Study on the Selection of Stock Portfolio and the Distribution of Return Rate in the Taiwan's Stock Market

• Main Authors: Ko, Zi-Hsin, 柯子信
• Other Authors: Lin, Chi-Tien
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/79876689882671269750

碩士 === 靜宜大學 === 財務與計算數學系 === 104 === Previous studies on population of Taiwan’s security market showed that the investment proportion of privative investors is much higher than domestic and foreign corporation investors but the relative gain and performance of privative investors are lower than corporation investors. In this thesis, we attempt to find out a selection formula based on so-called fundamental analysis to pick the best investment portfolio. There are two main methods for investors in choosing stocks in the security markets. The first one is Technical Analysis which is for short-term investment. The other one is Fundamental Analysis, mainly about estimating the profitability of enterprises, such as Gross Margin, Operating Profit Margin and Price-to-Earning Ratio. The second method can be applied to long-term security investment. In our study, based on Earning Per Share(EPS), Earning Per Share growth rate and Return on Equity(ROE), we select two investment portfolios from the constituent stocks of Taiwan 50 (code:0050) and Medium 100(code:0051), which are named Taiwan 15 and Medium 15 respectively. Our back-testing during the specific period 2007/3/30 to 2015/4/30 shows that the annual investment rates are 11.16% and 4.53% for Taiwan 15 and Taiwan 50 respectively, a 6.63% gap. At the same time, the annual investment rates are 10.27% and 1.15% for Medium 15 and Medium 50 respectively, a 9.12% gap. In the second part of the thesis, we checked the normal distribution of investment rate property on the Taiwan Stock Exchange (TAIEX) Index, Taiwan 50 Index and Medium 100 Index via evaluating coefficients of skewness and kurtosis. We found that TAIEX, Taiwan 50 and Medium 100 are all with leptokurtic distribution. Moreover, we checked the Fat Tail phenomenon via the frequency within 4 Standard Deviation and found that TAIEX, Taiwan 50 and Medium 100 would have a decline which exceed their 4 SD (5.19%, 4.59% and 5.92% respectively) every twenty months, sixteen months and twelve months respectively. To sum up, in our study, we found that the investment rates of our portfolios with consideration on the Earning Per Share(EPS), Earning Per Share growth rate and Return on Equity(ROE) only perform much better than Taiwan 50 and Medium 100. We also found that the return rates of TAIEX index, Taiwan 50 and Medium 100 are not of normal distribution. Indeed, they all are with fat tail phenomena.