臺灣主要指數之擇股能力探討──考量台積電窄基指數之效應

The Study on the Stock Selection Ability of Taiwan’s Major Indexes: Considering the Effect of TSMC Narrow-Based Index

本研究之研究期間為2021年7月9日至2024年3月8日，將2021年7月9日至2022年10月21日定義為空頭期間，共68週資料，而將2022年10月28日至2024年3月8日定義為多頭期間，共71週資料。2024年3月8日為台灣加權指數由台積電股價領軍盤中觸及2萬點的重要日子，為了探討台積電股價之效應，本研究分別採用臺灣加權指數及臺灣加權指數（不含台積電）作為市場報酬率（RM），而臺灣主要指數的部分，則使用中小型300指數、中小型A級動能50指數、小型300指數、中型100指數、臺灣50指數及富櫃50指數等六檔指數。2024年4月30日台積電（2330）占加權指數權重達30%以上已連續46天，已符合美國商品期貨交易法（Commodity Exchange Act, CEA）的窄基指數，美國境內投資人（含法人機構），不得交易大小台指期，但現貨則沒有這項限制。經過嚴謹實證過程獲得以下的結論：
於空頭期間，六檔主要指數超額報酬分別與臺灣加權指數及臺灣加權指數(不含台積電)風險溢酬之Jensen指標，皆未達顯著水準，此表示於空頭期間皆無顯著的擇股能力。其次，於多頭期間，與臺灣加權指數之風險溢酬相比較，只有中小型A級動能50指數有顯著的擇股能力。但當臺灣加權指數(不含台積電)時，六檔主要指數中，則有中小型300指數、中小型A級動能50指數及中型100指數超額報酬擊敗大盤，有顯著的選股能力，亦即當臺灣加權指數含台積電時，較不易被主要指數所擊敗。綜上所述，於多頭市場，只有中小型A級動能50指數不論是在臺灣加權指數或是臺灣加權指數(不含台積電)市場風險溢酬之下，皆有顯著的擇股能力，而富邦臺灣中小A級動能50ETF係追蹤此指數在交易所掛牌買賣的基金。

The research period of this study is from July 9, 2021, to March 8, 2024. The period from July 9, 2021, to October 21, 2022, is defined as a short period with 68 weeks of data, while the period from October 28, 2022, to March 8, 2024 is defined as a long period with 71 weeks of data. It is an essential day on March 8, 2024, when the TWSE Capitalization Weighted Stock Index, led by TSMC Stock Price, hit 20,000 points intraday. This study uses the TWSE Capitalization Weighted Stock Index and the TWSE Capitalization Weighted Stock Index (excluding TSMC) as the market return rate (RM) to explore the effect of TSMC Stock Price. As for Taiwan’s major indexes, this study uses six indexes: the TIP Small/Mid-Cap Representative 300 Index, the TIP TAIEX+ Small/Mid-Cap Alpha Momentum 50 Index, the TWSE TAIEX Small-Cap 300 Sub-index, the FTSE TWSE Taiwan Mid-Cap 100 index, the FTSE TWSE Taiwan 50 index, and the TPEx 50 Index. On April 30, 2024, TSMC accounted for more than 30% of the weighted index for 46 consecutive days and has become a narrow-based index in compliance with the U.S. Commodity Exchange Act (CEA). Investors (including institutions) cannot trade TAIEX Futures and Mini-TAIEX Futures, but there is no such restriction on spot prices. After a rigorous empirical process, this study obtained the following conclusions:
During the short period, the Jensen index of the excess returns of the six major indexes, respectively compared with the risk premium of the TWSE Capitalization Weighted Stock Index and the TWSE Capitalization Weighted Stock Index (excluding TSMC), did not reach significant levels, which means that there was no significant stock selection ability during the short period. Next, during the long period, compared with the risk premium of Taiwan’s weighted index, only the TIP TAIEX+ Small/Mid-Cap Alpha Momentum 50 Index had significant stock selection ability. However, when the TWSE Capitalization Weighted Stock Index (excluding TSMC) was used, among the six major indexes, The excess returns of the TIP Small/Mid-Cap Representative 300 Index, the TIP TAIEX+ Small/Mid-Cap Alpha Momentum 50 Index, and the FTSE TWSE Taiwan Mid-Cap 100 index beat the market and had significant stock selection ability. When the TWSE Capitalization Weighted Stock Index, including TSMC, was less likely to be beaten by the major indexes.