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題名 類股指數領先大盤抑或是大盤領先類股指數?–簡單周期判定法則之應用
Can Industry Index predict TAIEX, or vice versa?–The application of a simple dating technique
作者 陳怡瑄
貢獻者 郭炳伸
陳怡瑄
關鍵詞 類股指數
大盤
牛市熊市周期
變動方向預測
Industry Index
TAIEX
bull and bear cycles
prediction of cycle direction
日期 2009
上傳時間 9-May-2016 14:53:38 (UTC+8)
摘要 本文引用Pagan and Sossounovb（2003）針對Bry and Boschan（1971）景氣循環周期判定法修改後的法則，判定大盤與類股指數的牛市、熊市周期。將判定的周期結果畫成圖表，藉由簡單的圖表分析將可明確得知大盤周期與類股周期領先與落後的關係，並應用計量模型估計，找尋能夠顯著預測大盤周期變動方向的類股，或是檢驗大盤周期是否能夠預測類股周期方向；反之亦然。並且比較圖表分析與計量模型估計結果是否一致。
     
     圖表分析與向量自我迴歸模型的實證結果一致，八大類股中，營建、金融、機電、塑化等四類股周期能夠顯著預測大盤周期走勢，其中以塑化類股最具預測能力；而大盤周期皆無法精準預測類股周期走勢。而羅吉斯迴歸模型結果也發現，營建、金融、機電、塑化等四類股周期能夠增加大盤周期走勢的預測機率；同樣的，大盤周期無法影響類股周期走勢的預測機率。
參考文獻 Ang, A., and Bekaert, G., “Stock return predictability: is it there?” Review of Financial Studies, Vol.20, Iss.3, May 2007, pp. 651-707
     
     Berkson, J., “Application of the Logistic Function to Bio-assay,” Journal of the American Statistical Association, Vol.39, No.226, September 1944, pp. 357-365
     
     Bry, G., and Boschan, C., “Cyclical Analysis of Time Series: Selected Procedures and Computer Programs,” New York: National Bureau of Economic Research, 1971
     
     Burns, A.F., and Mitchell, W.C., “Measuring Business Cycles,” New York : National Bureau of Economic Research, 1946
     
     Chauvet, M., and Potter, S., “Coincident and leading indicators of the stock market,” Journal of Empirical Finance, Vol.7, Iss.1, May 2000, pp.87–111
     
     Chen, A.S., Leung, M.T., and Daouk, H., “Application of neural networks to an emerging financial market: forecasting and trading the Taiwan stock index,” Computers and Operations Research, Vol.30, Iss.6, May 2003, pp.901–923
     
     Chen, A.S., Leung, M.T., and Daouk, H., “Forecasting stock indices: a comparison of classification and level estimation models,” International Journal of Forecasting, Vol.16, Iss.2, April - June 2000,pp. 173–190
     
     Cunado, J., Gil-Alana, L.A., and Perez de Garcia, F., “Stock Market Volatility in US Bull and Bear Markets,” Journal of Money, Investment and Banking, Vol.1, Iss.1, 2008, pp.24-32
     
     Eun, C.S., and Shim, S., “International transmission of stock market movements,” Journal of Financial and Quantitative Analysis, Vol.24, Iss.2, Jun 1989, pp. 241-256
     
     Fabozzi, F.J., and Francis, J.C., “Stability Tests for Alphas and Betas over Bull and Bear Market Conditions,” Journal of Finance, Vol.22, No.4, September 1977, pp.1093-1099
     
     Gomez Biscarri, J., and Perez de Gracia, F., “Stock market cycles and stock market development in Spain,” Spanish Economic Review, Vol.6, 2004
     
     Gonzalez, L., Powell, J., Shi, J., and Wilson, A., “Two centuries of bull and bear market cycles,” International Review of Economics and Finance,Vol.14, Iss.4, 2005, pp. 469-486
     
     Granger, C.W.J., “Investigating causal relations by econometric models and cross-spectral models,” Econometrica, Vol.37, Iss.3, Jul 1969, pp.424–438
     
     Harding, D., and Pagan, A.R., “Dissecting the Cycle: A Methodological Investigation,” Journal of Monetary Economics, Vol.49, Iss.2, March 2002, pp. 365–381
     
     Hosmer, D.W., and Lemeshow, S., “Applied Logistic Regression,” 1989, New York: John Wiley &Sons, Inc.
     
