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Title: 美國股票與公債市場戰略性投資輪轉策略-動態 Logit 模型的應用
Tactical Rotation Strategy of Stock and Government Bond Markets in the United States: An Application of Dynamic Logit model
Authors: 盧博廉
Lu, Bo-Lian
Contributors: 徐士勛
Hsu, Shih-Hsun
Lu, Bo-Lian
Keywords: 股票與公債輪轉
Logit 模型
ROC 曲線
Lasso Logistic Regression
Date: 2021
Issue Date: 2021-09-02 17:42:44 (UTC+8)
Abstract: 本文研究美國股票與公債市場戰略式投資輪轉策略。首先,本文修 改 Pagan and Sossounov (2003) 提出的規則,將股票與公債認定成三 種不同的週期,分別為「月報酬方向」、「短週期趨勢」、「長週期 趨勢」。實證方面則是採用遞迴法,每期均會使用 ADF 檢定與 Lasso Logistic Regression 重新篩選一次變數,最後再使用 Logit 模型進行機 率估計。樣本外投資績效方面,本文發現三種模型均顯著優於大盤表 現,其中「短週期模型」所得到的績效表現最佳。另外,本文也發現 三種模型在不同期間選擇的變數均不盡相同,顯示相對於傳統方法, 採用遞迴選取變數法,不但可以看出三個模型所採用的變數均不相 同,並且每一個變數在不同時間下,對於股債項牛市機率也有不同的 預估能力。
Reference: 何興強和周開國(2006),「牛、市週期和股市間的週期熊性」,《管理世界》,4,35-40。
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Data Type: thesis
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