Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/136566


Title: 以動態 Probit 迴歸模型預測台灣股市的牛熊市
Forecasting Bull and Bear Market in Taiwan Equity Market with Dynamic Probit Model
Authors: 施沛昇
Shih, Pei-Sheng
Contributors: 徐士勛
Hsu, Shih-Hsun
施沛昇
Shih, Pei-Sheng
Keywords: Bry-­Boschan 法則
動態 Probit 模型
熊牛市預測
閾值
ROC 曲線
市場擇時投資策略
Date: 2021
Issue Date: 2021-08-04 16:00:17 (UTC+8)
Abstract: 本研究首先利用 Pagan and Sossounov (2003) 所修改過後的 Bry­-Boschan 轉折點認定法則來判斷台灣股市的熊牛市期間,之後再嘗試建構動態 Probit 模型來預測未來台灣股市發生熊市的機率值以探討動態結構下的預測模型在台灣股市的研究主題上是否也可以得到與國外文獻相同的結論。在預測變數的挑選上,除了使用過往文獻多數使用的國內總經類變數及貨幣政策的相關變數之外,我們也嘗試納入國內股市財務變數及國外股市指數等資訊。此外,預測過程採用遞迴法,並且搭配三種不同單一落後期的設定。

實證結果發現,落後一期的模型預測效果最佳,且模型的預測能力及配適程度會有隨著預測變數落後期拉長而遞減。同時,我們也證實在台灣股市的研究範疇上,動態 Probit 模型在預測能力方面優於靜態 Probit 模型。另外,本文也證實,除了一般傳統的總經及貨幣政策類變數具有顯著預測力外,也發現在國內股市相關變數上如台股歷史報酬率、IPO 件數及 M&A 件數對於台灣股市未來的市場狀態也是具有預測力;而國外股市指數變數中如香港恆生指數報酬率、韓國綜合指數報酬率及上海證券綜合指數報酬率都被證實具有不同程度的預測力。最後,我們以模型所預測的熊市機率搭配 ROC 曲線對應的最適閾值,證實當預測到市場即將進入熊市時,適時調整資產配置部位的市場擇時投資策略在報酬率方面將優於買入持有策略。
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Description: 碩士
國立政治大學
經濟學系
108258035
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108258035
Data Type: thesis
Appears in Collections:[經濟學系] 學位論文

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