Publications-Theses
Article View/Open
Publication Export
-
題名 景氣循環與投資策略
Business Cycles and Investment Strategist作者 馬慶權
Mah, Ching-Kheen貢獻者 廖四郎
Liao, Szu-Lang
馬慶權
Mah, Ching-Kheen關鍵詞 景氣循環
Business cycles
Bry & Boschan
Dagnino日期 2019 上傳時間 7-Aug-2019 16:12:29 (UTC+8) 摘要 投資者在投資過程中皆是風險趨避個性，但在趨避風險時卻只規避了個別產業風險，但產業的獲利能力卻會受到景氣循環變動影響。然而，景氣循環變動卻非常難預測，各國的經濟研究局在判定景氣循環轉折也要延遲1至2年時間。而本研究將發現採用領先指標配合Bry & Boschan判定方法可使投資者能自行提早判定景氣循環變動，並且能規避短期景氣循環衰退，使投資者能提早調整投資策略以提高投資報酬率。然而本研究並且採用Dagnino方法將景氣循環分為六個階段，探討各景氣循環階段產業的表現，經由本研究發現金融保險產業確實具有預期景氣循環之特性，在景氣衰退期間，防衛性產業仍然具有增長的表現。而投資者在相對的景氣循環階段以該階段表現的產業制定出適當的投資組合，將可使投資報酬率最佳化。
Investors are risk-avoiding personality in the investment process, but only avoid individual industry risks when avoiding risks, but the profitability of the industry will be affected by the cyclical changes in the economy. However, the changes in the economic cycles are very difficult to predict, and the Economic Research Bureaus of various countries have to delay the transition of the business cycles by one to two years. The study will find that using leading indicators in conjunction with Bry & Boschan`s decision-making method allows investors to determine the changes in the business cycles early and avoid the short-term business cycles, allowing investors to adjust their investment strategies early to improve their return on investment. However, this study also uses the Dagnino method to divide the business cycles into six stages and explores the performance of the industry in each cycles. Through this study, it is found that the financial and insurance industry does have the characteristics of the expected business cycles. During the recession, the defensive industry still has the performance of growth. Investors in the relative economic cycles stage to develop an appropriate portfolio of industries in this stage will optimize the return on investment.參考文獻 1. 徐志宏（2010），台灣景氣指標長期趨勢估計法之研析，經濟研究期刊，第11期，行政院經建會2. 黃月盈(2015)，產業別景氣循環之研析，經濟研究期刊，第16期，行政院經建會3. 蔡佩珍(2016)，精進景氣循環認定計量方法 －轉折點判定之改善，經濟研究期刊，第17期，行政院經建會4. 劉欣姿（2016），時間數列長期趨勢估計之研究，經濟研究期刊，第17期，行政院經建會5. Backus D.K and Kehoe P.J (1992) , “International evidence on the historical properties of business cycles” , American Economic Review , VoL 82 , PP.864-8886. Burns, A. F. and W. C. Mitchell (1946) , “Measuring Business Cycles” , NBER7. Blanchard, Olivier J. and Mark W. Watson (1984) , “ Are business cycles all alike?” , NBER8. Bry, G. and C. Boschan (1971) , “Cyclical Analysis of Time Series: Procedures and Computer Programs” , NBER9. Cooper M. and N. Chieffe (2004) , “Market Timing and the Business Cycle” , The Journal of Wealth Management10. FE Kydl and EC Prescott (1982) , “Econometrica” , Journal of the Econometric Society11. Harding, D. and Adrian Pagan (2003) , “Rejoinder to James Hamilton” , Journal of Economic Dynamics and Control , VoL 27 , No 912. Hodrick, R.J. and Prescott, E.C. (1997) , “Post-war US business cycles: An empirical investigation” , Journal of Money, Credit and Banking , VoL 29 , PP.1-16.13. Nawrocki and D. (1996) , “ Phase of the USA Business Cycle and the Investment Performance of Internationally Diversified Portfolios” , QInsight Group14. NBER (2003) , “Busuness-Cycle Dating Prodecure” , NBER15. OECD (1987) , “ Leading Indicators and Business Cycles” , OECD16. OECD (2012) , “System of Composite Leading Indicators” , OECD17. Paul Cashin (2004) , “Caribbean Business Cycles” , IMF Working Paper , VoL 04 , PP.13618. Romer and Christina D (1999) , “ Changes in Business Cycles: Evidence and Explanations” , NBER Working Paper , NBER19. Trahan F., Walters K.D. and Caroline S. Portny (2004) , “ A cyclical Bear or a Sleeping Bull?” , Bear Stearns20. Tsouma, E. (2010), “Dating Business Cycle Turning Points: The Greek Economy During 1970-2010,” Recent Recession Centre of Planning and Economic Research.21. Carl E. Walsh(1999) , “ Changes in the Business Cycles” , FRBSF Economic Letter, Federal Reserve Bank of San Francisco 描述 碩士
國立政治大學
金融學系
