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博碩士論文 etd-0610112-212627 詳細資訊
Title page for etd-0610112-212627
論文名稱
Title
台灣總體經濟多因子預測模型
Macroeconomic multi factor forecasting model in Taiwan
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
64
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
2011-06-18
繳交日期
Date of Submission
2012-06-10
關鍵字
Keywords
因素分析、預測、夏普、因子、總體經濟
factor model, financial crisis, economic growth, business cycle, forecasting, macroeconomic factor model, factor analysis
統計
Statistics
本論文已被瀏覽 5817 次,被下載 169
The thesis/dissertation has been browsed 5817 times, has been downloaded 169 times.
中文摘要
本研究目的主要建構出總體經濟多因子模型來預測台灣股票市場走勢。首先,收集台灣及美國兩地的總體經濟指標,並透過因素分析來挑選及形成有用的複合因子代表台灣總體經濟成長狀況,最後,根據本研究的給分規則對各因子的分數進行排序,因而找出台灣股票市場的買賣點進行預測。本模型實證結果於2007年1月至2010年12月,其樣本外回測績效夏普指數為0.48,同時,在2008年金融海嘯期間其夏普指數則為0.95,本模型即使遇到金融海嘯仍有不錯的預測能力。總結,本研究可發現與總體經濟及景氣循環緊密相關的預測指標,並提供市場多空訊號給投資人參考。
Abstract
This purpose behind this study is to develop a model for forecasting the performance of the Taiwanese economy based on monthly time series data. We first extract the useful factors through factor analysis. Next, we rank the factor scores according to the rules of the trend and interpret the scores as signals to buy or sell appropriately. Our main result is that the Sharpe ratio of out-of-sample back-testing from January 2007 to December 2010 is 0.48, indicating an ability to forecast financial crises. In addition, a Sharpe ratio of 0.95 during the 2008 financial crisis suggests that our model may have been effective in predicting this crisis. Moreover, the macroeconomic factor model can provide better forecasting skills during financial crises. To conclude, this research may be of importance in explaining the relationship between macroeconomic variables and the business cycle, as well as in providing investors with better forecasting signals of the stock market in Taiwan.
目次 Table of Contents
摘要 i
ABSTRACT ii
CONTENT iii
TABLE INDEX iv
FIGURE INDEX v
I. INTRODUCTION 1
1.1 Background 1
1.2 Motivation of Research 3
II. LITERATURE REVIEW 5
2.1 Stock market development and Economic growth 5
2.2 Macroeconomic Factor Model 9
2.3 A Look at Six Macroeconomic Factors 11
III. METHODOLOGY 14
3.1 Analytical Framework 14
3.2 Preliminary Work 17
3.4 Formation the Composite Factors 24
3.5 Application of Macroeconomic Factor Model 29
IV. EMPIRICAL RESULTS 33
4.1 Data 33
4.2 Sample 34
4.3 Empirical results 35
4.4 Application of Macroeconomic Factor Model 46
V. CONCLUSION 51
REFERENCE 54 
TABLE INDEX
Table 1 The explanatory power of each type of factor model 3
Table 2 The lead-lag relationship between the macroeconomic indicators and GDP 21
Table 3 The scoring system of the macroeconomic factor model 31
Table 4 The application of scheme in scoring system 31
Table 5 Summary of descriptive statistics of each variable in the study 36
Table 6 List of significant descriptors 37
Table 7 The result of unit root test 38
Table 8 Results of KMO and Bartlett’s Test 39
Table 9 Total variance explained 41
Table 10 Rotation component matrix 41
Table 11 Factor correlation Matrix 42
Table 12 Factor scoring coefficient Matrix 43
Table 13 Significant factor testing 45
Table 14 ANOVA table 45
Table 15 VIF test 46
Table 16 Strategic performance report 47
Table 17 Strategic performance report based on historical events 48 
FIGURE INDEX
Figure 1 The different types of multifactor model 15
Figure 2 The process of the macroeconomic factor model 16
Figure 3 The trend between signals and TAIEX during out-of sample period 49
Figure 4 The relationship between signals and TAIEX during out-of-sample period 50
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