[[alternative]]The Empirical Analysis of Portfolio for Crash Risk: Evidence in Taiwan Listed Company

[[abstract]] 為了幫助投資人在參與股票市場的運作時能有效掌握投資風險。有鑑於崩盤風險是在進行投資組合時，須留意的其中一項變數，遂利用此次崩盤風險研究並以台灣股市為其投資組合，進行有效的數據分析，希冀做好有效的風險管理。 本研究以2010年1月至2021年7月期間，台灣全體上市公司，每月崩盤風險、市值規模大小及收盤價為研究樣本，並區分為電子股與非電子股兩大類股，藉此探討崩盤風險變動之投資策略是否存在超額報酬。本研究實證結果顯示採用每月崩盤風險策略時，投資台灣全體上市公司與非電子類股公司，以台灣全體上市公司而言，小型高崩盤風險指標投資組合報酬率皆優於其他風險指標投資組合，也高於加權指數的報酬績效；同時發現台灣上市電子股公司而言，小型高崩盤風險指標投資組合報酬率皆優於其他風險指標投資組合，也高於加權指數的報酬績效；另外就台灣上市非電子股公司而言，小型高崩盤風險指標投資組合報酬率皆優於其他風險指標投資組合，也高於加權指數的報酬績效。[[abstract]] In order to help investors effectively grasp investment risks when participating in the operation of the stock market. In view of the fact that crash risk is one of the variables that should be paid attention to when conducting a portfolio, we used this crash risk study and the Taiwan stock market as its portfolio to conduct effective data analysis, hoping to do a good job in effective risk management. This study takes the monthly crash risk, market capitalization size and closing price of all listed companies in Taiwan from January 2010 to July 2021 as a research sample, and distinguishes them into two major categories of electronic stocks and non-electronic stocks, so as to explore whether there is excess return on the investment strategy of the crash risk change. The empirical results of this study show that when using the monthly crash risk strategy, when investing in all listed companies and non-electronic stock companies in Taiwan, the return rate of the small high crash risk indicator portfolio is better than that of other risk indicator portfolios and higher than the return performance of the weighted index, and it is found that the return rate of the small high crash risk indicator portfolio is better than that of other risk indicator portfolios and also higher than the reward performance of the weighted index for Taiwan-listed electronic stock companies In addition, for Taiwan-listed non-electronic companies, the return rate of small high crash risk indicator portfolios is better than that of other risk indicator portfolios, and it is also higher than the remuneration performance of weighted indexes