| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.author (Authors) | 謝郁嫻 | zh_TW |
| dc.contributor.author (Authors) | Hsieh,Yu Hsien | en_US |
| dc.creator (作者) | 謝郁嫻 | zh_TW |
| dc.creator (作者) | Hsieh,Yu Hsien | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:58:03 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:58:03 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:58:03 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094351004 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36859 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 94351004 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | Optimal prediction model of cyclical downturns proposed by Neftci (1982) was widely used in application to predict turning points of different economies such as US, UK, Japan, and West Germany. I apply Neftci model to predict the occurrence of bear markets of Taiwan stock market by using exchange rate of NTD, monitoring indicator of economy, and turnover rate of TAIEX as predictors. The results show that turnover rate outperforms the other two predictors, which signaled bear markets almost concurrently on average and the variation of the signal time is the smallest, ranging from 4 months lead to 4 months lag. | zh_TW |
| dc.description.abstract (摘要) | Optimal prediction model of cyclical downturns proposed by Neftci (1982) was widely used in application to predict turning points of different economies such as US, UK, Japan, and West Germany. I apply Neftci model to predict the occurrence of bear markets of Taiwan stock market by using exchange rate of NTD, monitoring indicator of economy, and turnover rate of TAIEX as predictors. The results show that turnover rate outperforms the other two predictors, which signaled bear markets almost concurrently on average and the variation of the signal time is the smallest, ranging from 4 months lead to 4 months lag. | en_US |
| dc.description.tableofcontents | Contents………………………………………………………………………… iAbstract………………………………………………………………………… iiAcknowledgements………………………………………………………… iiiⅠ. Introduction……………………………………………………………… 1Ⅱ. Definition of bull and bear market…………………………… 5Ⅲ. Neftci Model……………………………………………………………… 8Ⅳ. Data…………………………………………………………………………11Ⅴ. Applications………………………………………………………………14Ⅵ. Empirical results………………………………………………………17 5.1. Predicting bear markets by using exchange rate……17 5.2. Predicting bear markets by using monitoring indicator…………21 5.3. Predicting bear markets by using turnover rate……25Ⅶ. Conclusions……………………………………………………………… 29Reference…………………………………………………………………………31 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094351004 | en_US |
| dc.subject (關鍵詞) | 熊市 | zh_TW |
| dc.subject (關鍵詞) | 股市循環 | zh_TW |
| dc.subject (關鍵詞) | Neftci model | en_US |
| dc.subject (關鍵詞) | bear market | en_US |
| dc.subject (關鍵詞) | turning point | en_US |
| dc.title (題名) | 以Neftci model預測台灣熊市之研究 | zh_TW |
| dc.title (題名) | The Prediction of Bear Markets in Taiwan by Neftci Model | en_US |
| dc.type (資料類型) | thesis | en |
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