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博碩士論文 etd-0607118-160526 詳細資訊
Title page for etd-0607118-160526
論文名稱
Title
總體經濟因素對台灣航運業股票價格之預測
Forecasting Stock Price of Shipping Industry in Taiwan with Macroeconomic Factors
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
42
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
2018-06-11
繳交日期
Date of Submission
2018-07-07
關鍵字
Keywords
總體經濟指標、LASSO、股價預測、航運業
macroeconomic factors, LASSO regression, forecasting stock price, shipping industry
統計
Statistics
本論文已被瀏覽 5682 次,被下載 9
The thesis/dissertation has been browsed 5682 times, has been downloaded 9 times.
中文摘要
  航運是國際貿易的基礎,全球實體商品及貨物的互通有無皆須依賴航運業完成,也因此航運業會直接受到全球貿易供給及需求的影響,如國際貿易量減少,可能暗示著景氣衰退,也會直接反映到航運業的營收表現。因此本研究以預測航運業股價之漲跌為目的,並找出對台灣航運業股票價格影響較大的總體經濟因素。
  本研究將總體經濟因素轉換為趨勢期數,並設置滾動期間,試圖捕捉股價的長期趨勢,之後進行初步的變數篩選,再透過LASSO迴歸模型預測台灣航運業的股價走勢。
  而後以倒流測試來驗證預測的有效性,測試結果發現參數設定以趨勢期數一期、滾動期間五年、預測未來一個月股價的效果最佳,勝率達69.92%、年化報酬率12.08%,為去除微弱訊號的影響,在設置門檻為0.01時的結果為最佳,勝率達78.02%、年化報酬率12.21%,優於持續持有航運業指數的年化報酬率6.06%。
  最後得出以下三點結論:
一、 總體經濟因素對於跨國貨運業之股價確實有預測能力。
二、 影響跨國貨運產業的主要經濟因素為:台灣M2年增率、美國首次申請失業救濟人數、台灣發行量加權股價指數、中國M1貨幣供應量年增率、路透/ Jefferies-CRB期貨商品指數、美國出口指數、美國ISM製造業生產指數。
三、 台灣航運業屬相對有效率的市場,且時常歷經結構性的轉變。
關鍵字:航運業、股價預測、總體經濟指標、LASSO
Abstract
International trade is based on shipping industry. Transportation of goods all around the world is contingent on this industry, so it’s affect by demand and supply of global trade. If the volume of trading reduced, it might imply that the economic is during a regression period and reflect directly to the revenue of the industry. As a result, this thesis focus on predicting the stock price of shipping industry. At the meanwhile, we intent to find out the macroeconomic factors which have a relative important effect on the stock price.
This thesis transformed macroeconomic factors to trend period and set rolling window to capture the momentum of long-term trend of economic. Then we conduct feature selection to find out critical factors and forecast the stock price through the model building of LASSO regression.
We used back-testing to examine the effectivity of the result. It shows the win-rate is up to 69.92% and the annual return rate is 12.08% with basic model. The win-rate is up to 78.02% and the annual return rate is 12.21% with threshold adjustment of 0.01, better than holding the shipping index continuously.
The following is conclusion of this thesis: Firstly, macroeconomic factors do have the ability of forecasting the stock price of shipping index. Second, the major factors that affect the shipping industry are annual growth rate of M2 in Taiwan, initial application for unemployment benefits in US, Taiwan Capitalization Weighted Stock Index, annual growth rate of M1 in China, CRB Futures Price Index, Index of export in US, and ISM Production index in US. Third, shipping industry in Taiwan is a relative efficiency market and often changes its construction.
Keywords: shipping industry, forecasting stock price, macroeconomic factors, LASSO regression
目次 Table of Contents
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 2
第三節 台灣航運業簡介 3
第四節 研究內容概述 4
第二章 文獻探討 5
第一節 統計方法之演進 5
第二節 預測因子之選擇 6
第三章 研究方法 8
第一節 資料來源與變數說明 8
第二節 趨勢期數 11
第三節 滾動期間(Rolling) 12
第四節 變數篩選(Feature Selection) 12
第五節 模型建立 13
第六節 實驗流程設計 13
第四章 實證結果 17
第一節 變數篩選結果 17
第二節 勝率 25
第三節 倒流測試 28
第五章 結論與建議 31
第一節 結論 31
第二節 未來研究方向 32
參考文獻 34
參考文獻 References
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