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題名 巴菲特指標於台灣股市之實證分析
Empirical Study on Buffett Indicator in Taiwan Equity Market作者 葉旭峰
Yeh, Hsu-Feng貢獻者 郭維裕
Kuo, Wei-Yu
葉旭峰
Yeh, Hsu-Feng關鍵詞 MV/GNP
巴菲特指標
泡沫
股價預測
投資策略
MV/GNP
Buffett Indicator
Bubbles
Forecasting practice
Investment strategy日期 2020 上傳時間 3-Aug-2020 17:23:03 (UTC+8) 摘要 本研究透過分析台灣自1981年至2019共39年期間之加權股價指數與總市值國民生產毛額比(MV/GNP)，又稱巴菲特指標(Buffett Indicator)之間的關係。發現MV/GNP與加權股價指數之長短期報酬率具有顯著負相關，呈現均值回歸之現象，因此是可以作為評價與預測股市表現之參考指標。而以MV/GNP所建構之市場修正預測模型實證上，在台灣證券市場中發現採用固定門檻值的MV/GNP預測模型，預測準確度與統計檢驗顯著性達到最高，並且適合用來預測下跌20%以上之修正；而採用變動門檻值的MV/GNP預測模型，同樣預測準確度與統計檢驗顯著性也達到相當水準，並且適合用來預測下跌10%以上之修正。而最後本研究也以MV/GNP預測模型來建構不同的投資策略，再次檢驗其預測準確度與績效表現。在台灣加權股價指數之投資績效表現實證上，使用MV/GNP預測模型之投資策略績效普遍優於買進持有策略，並且其中使用變動門檻值的MV/GNP預測模型可以創造最高之績效表現；而使用固定門檻值的預測模型則績效表現最為穩定。因此在投資策略的實證上，再次證明MV/GNP預測模型可以用來預測市場修正，並且也具備能實務運用到資本市場作為評價與投資依據之適用性。
The purpose of this study is to investigate whether The Total Market Value to GNP ratio (The MV/GNP ratio), known as The Buffett Indicator, is a statistically significant valuation ratio and predictor of equity market corrections. The result of the study is that the MV/GNP ratio is not only a significant valuation ratio but also a significant predictor of equity market corrections in Taiwan. It is found that the MV/GNP ratio with a fixed decision rule is suitable for forecasting bigger corrections. However, the ratio with a time-varying decision rule is adept at forecasting smaller but constant corrections. We also introduce trading strategies to reconfirm the accuracy of the forecasting model applied to Taiwan stock market. The result indicates that the MV/GNP ratio not only can forecast corrections, but also can provide great investment recommendations.參考文獻 Blanchard, O. J., and M. W. Watson. (1982). Bubbles, rational expectations, and financial markets, in P. Wachtel, ed., Crisis in the Economic and Financial Structure, 295-316.Buffett, W., and C. Loomis. (2001). Warren Buffett on the stock market, FORTUNE Magazine.Campbell, J. Y., and R. J. Shiller. (1998). Valuation ratios and the long-run stock market outlook, The Journal of Portfolio Management 11-27.Diba, B.T., and H. I. Grossman. (1988). The theory of rational bubbles in the stock markets, The Economic Journal, 745-758.Fisher, K., and M. Statman. (2000). Investor sentiment and stock returns, Financial Analyst Journal, 16-25.Froot, K. A., and Obstfeld, M. (1991). Intrinsic bubbles: The case of stock price, American Economic Review, 81, 1188-1218.Graham. Benjamin, and David L. Dodd. Security Analysis, first edition. New York: McGraw-Hill, 1934.Goetzmann, W. N., Bubble investing, learning from history, NBER Working Paper W21693.Hamilton, J.D. (1986). On testing for self-fulfilling speculative price bubbles, International Economic Review, 27, 545-553.Lleo, S. and Ziemba, W. (2012). Stock market crashes in 2007-2009: were we able to predict them? Quantitative Finance 12, 8, 1161-1188.Lleo, S. and Ziemba, W. T. (2015). Some historical perspectives on the bondstock yield model for crash prediction around the world, International Journal of Forecasting 31, 2, 399-425.Lleo, S. and Ziemba, W. T. (2017). Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? Financial Markets, Institutions and Instruments, 26, 2, 60-126.Lleo, S. and Ziemba, W. T. (2018). Can Warren Buffett forecast equity market corrections? European Journal of Finance, 25(1), 1-25.Jarrow, R. A. (2012). Detecting asset price bubbles, Journal of Derivatives 20, 30-34.Shiller, R. J. (2006). Irrational exuberance revisited, CFA Institute Conference Proceedings Quarterly 23, 16-25.Ziemba, W.T., and S.L. Schwartz. (1991). Invest Japan (Probus, Chicago).田懿裴(2015)。股票評價比率在台灣股市之應用。碩士論文，國立政治大學，國際經營與貿易研究所。黃子瑋(2017)。台灣股市擇時策略研究。碩士論文，私立東吳大學，國際經營與貿易學碩士在職專班。 描述 碩士
國立政治大學
國際經營與貿易學系
107351013資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107351013 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei-Yu en_US dc.contributor.author (Authors) 葉旭峰 zh_TW dc.contributor.author (Authors) Yeh, Hsu-Feng en_US dc.creator (作者) 葉旭峰 zh_TW dc.creator (作者) Yeh, Hsu-Feng en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:23:03 (UTC+8) - dc.date.available 3-Aug-2020 17:23:03 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:23:03 (UTC+8) - dc.identifier (Other Identifiers) G0107351013 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130906 - 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) 107351013 zh_TW dc.description.abstract (摘要) 本研究透過分析台灣自1981年至2019共39年期間之加權股價指數與總市值國民生產毛額比(MV/GNP)，又稱巴菲特指標(Buffett Indicator)之間的關係。發現MV/GNP與加權股價指數之長短期報酬率具有顯著負相關，呈現均值回歸之現象，因此是可以作為評價與預測股市表現之參考指標。而以MV/GNP所建構之市場修正預測模型實證上，在台灣證券市場中發現採用固定門檻值的MV/GNP預測模型，預測準確度與統計檢驗顯著性達到最高，並且適合用來預測下跌20%以上之修正；而採用變動門檻值的MV/GNP預測模型，同樣預測準確度與統計檢驗顯著性也達到相當水準，並且適合用來預測下跌10%以上之修正。而最後本研究也以MV/GNP預測模型來建構不同的投資策略，再次檢驗其預測準確度與績效表現。在台灣加權股價指數之投資績效表現實證上，使用MV/GNP預測模型之投資策略績效普遍優於買進持有策略，並且其中使用變動門檻值的MV/GNP預測模型可以創造最高之績效表現；而使用固定門檻值的預測模型則績效表現最為穩定。因此在投資策略的實證上，再次證明MV/GNP預測模型可以用來預測市場修正，並且也具備能實務運用到資本市場作為評價與投資依據之適用性。 zh_TW dc.description.abstract (摘要) The purpose of this study is to investigate whether The Total Market Value to GNP ratio (The MV/GNP ratio), known as The Buffett Indicator, is a statistically significant valuation ratio and predictor of equity market corrections. The result of the study is that the MV/GNP ratio is not only a significant valuation ratio but also a significant predictor of equity market corrections in Taiwan. It is found that the MV/GNP ratio with a fixed decision rule is suitable for forecasting bigger corrections. However, the ratio with a time-varying decision rule is adept at forecasting smaller but constant corrections. We also introduce trading strategies to reconfirm the accuracy of the forecasting model applied to Taiwan stock market. The result indicates that the MV/GNP ratio not only can forecast corrections, but also can provide great investment recommendations. