| Summary: | 碩士 === 華梵大學 === 資訊管理學系碩士班 === 101 === Under the rapid development of the free market economy, the Taiwan's securities market has also come to flourish. According to the statistics of the Taiwan Stock Exchange Corporation (TWSE), the total number of the listed companies was 113 in 1982 and increased to 790 in 2011. How to find out the effective stock selection indicator from so many listed companies and provide the investors to construct a better stock investment allocation model, is often one of the issues for the investors.
The decision-making process of the investment portfolio was used in this study as the basic framework to explore the performance of the statistical stock portfolio based on the frequency of words. The Search Engine was used to query the listed companies of Taiwan securities market and count the number of records in the results as the frequency for each company. The top-10 listed companies with higher frequency are selected as the stock profolio. The investment of each company in the stock profolio is equal or according to the frequency weight of each company in two models. The stock portfolios based on the top-10 MSCI shares and TAIEX constituent stocks are compared to the different models based on this proposed method.
Experimental results show that the weighted and category-grouping model by searching the full name and the code of company has a stable performance higher than other models in average, regardless of the trend of the weighted index tends to rise or fall.
From April 25 to Oct. 1 in 2012, the investment performance of the best model based of the proposed method is approximately 9.13%, but the rates of returns are -9.69~-12.32% for the four investment models based the Morgan (MSCI) constituent stocks and the Taiwan Stock Index (TAIEX) constituent stocks.
|
|---|
