The Study of Investment Strategy in Taiwan Stock Market-The Analysis of PE Ratio by Time Series

• Main Authors: Liang,Chih-Hsin, 梁志新
• Other Authors: Shang Chi Gong
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/24970202200312646074

碩士 === 輔仁大學 === 金融研究所 === 96 === In the stock market in Taiwan, mostly, the individual investors may have difficulties in obtaining some investment information, which is to be called “delayed-action investors.” Through getting terminal information and pursuing update profit, it would not be easy for these investors to make the best profit on buying stocks, and even worse, to be trapped in the stock swamp. The motive of this research is to discover a simple, handy and effective investment method, so that the individual investors could make better profit when the stock information is insufficiency. The researcher suggested that the individual buyer hold a long-term stock without any loan, by which the buyer could lower the risk to get better rate of return on investment. That is “Buy and Hold Strategy.” The Time Series Analysis Method was applied in this research. First of all, the Unit Root Test was used to test whether the PE series data is stationary, then, to run the ARMA model to find out the best fitness model, getting the long-run mean and statistical dispersion. Finally, the long-run mean and statistical dispersion of PE ratio, which was estimated by some realistic tested result, were utilized to set an investing strategy, finding a better rate of return on investment. It is successful for this research to use the long-run mean found by Time Series Model to set the strategy for investing Taiwan’s stock market. In particular, the investing effect is positively obvious for those companies that have been listed in Taiwan’s stock market for a long time, and the higher amount of capital, the more profit they could get.