     Lewellen, J., “Predicting returns with financial ratios,” Journal of Financial Economics, Vol.74, Iss.2, November 2004, pp.209-235
     
     Lunde, A., and Timmermann, A., “Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,” Journal of Business and Economics Statistics, July 2004, pp253-272
     
     Meric, I., Ratner, M., and Meric, G., “Co-movements of sector index returns in the world’s major stock markets in bull and bear markets: Portfolio diversification implications,” International Review of Financial Analysis, Vol.7, Iss.1, 2008, pp. 156-177
     
     Pagan, A.R., and Sossounov, K.A., “A Simple Framework for Analyzing Bull and Bear Markets,” Journal of Applied Econometrics, Vol.18, Iss.1, Jan/Feb 2003, pp. 23–46
     
     Rapach, D.E., Wohar, M.E., and Rangvid, J., “Macro variables and international stock return predictability,” International Journal of Forecasting, Vol.21, Iss.1, 2005, pp. 137-166
     
     Sims, C.A., “Macroeconomics and reality,” Econometrica, Vol.48, Iss.1, Jan 1980, pp. 1–48
     Sperandeo, V., “Trader Vic II: principles of professional speculation,” 1990, New York: John Wiley & Sons, Inc.
     
     Wu, Y., and Zhang, H., “Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis,” Journal of International Money and Finance, Vol.16, Iss.4, August 1997, pp. 609–623
     
     廖珮真，「美、日、英、港、臺五國股市報酬率多元時間數列關聯性之研究」，1993，台灣大學商學研究所未出版碩士論文
     
     林貞君，「從績效指標探討鋼鐵與營建業之景氣循環相關性」，2005，成功大學高階經營管理在職專班未出版碩士論文
     
     鄭梅、苗佳，“Logit模型在上海股市預測中的應用”，《統計與決策》，第2007卷，第3B期，2007，pp.102-104
     
     嚴武、徐偉、王靜，“中國股市週期的劃分與實證分析：1991-2004”，《當代財經》，第2006卷，第10期，2006， pp. 47-52
     
     魏志鴻，「台灣股市六大類股間關聯性之研究」，2002，實踐大學企業管理研究所未出版碩士論文
描述 碩士
國立政治大學
國際經營與貿易學系
96351009
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0963510091
資料類型 thesis
dc.contributor.advisor 郭炳伸zh_TW
dc.contributor.author (Authors) 陳怡瑄zh_TW
dc.creator (作者) 陳怡瑄zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 9-May-2016 14:53:38 (UTC+8)-
dc.date.available 9-May-2016 14:53:38 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 14:53:38 (UTC+8)-
dc.identifier (Other Identifiers) G0963510091en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95072-
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) 96351009zh_TW
dc.description.abstract (摘要) 本文引用Pagan and Sossounovb（2003）針對Bry and Boschan（1971）景氣循環周期判定法修改後的法則，判定大盤與類股指數的牛市、熊市周期。將判定的周期結果畫成圖表，藉由簡單的圖表分析將可明確得知大盤周期與類股周期領先與落後的關係，並應用計量模型估計，找尋能夠顯著預測大盤周期變動方向的類股，或是檢驗大盤周期是否能夠預測類股周期方向；反之亦然。並且比較圖表分析與計量模型估計結果是否一致。
     
     圖表分析與向量自我迴歸模型的實證結果一致，八大類股中，營建、金融、機電、塑化等四類股周期能夠顯著預測大盤周期走勢，其中以塑化類股最具預測能力；而大盤周期皆無法精準預測類股周期走勢。而羅吉斯迴歸模型結果也發現，營建、金融、機電、塑化等四類股周期能夠增加大盤周期走勢的預測機率；同樣的，大盤周期無法影響類股周期走勢的預測機率。		zh_TW
dc.description.tableofcontents 第一章 緒論 1
     1.1研究背景與動機 1
     1.2研究架構 3
     第二章 文獻回顧 4
     2.1 牛市與熊市周期 4
     2.2 股市與類股間動態關聯 5
     2.3股價走勢 6
     第三章 牛市與熊市周期之判定 8
     3.1牛市與熊市之定義 8
     3.2牛市與熊市之判定法則 10
     3.3牛市與熊市之數學判定方法 12
     3.4資料 13
     3.5台灣加權股價指數與八大類股之牛市與熊市周期 15
     第四章 計量模型實證分析 20
     4.1模型簡介 20
     4.1.1向量自我迴歸模型與Granger因果關係 20
     4.1.2羅吉斯模型 21
     4.2、實證分析 23
     4.2.1向量自我迴歸模型實證分析 23
     4.2.3 羅吉斯模型實證分析 26
     第五章 結論與建議 33
     參考書目 35
     附錄 38		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0963510091en_US
dc.subject (關鍵詞) 類股指數zh_TW
dc.subject (關鍵詞) 大盤zh_TW
dc.subject (關鍵詞) 牛市熊市周期zh_TW
dc.subject (關鍵詞) 變動方向預測zh_TW
dc.subject (關鍵詞) Industry Indexen_US
dc.subject (關鍵詞) TAIEXen_US
dc.subject (關鍵詞) bull and bear cyclesen_US
dc.subject (關鍵詞) prediction of cycle directionen_US
dc.title (題名) 類股指數領先大盤抑或是大盤領先類股指數?–簡單周期判定法則之應用zh_TW
dc.title (題名) Can Industry Index predict TAIEX, or vice versa?–The application of a simple dating techniqueen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ang, A., and Bekaert, G., “Stock return predictability: is it there?” Review of Financial Studies, Vol.20, Iss.3, May 2007, pp. 651-707
     
