Empirical Project

Files

• data.xlsx -> EBT growth and Sales growth for all Taiwan electronics industries

• index data.txt -> Taiwan Electronics Index closing price

• price.txt -> All Taiwan electronics industry closing prices

• Project.ipynb -> Portfolio Construction, BackTesting and Comparison using JupyterNotebook (Python)

• Research Report_Stan Chiang.pdf -> Business Report (Title: An empirical study of electronics industry based on Smart Beta using Python: Taiwan stock market as an example)

Information

• Database: TEJ+

• Market: Taiwan Stock Market

• Industry: Electronics Industry

• Benchmark Index: Taiwan Electronic Index (TELI)

• Listing: Taiwan Stock Exchange (TWSE) Listed (TSE) & Taipei Exchange (TPEx) Listed (OTC)

• Duration: 20130102~20191231

• Rebalance Frequency: Every Quarter

• Weighting: Factor-weighting

• Factor: EBT Growth/Sales Growth

• Programming: Python 3.7.4

• IDE: Jupyter Notebook with Visual Studio Code