本研究以觀察2007年至2018年間台灣投資人所持有之海外基金存量變動與其替代投資標的包括台股、保險和房地產之變化做為出發，探討台灣投資人持有之海外基金類型在多頭市場背景下相對保守的可能原因，並基於泡沫偵測法建構進出場參考時間點以為投資對策。推測可能原因包括2014年1月美國聯邦準備理事會( The Federal Reserve System ，簡稱聯準會)宣布QE( Quantitative easing，量化寬鬆)退場使金融市場產生流動性縮減預期形成價格修正壓力，以及2014年3月中國改革人民幣匯率形成機制致使人民幣兌美元匯率單邊升值趨勢逆轉從而造成TRF( Target Redemption Forward，目標可贖回遠期契約）投資部位虧損嚴重以及其他因素影響下，前述資產類別除傳統型保險外均呈下跌狀態，在一定程度上影響了台灣投資人信心而益偏保守。金融業者為順應消費者偏好亦或出於自我保護與主管機關日趨嚴謹的規範均進一步推升台灣投資人風險趨避情緒，從而僅得分享部分後續年度全球金融市場回漲的益處。同時本研究以Phillips et al.( 2018 )提出之價格泡沫偵測法對美國標準普爾500( Standard and Poor’s 500 Index )、美國那斯達克指數( Nasdaq Composite Index )以及美國十年期與兩年期公債殖利率利差所提出之操作策略的實證結果發現可取得有利於長期持有之操作模式的參考進出時點。

This paper observes the changes in offshore fund holdings held by Taiwan investors from 2007 to 2018, as well as the changes in their alternative investment tools, including Taiwan stock market, insurance products and real estate, and explores the possible causes for the conservative preference of Taiwan investors during bull market. In January 2014, the announcement of the end of quantitative easing (QE) by Federal Reserve Board caused the expectations of reducing liquidity in financial market, and added pressure to price correction. Besides, in March 2014, China’s reform of the RMB exchange rate formation mechanism led to depreciation of the RMB against the US dollar and inflicted a significant loss in Target Redemption Forward (TRF). These factors weakened the confidence of Taiwan investors and the financial industry. Together they have become conservative in their investment and product strategies. Additionally, the increasingly stringent regulations of the authorities have further pushed up the risk aversion of Taiwanese investors, who shared little profits in the bull market these years. On the other hand, this paper adopts the method of price bubble detection by Phillips et al. (2018) and constructs investment strategies. The empirical result takes Standard & Poor's 500 index, Nasdaq composite index, and the yield spreads between US 10 year and 2 year government bonds into consideration and facilitates long-term buy and hold investment strategies.

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