Title page for etd-0523116-192220


[Back to Results | New Search]

URN etd-0523116-192220
Author Kuan-Wen Chen
Author's Email Address No Public.
Statistics This thesis had been viewed 5581 times. Download 587 times.
Department Finance
Year 2015
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title A Study on Taiwan's Business Comprehensive Index - Application of TAIEX Early Warning
Date of Defense 2016-06-10
Page Count 58
Keyword
  • NTSR
  • Financial Crisis
  • Early Warning
  • TAITEX
  • Financial Stress Index
  • Bear Market
  • Abstract The only way to get stable profit is to avoid financial crisis, so that we use financial stress index with two-state Markov regime-switching to capture the financial event occurred in 1997Q1 to 2015Q4. In addition, we make use of the noise to signal ratio from the National Development Council to filter useful variables, and then combine them together to form Taiwan's Business Comprehensive Index. Our empirical results show that we could use financial stress index with two-state Markov regime-switching to indicate some events such as the Asian financial crisis, dot-com bubble, SARS crisis,cross-strait political-economic tensions, Mortgage Crisis, European debt crisis. Our index could make effective early warning a year before the crisis, therefore, Investors are allowed to early warning at a relatively the high point excluding 2004 to 2008 in stock market.
    Advisory Committee
  • Kuang-Erh Lai - chair
  • Zeng-Xiao Ping - co-chair
  • Guan-Ting Wang - co-chair
  • Chau-Jung Kuo - advisor
  • Files
  • etd-0523116-192220.pdf
  • indicate access worldwide
    Date of Submission 2016-06-24

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys