Portfolio selection and normality discussion: Evidence from Taiwan stock market

• Main Authors: Chen-ju Chuang, 莊政儒
• Other Authors: Sue-Lin Lai
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/53959214123311669379

碩士 === 中國文化大學 === 國際企業管理研究所 === 88 === This paper first tests the return distributions of fifteen different industries in Taiwan stock market, and the result does not obey a normal distribution in the short-term period observed. Second, we analyze the symmetry of distributions. The effect of skewness in these fifteen industries is not obvious. Instead, the distributions appear to be symmetri-cal. Evidence also suggests the investment strategy of portfolio selection to achieve the greatest return in the optimal risk under different Economic cycles. Using the portfolio selection analysis, we find a weekly return of 111.47% and a daily return of 7% under the Bull market, but in the Bear market, we find a weekly return of 3.048% and a daily return of —2.815%. The average weekly and daily returns are 40.979% and 0.793% respectively during the total research time.