106352038資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106352038 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.advisor Liao, Szu-Lang en_US dc.contributor.author (Authors) 馬慶權 zh_TW dc.contributor.author (Authors) Mah, Ching-Kheen en_US dc.creator (作者) 馬慶權 zh_TW dc.creator (作者) Mah, Ching-Kheen en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:12:29 (UTC+8) - dc.date.available 7-Aug-2019 16:12:29 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:12:29 (UTC+8) - dc.identifier (Other Identifiers) G0106352038 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124738 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 106352038 zh_TW dc.description.abstract (摘要) 投資者在投資過程中皆是風險趨避個性，但在趨避風險時卻只規避了個別產業風險，但產業的獲利能力卻會受到景氣循環變動影響。然而，景氣循環變動卻非常難預測，各國的經濟研究局在判定景氣循環轉折也要延遲1至2年時間。而本研究將發現採用領先指標配合Bry & Boschan判定方法可使投資者能自行提早判定景氣循環變動，並且能規避短期景氣循環衰退，使投資者能提早調整投資策略以提高投資報酬率。然而本研究並且採用Dagnino方法將景氣循環分為六個階段，探討各景氣循環階段產業的表現，經由本研究發現金融保險產業確實具有預期景氣循環之特性，在景氣衰退期間，防衛性產業仍然具有增長的表現。而投資者在相對的景氣循環階段以該階段表現的產業制定出適當的投資組合，將可使投資報酬率最佳化。 zh_TW dc.description.abstract (摘要) Investors are risk-avoiding personality in the investment process, but only avoid individual industry risks when avoiding risks, but the profitability of the industry will be affected by the cyclical changes in the economy. However, the changes in the economic cycles are very difficult to predict, and the Economic Research Bureaus of various countries have to delay the transition of the business cycles by one to two years. The study will find that using leading indicators in conjunction with Bry & Boschan`s decision-making method allows investors to determine the changes in the business cycles early and avoid the short-term business cycles, allowing investors to adjust their investment strategies early to improve their return on investment. However, this study also uses the Dagnino method to divide the business cycles into six stages and explores the performance of the industry in each cycles. Through this study, it is found that the financial and insurance industry does have the characteristics of the expected business cycles. During the recession, the defensive industry still has the performance of growth. Investors in the relative economic cycles stage to develop an appropriate portfolio of industries in this stage will optimize the return on investment. en_US dc.description.tableofcontents 目錄壹 緒論..................8一、研究動機與目的............8二、研究範圍.................9三、論文架構.................11貳 文獻回顧.................12叁 研究方法................16一、HP Filter................16二、Bry & Boschan............18三、Dagnino..................19肆 研究結果與分析...........21一、HP Filter結果............21二、Bry & Boschan結果........22三、Dagnino結果..............24伍 研究結論與建議............28一、研究結論..................28二、後續研究建議..............29參考文獻.....................30 zh_TW dc.format.extent 721100 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106352038 en_US dc.subject (關鍵詞) 景氣循環 zh_TW dc.subject (關鍵詞) Business cycles en_US dc.subject (關鍵詞) Bry & Boschan en_US dc.subject (關鍵詞) Dagnino en_US dc.title (題名) 景氣循環與投資策略 zh_TW dc.title (題名) Business Cycles and Investment Strategist en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. 徐志宏（2010），台灣景氣指標長期趨勢估計法之研析，經濟研究期刊，第11期，行政院經建會2. 黃月盈(2015)，產業別景氣循環之研析，經濟研究期刊，第16期，行政院經建會3. 蔡佩珍(2016)，精進景氣循環認定計量方法 －轉折點判定之改善，經濟研究期刊，第17期，行政院經建會4. 劉欣姿（2016），時間數列長期趨勢估計之研究，經濟研究期刊，第17期，行政院經建會5. Backus D.K and Kehoe P.J (1992) , “International evidence on the historical properties of business cycles” , American Economic Review , VoL 82 , PP.864-8886. Burns, A. F. and W. C. Mitchell (1946) , “Measuring Business Cycles” , NBER7. Blanchard, Olivier J. and Mark W. Watson (1984) , “ Are business cycles all alike?” , NBER8. Bry, G. and C. Boschan (1971) , “Cyclical Analysis of Time Series: Procedures and Computer Programs” , NBER9. Cooper M. and N. Chieffe (2004) , “Market Timing and the Business Cycle” , The Journal of Wealth Management10. FE Kydl and EC Prescott (1982) , “Econometrica” , Journal of the Econometric Society11. Harding, D. and Adrian Pagan (2003) , “Rejoinder to James Hamilton” , Journal of Economic Dynamics and Control , VoL 27 , No 912. Hodrick, R.J. and Prescott, E.C. (1997) , “Post-war US business cycles: An empirical investigation” , Journal of Money, Credit and Banking , VoL 29 , PP.1-16.13. Nawrocki and D. (1996) , “ Phase of the USA Business Cycle and the Investment Performance of Internationally Diversified Portfolios” , QInsight Group14. NBER (2003) , “Busuness-Cycle Dating Prodecure” , NBER15. OECD (1987) , “ Leading Indicators and Business Cycles” , OECD16. OECD (2012) , “System of Composite Leading Indicators” , OECD17. Paul Cashin (2004) , “Caribbean Business Cycles” , IMF Working Paper , VoL 04 , PP.13618. Romer and Christina D (1999) , “ Changes in Business Cycles: Evidence and Explanations” , NBER Working Paper , NBER19. Trahan F., Walters K.D. and Caroline S. Portny (2004) , “ A cyclical Bear or a Sleeping Bull?” , Bear Stearns20. Tsouma, E. (2010), “Dating Business Cycle Turning Points: The Greek Economy During 1970-2010,” Recent Recession Centre of Planning and Economic Research.21. Carl E. Walsh(1999) , “ Changes in the Business Cycles” , FRBSF Economic Letter, Federal Reserve Bank of San Francisco zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900164 en_US
