Stock Investing Using Market-share Estimation Based on Aggregate Data

• Main Authors: Wen-Yi Luo, 羅文義
• Other Authors: Shu-Jung Yang
• Format: Others
• Language: en_US
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/vb3ub2

碩士 === 國立臺灣大學 === 商學研究所 === 107 === This study aimed to discuss the utility of investors when investors buy stocks in the stock market under the BLP framework. We applied a Bayesian approach to analyze different stocks based on the aggregate level historical trading data in the Taiwan Stock Exchange. This Bayesian analysis method was based on the algorithm in Jiang, Manchanda and Rossi (2009) and the multinomial logit model for aggregated data with random coefficients - the so-called BLP model, named for Berry, Levinsohn and Pakes (1995). This study mainly focused on the constituent stocks in Yuanta / P-shares Taiwan Top 50 ETF (0050.TW) and estimated utility for investors. The result indicates that the quarterly investors contemplated the closing price, SITE shareholding ratio, and ROE when making investment decision. The researcher further implemented a stop-loss strategy in the investment method and the annualized rate of return during 2017Q1 to 2019Q1 was about 26.7%.