如何提高台灣觀光類股之投資效率

How to Improve the Efficiency of Investment on the Stock of Taiwan's Tourism Industry

近年來陸客為台灣觀光市場的重要客源，本研究採用2007年7月3日至2014年6月27日的日資料，運用Johansen共整合檢定和Granger因果檢定，發現同時運用晶華（2700）之股價，觀光產業加權類股指數（2700）和台灣50ETF（0050）之股價進行程式交易確能獲利，證實本研究之假說：1.台灣觀光產業存在羊群效應，和2.觀光類股價運行的投資可以任用正反饋交易行為模式提升投資效率。

Mainland China tourist is the most important sources of tourism for Taiwan in recent years. Daily data of Taiwan's tourism stock, covering the period from July, 3, 2007 to June, 2014, are employed. Johansen's maximum likelihood procedure and Granger causality are used to explain the herding behavior and positive feedback effect in tourism industry of Taiwan. It indicates that: 1.Taiwan's tourism stock market does existence the effect of herding and 2. Adopting positive feedback trading can improve the efficiency of investment Taiwan's tourism market.