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博碩士論文 etd-0517116-205403 詳細資訊
Title page for etd-0517116-205403
論文名稱
Title
經濟因素在投資的應用
Application of economic factors in investment
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
63
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2016-06-17
繳交日期
Date of Submission
2016-06-18
關鍵字
Keywords
股市、連檢定、逐步迴歸、趨勢變數、經濟變數
Economic Factors, Trend Variables, Stepwise Regression, Run Test, Stock Market
統計
Statistics
本論文已被瀏覽 5767 次,被下載 27
The thesis/dissertation has been browsed 5767 times, has been downloaded 27 times.
中文摘要
本研究目的,主要探討總體經濟於股市上的投資應用,有別於過去論文利用VAR、VECM等時間序列模型,探討總經變數與股市間的關係,並作為預判股市的投資應用;本論文著重在「趨勢」的研究,作者相信總體經濟和股市間有著共同變動(同向、反向)的共同趨勢性;藉由本研究提出的方法,將總體經濟數據轉變成「趨勢變數」,並利用過去一段時間的資料,藉由簡單迴歸或連檢定等檢定方式,尋找該時段與股市間擁有共同趨勢的總經變數,並利用逐步迴歸,篩選出最主要的總經變數,且按照某權重比例組成一新的指標(Index);而藉由此指標以及共同趨勢的特性,研判下期股市的漲跌;利用此法於台灣加權指數上進行簡單的投資應用時,發現當指標出現訊號時,其勝率最高約可達到62%,年化報酬11%。
Abstract
The purpose of the thesis is to investigate the relationship between economic factors and stock market. Different from the VAR and VECM model, the thesis focus on the research of 「TREND」. Author believes that there are common trend between economic factors and stock market.
By the method come from the thesis, we can change the economic variables into trend variables. Then, applying the regression model and run test model, we can find the economic variables which have the same path with stock market. Putting the variables into stepwise regression model, there will be a linear function at last. Through this function, we will obtain an index which provides us the reference about the investment decision for the next month.
We test the above steps in Taiwan stock market, and find that the performance is as following. The annualized return is about 10%, and the odds is about 60%.
目次 Table of Contents
論文審定書 i
中文摘要 ii
Abstract iii
目錄 iv
圖次 v
表次 vi
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究流程 3
第二章 文獻探討 4
第一節 計量方法的演變過程 4
第二節 總體經濟因子的演變 5
第三節 總體經濟與股市間關係的演變 6
第三章 趨勢概念說明 7
第一節 簡單迴歸的問題 8
第二節 趨勢的定義 16
第三節 趨勢的檢定 20
第四章 研究方法 22
第一節 事前趨勢的定義 22
第二節 資料來源與變數說明 24
第三節 統計方法 26
第四節 實證設計模型 28
第五章 實證結果 33
第一節 敘述性統計與相關係數檢定 34
第二節 事前趨勢變數檢驗 36
第三節 模型績效呈現 38
第六章 結論與建議 51
第一節 結論 51
第二節 未來研究方向 52
參考文獻 54
參考文獻 References
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