Testing bubbles and analyzing the performance of bubble portfolio: empirical research of Taiwan’s exchange listed company

• Main Authors: Guo, Sian Cong, 郭獻聰
• Other Authors: 林士貴
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/s3e3tk

碩士 === 國立政治大學 === 金融學系 === 105 === This paper used the bubble examination model according to Phillips, Wu and Yu (2011) and following papers to conduct empirical research on Taiwan market and NASDAQ index. The models used in this paper are PWY model, PSY model, Rolling Window ADF and Rolling Window BSADF that referred to the PSY model and the Rolling Window ADF. We tested NASDAQ index through the above models to test the bubbles, and constructed the portfolio of investing bubbles against not investing. The result shows that the portfolio of investing bubbles performs better than not investing bubbles, which is the same as the result of Guenster et al. (2009). In addition, the Rolling Window BSADF constructed by this paper are superior to the other three models on the performance of investment. Moreover, the examination of NASDAQ index finds that there are some advantages of Rolling Window BSADF including that the test result is independent of the selection of the initial point and not affected by the broken of cyclical bubbles and so on. To sum up, this paper concludes that the bubble examination and the construction of bubble investing portfolio of the Rolling Window BSADF are significantly better than the other three models.