Applying Gini Coefficient to Measure Stock Concentration：Construction of Taiwan Securities Market Trading Strategy
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 105 === Gini coefficient is a way to measure the degree of stock concentration. In economics, it is usually used to measure the dispersion of income distribution. This thesis uses Gini coefficient to calculate stock concentration from all the transactions in Taiwan st...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/92rv4t |
| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 105 === Gini coefficient is a way to measure the degree of stock concentration. In economics, it is usually used to measure the dispersion of income distribution. This thesis uses Gini coefficient to calculate stock concentration from all the transactions in Taiwan stock market. Analyses of basic regression model and more advanced vector auto-regression (VAR) model were carried out to capture the relation between stock concentration and stock price for the sample stocks. Through the co-integration analysis, we explore whether there is a connection between the stock price movement and its cumulative Gini coefficient. Based on the relations observed from preceding analysis, we develop our trading models for the individual constituent stocks from popular ETFs in Taiwan stock market. The back testing results show that the trading strategies based on our models perform better than the Taiwan stock market index as well as the related ETFs.
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