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題名 經濟追蹤投資組合在台灣金融市場之表現
The Performance of Economic Tracking Portfolios in Taiwan Financial Market
作者 林佳宜
Lin, Chia Yi
貢獻者 郭維裕
Kuo, Weiyu
林佳宜
Lin, Chia Yi
關鍵詞 經濟追蹤投資組合
追蹤
Economic Tracking Portfolios
tracking
日期 2008
上傳時間 9-May-2016 11:26:16 (UTC+8)
摘要 An economic tracking portfolio (ETP) is a portfolio of assets whose returns track an economic variable. This paper applies the ETP approach to predicting the future values of macroeconomic variables in Taiwan financial market at different time horizons. We construct the tracking portfolios whose returns have the maximum correlations with the target variables of any base assets. From the analysis, the ETP approach is able to track the changes in the market expectations about future economic variables. Particularly, the returns of the “new economy” stocks and the financial stocks have good explanatory power for the future values of target variables. Furthermore, our results also support for the use of industry portfolios in out-of-sample forecasting.
參考文獻 Canova, F and De Nicolo, G, 1995, Stock returns and real activity: a structural approach, European Economic Review 39, 981-1015.
     
     Christoffersen, P., Ghysels, E., and Swanson, N. R., 2000, Let’s get real about using economic data, McGrill University Working Paper.
     
     Christoffersen, P., and Slok, T., 2000, Do asset prices in transition countries contain information about future economic activity?, IMF Working Paper.
     
     Fama, E. F., 1975, Short-term interest rates as predictors of inflation, American Economic Review 65, 269-282.
     
     Fama, E. F., 1981, Stock returns, real activity, inflation, and money, American Economic Review 71, 645-565.
     
     Fama, E. F., 1990, Stock returns, expected returns, and real activity, Journal of Finance 45, 1089-1108.
     
     Fama, E. F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
     
     Hayes, S., 2001, Leading Indicator Information in UK Equity Prices: An Assessment of Economic Tracking Portfolios, Bank of England Working Paper No. 137.
     
     Junttila, J., 2002, Forecasting the Macroeconomy with Current Financial Market Information in Europe and the United States, Bank of Finland Research Discussion Paper No. 2.
     
     Junttila, J., and Kinnunen H., 2004, The performance of economic tracking portfolios in an IT-intensive stock market, Quarterly Review of Economics and Finance 44, 601-623.
     
     Lamont, O. A., 2001, Economic tracking portfolios, Journal of Econometrics 105, 161-184.
描述 碩士
國立政治大學
國際經營與貿易學系
95351017
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095351017
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo, Weiyuen_US
dc.contributor.author (Authors) 林佳宜zh_TW
dc.contributor.author (Authors) Lin, Chia Yien_US
dc.creator (作者) 林佳宜zh_TW
dc.creator (作者) Lin, Chia Yien_US
dc.date (日期) 2008en_US
dc.date.accessioned 9-May-2016 11:26:16 (UTC+8)-
dc.date.available 9-May-2016 11:26:16 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 11:26:16 (UTC+8)-
dc.identifier (Other Identifiers) G0095351017en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94658-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 95351017zh_TW
dc.description.abstract (摘要) An economic tracking portfolio (ETP) is a portfolio of assets whose returns track an economic variable. This paper applies the ETP approach to predicting the future values of macroeconomic variables in Taiwan financial market at different time horizons. We construct the tracking portfolios whose returns have the maximum correlations with the target variables of any base assets. From the analysis, the ETP approach is able to track the changes in the market expectations about future economic variables. Particularly, the returns of the “new economy” stocks and the financial stocks have good explanatory power for the future values of target variables. Furthermore, our results also support for the use of industry portfolios in out-of-sample forecasting.zh_TW
dc.description.tableofcontents 1. INTRODUCTION 4
     2. PREVIOUS WORK 7
     3. ECONOMIC TRACKING PORTFOLIO APPROACH 9
     4. DATA 12
     5. EMPIRICAL RESULTS 14
     5.1 PREVIOUS ANALYSIS OF THE DATA 14
     5.2 RESULTS FROM ETP ANALYSIS 16
     5.2.1. Whole sample 16
     5.2.2. Separated sample 20
     5.2.3. Out-of-sample forecast 21
     6. CONCLUSIONS 24
     APPENDIX 26
     REFERENCE 54		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095351017en_US
dc.subject (關鍵詞) 經濟追蹤投資組合zh_TW
dc.subject (關鍵詞) 追蹤zh_TW
dc.subject (關鍵詞) Economic Tracking Portfoliosen_US
dc.subject (關鍵詞) trackingen_US
dc.title (題名) 經濟追蹤投資組合在台灣金融市場之表現zh_TW
dc.title (題名) The Performance of Economic Tracking Portfolios in Taiwan Financial Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Canova, F and De Nicolo, G, 1995, Stock returns and real activity: a structural approach, European Economic Review 39, 981-1015.
     
     Christoffersen, P., Ghysels, E., and Swanson, N. R., 2000, Let’s get real about using economic data, McGrill University Working Paper.
     
     Christoffersen, P., and Slok, T., 2000, Do asset prices in transition countries contain information about future economic activity?, IMF Working Paper.
     
     Fama, E. F., 1975, Short-term interest rates as predictors of inflation, American Economic Review 65, 269-282.
     
     Fama, E. F., 1981, Stock returns, real activity, inflation, and money, American Economic Review 71, 645-565.
     
     Fama, E. F., 1990, Stock returns, expected returns, and real activity, Journal of Finance 45, 1089-1108.
     
     Fama, E. F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
     
     Hayes, S., 2001, Leading Indicator Information in UK Equity Prices: An Assessment of Economic Tracking Portfolios, Bank of England Working Paper No. 137.
     
     Junttila, J., 2002, Forecasting the Macroeconomy with Current Financial Market Information in Europe and the United States, Bank of Finland Research Discussion Paper No. 2.
     
     Junttila, J., and Kinnunen H., 2004, The performance of economic tracking portfolios in an IT-intensive stock market, Quarterly Review of Economics and Finance 44, 601-623.
     
     Lamont, O. A., 2001, Economic tracking portfolios, Journal of Econometrics 105, 161-184.		zh_TW