Applying Stochastic Dominance Approach to Analysis the Investment Performance of Component Stocks of Taipei Exchange 50 index

• Main Authors: Chia-Hua Chen, 陳家驊
• Other Authors: Pai-Lung Chou
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/12460306979565642694

碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 103 === The Taipei Exchange 50 Index aims top 50 component stocks selected after weighing the market value of the over-the-counter stocks as the sampling targets. The component stocks with big weighed value might lead to a great portion of change of the component stocks of the Taipei Exchange 50 Index, due to their alteration of being listed in the stock market. Consequently, based on the information of the component stocks of the Taipei Exchange 50 Index, we apply the Stochastic Dominance Approach (Barrett and Donald, 2003) to examine the analysis of investment performance of the semiconductor, computer and peripheral devices, optoelectronics as well as biotechnology and medicine industries, endowed with the Stochastic dominance and screen the targets which boast of the superior investment return. The period for the collection of the study data commences from January 1, 2010 to December 31, 2014. The results suggest that in terms of the examination by the Stochastic Dominance Approach, no matter when the stage is, for example, the first stage, which only considers the preference of the investors for the return rate of the risk type, the second stage, which adds the risk consideration of the investment decision-maker and the third stage, which further inputs the positive risk preference factor of the investment decision-maker, still only PixArt Imaging Inc. in the semiconductor industry is endowed with the three-stage Stochastic dominance in comparison to the computer and peripheral devices industry, the optoelectronics industry and the biotechnology & medicine industry. Accordingly, PixArt Imaging Inc. in the semiconductor industry achieves the best performance in this study, mainly due to its long-term concentration on the development of new technology and applications, its precise grasp of the market trends, its aggressive conduction of the product layout and its focus on the research and development of resources, so that their products all conform to the cost effect of production. It indicates that PixArt Imaging Inc. is an investment target, typical of row risk and stable return.