Statistics
學年度 93
學期 2
出版年 94
研究生(中文) 趙玉林
研究生(英文) Yu-Lin Chao
電子信箱 yu_lin_3@hotmail.com
學號 r2692106
學位類別 碩士
語文別 中文
論文頁數 79頁
口試委員 指導教授-陳占平
口試委員-吳宗正
口試委員-溫敏杰
中文關鍵字 一階段抽樣法  台灣股價加權指數  分類加權指數  夏普比值  報酬率  多重比較方法 
英文關鍵字 Taiwan weighed stock index  One-stage  Sharpe ratio  Multiple comparison  portfolio.  Classified stock index 
學科別分類
中文摘要   近年來,随著國內經濟邁向國際化及自由化,市場上操作工具也日漸多元化。在眾多投資工具中,『股票』對大多數人而言並不陌生,也是近幾年來最熱門的投資工具。
  一般社會大眾在進行投資的時候,只會針對單一種股票進行投資,這種投資方法的風險相當大,往往會因為這一間公司或是企業小小的經營不順導致破產而造成投資者的損失,因此,如何做正確的投資是相當重要的。為了判斷某一家公司的股票是值得投資的,本研究利用分類股價指數作為控制組,選出各產業分類間較為優良的公司。另一方面,利用加權股價指數作為控制組,分類股價指數作為實驗組,目的在找出目前優於整個市場的產業有哪些,用來建議投資者,在做投資時,要以哪一種產業投資為主。本文利用夏普比值來篩選投資報酬率優於無風險利率的股票公司的以及利用一階段抽樣法改善母體變異數不相等的問題,同時利用多重比較方法來選取優於控制組的個股,然後再進一步建立最後股票投資組合以便分散風險。
英文摘要  In recent years in Taiwan the financial market is on the move towards internationalization and liberalization. Among numerous investment vehicles, stock investment becomes increasingly important and is one of the most popular ones by small investors nowadays.
 Generally speaking, people can suffer heavy loss as they invest only in one stock if the stock company is operated poorly and possibly goes bankruptcy. Therefore, how to make a correct decision on stock selection becomes very important. In order to determine which company is worth investing, I use a Classified Stock Index as a control and then pick up those superior companies to the control and this similar work is carried through all categories of industries. Furthermore, I make use of Taiwan Weighed Stock Index as a control to find out which industries are superior to the entire stock market. According to selection methods discussed in this thesis, I have provided suggestions for investors on how to choose industries for investing. In addition, in this study, Sharpe ratio and one-stage multiple comparison method are used to choose those better stocks and then to construct a portfolio or combination of stocks to reduce investment risk.
論文目次 第一章 緒論 1
1.1 研究背景………………………....1
1.2 研究動機與目的………………....2
1.3 研究方法………………………....3
1.4 研究小結………………………....3
第二章 文獻探討 4
2.1 股票市場概況…………………....4
2.2 相關文獻探討…………………....5
2.2.1 夏普比值…………………………..5
2.2.2 與控制母體之多重比較程序……..6
2.2.3 二階段抽樣法……………………..7
2.2.4 一階段抽樣法……………………..9
第三章 研究方法 10
3.1 研究對象………………………...10
3.2 研究對象篩選…………………...11
3.3 研究方法………………………...12
3.3.1 相互獨立同質母體 …………...12
3.3.2 互有相關的同質母體…………...13
3.3.3 互相獨立異質母體……………...16
3.3.4 互有相關的異質母體…………...19
第四章 研究結果 31
4.1 研究對象的篩選………………...31
4.2 變異數一致性檢定……………...32
4.3 利用多重比較方法在不同股票類別之評比…………..33
4.3.1 水泥類股………………………...34
4.3.2 食品類股………………………...35
4.3.3 塑膠類股………………………...36
4.3.4 紡織類股………………………...37
4.3.5 電機類股………………………...38
4.3.6 電器電纜類股…………………...39
4.3.7 化學生技醫療類股……………...40
4.3.8 玻璃陶瓷類股…………………...41
4.3.9 造紙類股………………………...42
4.3.10 鋼鐵類股………………………...43
4.3.11 橡膠類股………………………...44
4.3.12 汽車類股………………………...45
4.3.13 電子類股………………………...45
4.3.14 營造建材類股…………………...47
4.3.15 運輸類股………………………...48
4.3.16 觀光類股………………………...49
4.3.17 金融保險類股…………………...50
4.3.18 百貨貿易類股…………………...51
4.3.19 其他類股………………………...51
4.3.20 分類加權指數…………………...52
第五章 結論與建議 54
5.1 結論……………………………...54
5.1.1 以分類加權指數為控制母體的多重比較結果……...54
5.1.2 以台灣加權股價指數為控制母體之多重比較結果...56
5.2 建議……………………………...56
參考文獻 59
附錄一 共變異數函數關係圖 61
附錄二 臨界值查表 68
附錄三 股票代號與公司名稱對照表 74
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