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究主題與目的 3第二章 研究架構 6第三章 文獻回顧 7第一節 泡沫定義 7第二節 泡沫相關理論研究 9第三節 泡沫預測模型 12第四章 研究方法 15第一節 MV/GNP與線性迴歸分析 15第二節 證券市場修正定義 18第三節 市場修正預測模型 20第四節 概似比檢定 24第五節 投資策略實證 26第五章 實證結果分析 27第一節 資料概述 27第二節 台灣加權指數修正期間 33第三節 修正預測模型 36第四節 修正預測模型實證結果 37第五節 強健性分析與敏感性分析 40第六節 投資策略實證分析 49第六章 結論及建議 53第一節 結論 53第二節 建議 55第七章 參考文獻 56 zh_TW dc.format.extent 2336383 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107351013 en_US dc.subject (關鍵詞) MV/GNP zh_TW dc.subject (關鍵詞) 巴菲特指標 zh_TW dc.subject (關鍵詞) 泡沫 zh_TW dc.subject (關鍵詞) 股價預測 zh_TW dc.subject (關鍵詞) 投資策略 zh_TW dc.subject (關鍵詞) MV/GNP en_US dc.subject (關鍵詞) Buffett Indicator en_US dc.subject (關鍵詞) Bubbles en_US dc.subject (關鍵詞) Forecasting practice en_US dc.subject (關鍵詞) Investment strategy en_US dc.title (題名) 巴菲特指標於台灣股市之實證分析 zh_TW dc.title (題名) Empirical Study on Buffett Indicator in Taiwan Equity Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Blanchard, O. J., and M. W. Watson. (1982). Bubbles, rational expectations, and financial markets, in P. Wachtel, ed., Crisis in the Economic and Financial Structure, 295-316.Buffett, W., and C. Loomis. (2001). Warren Buffett on the stock market, FORTUNE Magazine.Campbell, J. Y., and R. J. Shiller. (1998). Valuation ratios and the long-run stock market outlook, The Journal of Portfolio Management 11-27.Diba, B.T., and H. I. Grossman. (1988). The theory of rational bubbles in the stock markets, The Economic Journal, 745-758.Fisher, K., and M. Statman. (2000). Investor sentiment and stock returns, Financial Analyst Journal, 16-25.Froot, K. A., and Obstfeld, M. (1991). Intrinsic bubbles: The case of stock price, American Economic Review, 81, 1188-1218.Graham. Benjamin, and David L. Dodd. Security Analysis, first edition. New York: McGraw-Hill, 1934.Goetzmann, W. N., Bubble investing, learning from history, NBER Working Paper W21693.Hamilton, J.D. (1986). On testing for self-fulfilling speculative price bubbles, International Economic Review, 27, 545-553.Lleo, S. and Ziemba, W. (2012). Stock market crashes in 2007-2009: were we able to predict them? Quantitative Finance 12, 8, 1161-1188.Lleo, S. and Ziemba, W. T. (2015). Some historical perspectives on the bondstock yield model for crash prediction around the world, International Journal of Forecasting 31, 2, 399-425.Lleo, S. and Ziemba, W. T. (2017). Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? Financial Markets, Institutions and Instruments, 26, 2, 60-126.Lleo, S. and Ziemba, W. T. (2018). Can Warren Buffett forecast equity market corrections? European Journal of Finance, 25(1), 1-25.Jarrow, R. A. (2012). Detecting asset price bubbles, Journal of Derivatives 20, 30-34.Shiller, R. J. (2006). Irrational exuberance revisited, CFA Institute Conference Proceedings Quarterly 23, 16-25.Ziemba, W.T., and S.L. Schwartz. (1991). Invest Japan (Probus, Chicago).田懿裴(2015)。股票評價比率在台灣股市之應用。碩士論文，國立政治大學，國際經營與貿易研究所。黃子瑋(2017)。台灣股市擇時策略研究。碩士論文，私立東吳大學，國際經營與貿易學碩士在職專班。 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202001046 en_US