     Berkson, J., “Application of the Logistic Function to Bio-assay,” Journal of the American Statistical Association, Vol.39, No.226, September 1944, pp. 357-365
     
     Bry, G., and Boschan, C., “Cyclical Analysis of Time Series: Selected Procedures and Computer Programs,” New York: National Bureau of Economic Research, 1971
     
     Burns, A.F., and Mitchell, W.C., “Measuring Business Cycles,” New York : National Bureau of Economic Research, 1946
     
     Chauvet, M., and Potter, S., “Coincident and leading indicators of the stock market,” Journal of Empirical Finance, Vol.7, Iss.1, May 2000, pp.87–111
     
     Chen, A.S., Leung, M.T., and Daouk, H., “Application of neural networks to an emerging financial market: forecasting and trading the Taiwan stock index,” Computers and Operations Research, Vol.30, Iss.6, May 2003, pp.901–923
     
     Chen, A.S., Leung, M.T., and Daouk, H., “Forecasting stock indices: a comparison of classification and level estimation models,” International Journal of Forecasting, Vol.16, Iss.2, April - June 2000,pp. 173–190
     
     Cunado, J., Gil-Alana, L.A., and Perez de Garcia, F., “Stock Market Volatility in US Bull and Bear Markets,” Journal of Money, Investment and Banking, Vol.1, Iss.1, 2008, pp.24-32
     
     Eun, C.S., and Shim, S., “International transmission of stock market movements,” Journal of Financial and Quantitative Analysis, Vol.24, Iss.2, Jun 1989, pp. 241-256
     
     Fabozzi, F.J., and Francis, J.C., “Stability Tests for Alphas and Betas over Bull and Bear Market Conditions,” Journal of Finance, Vol.22, No.4, September 1977, pp.1093-1099
     
     Gomez Biscarri, J., and Perez de Gracia, F., “Stock market cycles and stock market development in Spain,” Spanish Economic Review, Vol.6, 2004
     
     Gonzalez, L., Powell, J., Shi, J., and Wilson, A., “Two centuries of bull and bear market cycles,” International Review of Economics and Finance,Vol.14, Iss.4, 2005, pp. 469-486
     
     Granger, C.W.J., “Investigating causal relations by econometric models and cross-spectral models,” Econometrica, Vol.37, Iss.3, Jul 1969, pp.424–438
     
     Harding, D., and Pagan, A.R., “Dissecting the Cycle: A Methodological Investigation,” Journal of Monetary Economics, Vol.49, Iss.2, March 2002, pp. 365–381
     
     Hosmer, D.W., and Lemeshow, S., “Applied Logistic Regression,” 1989, New York: John Wiley &Sons, Inc.
     
     Lewellen, J., “Predicting returns with financial ratios,” Journal of Financial Economics, Vol.74, Iss.2, November 2004, pp.209-235
     
     Lunde, A., and Timmermann, A., “Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,” Journal of Business and Economics Statistics, July 2004, pp253-272
     
     Meric, I., Ratner, M., and Meric, G., “Co-movements of sector index returns in the world’s major stock markets in bull and bear markets: Portfolio diversification implications,” International Review of Financial Analysis, Vol.7, Iss.1, 2008, pp. 156-177
     
     Pagan, A.R., and Sossounov, K.A., “A Simple Framework for Analyzing Bull and Bear Markets,” Journal of Applied Econometrics, Vol.18, Iss.1, Jan/Feb 2003, pp. 23–46
     
     Rapach, D.E., Wohar, M.E., and Rangvid, J., “Macro variables and international stock return predictability,” International Journal of Forecasting, Vol.21, Iss.1, 2005, pp. 137-166
     
     Sims, C.A., “Macroeconomics and reality,” Econometrica, Vol.48, Iss.1, Jan 1980, pp. 1–48
     Sperandeo, V., “Trader Vic II: principles of professional speculation,” 1990, New York: John Wiley & Sons, Inc.
     
     Wu, Y., and Zhang, H., “Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis,” Journal of International Money and Finance, Vol.16, Iss.4, August 1997, pp. 609–623
     
     廖珮真，「美、日、英、港、臺五國股市報酬率多元時間數列關聯性之研究」，1993，台灣大學商學研究所未出版碩士論文
     
     林貞君，「從績效指標探討鋼鐵與營建業之景氣循環相關性」，2005，成功大學高階經營管理在職專班未出版碩士論文
     
     鄭梅、苗佳，“Logit模型在上海股市預測中的應用”，《統計與決策》，第2007卷，第3B期，2007，pp.102-104
     
     嚴武、徐偉、王靜，“中國股市週期的劃分與實證分析：1991-2004”，《當代財經》，第2006卷，第10期，2006， pp. 47-52
     
     魏志鴻，「台灣股市六大類股間關聯性之研究」，2002，實踐大學企業管理研究所未出版碩士論文		zh_TW