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題名 以動態 Probit 迴歸模型預測台灣股市的牛熊市
Forecasting Bull and Bear Market in Taiwan Equity Market with Dynamic Probit Model作者 施沛昇
Shih, Pei-Sheng貢獻者 徐士勛
Hsu, Shih-Hsun
施沛昇
Shih, Pei-Sheng關鍵詞 Bry-Boschan 法則
動態 Probit 模型
熊牛市預測
閾值
ROC 曲線
市場擇時投資策略日期 2021 上傳時間 4-Aug-2021 16:00:17 (UTC+8) 摘要 本研究首先利用 Pagan and Sossounov (2003) 所修改過後的 Bry-Boschan 轉折點認定法則來判斷台灣股市的熊牛市期間，之後再嘗試建構動態 Probit 模型來預測未來台灣股市發生熊市的機率值以探討動態結構下的預測模型在台灣股市的研究主題上是否也可以得到與國外文獻相同的結論。在預測變數的挑選上，除了使用過往文獻多數使用的國內總經類變數及貨幣政策的相關變數之外，我們也嘗試納入國內股市財務變數及國外股市指數等資訊。此外，預測過程採用遞迴法，並且搭配三種不同單一落後期的設定。實證結果發現，落後一期的模型預測效果最佳，且模型的預測能力及配適程度會有隨著預測變數落後期拉長而遞減。同時，我們也證實在台灣股市的研究範疇上，動態 Probit 模型在預測能力方面優於靜態 Probit 模型。另外，本文也證實，除了一般傳統的總經及貨幣政策類變數具有顯著預測力外，也發現在國內股市相關變數上如台股歷史報酬率、IPO 件數及 M&A 件數對於台灣股市未來的市場狀態也是具有預測力;而國外股市指數變數中如香港恆生指數報酬率、韓國綜合指數報酬率及上海證券綜合指數報酬率都被證實具有不同程度的預測力。最後，我們以模型所預測的熊市機率搭配 ROC 曲線對應的最適閾值，證實當預測到市場即將進入熊市時，適時調整資產配置部位的市場擇時投資策略在報酬率方面將優於買入持有策略。 參考文獻 Ang Andrew and Bekaert Geert (2007). Stock Return Predictability: Is it There?, The Review of Financial Studies, 20, 651–707.Berge Travis J. and Jordà Òscar (2010). Evaluating the Classification of Economic Activity into Recessions and Expansions, American Economic Journal: Macroeconomics, 38, 334-343.Bry Gerhard and Boschan Charlotte (1971). Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, National Bureau of Economic ResearchCandelon Bertrand, Piplack Jan and Straetmans Stefan (2008). On Measuring Synchronization of Bulls and Bears: The Case of East Asia, Journal of Banking & Finance, 32, 1022-1035.Candelon Bertrand and Metiu Norbert (2011). Linkages between Stock Market Fluctuations and Business Cycles in Asia, Frontiers of Economics and Globalization, 9, 23-51.Candelon Bertrand, Ahmed Jameel and Straetmans Stefan (2012). Predicting and Capitalizing on Stock Market Bears in the U.S, Working paperCha Baekin and Oh Sekyung (1999). The Relationship between Developed Equity Markets and the Pacific Basin`s Emerging Equity Markets, International Review of Economics and Finance, 9, 299-322.Chauvet Marcelle and Potter Simon (1999). Coincident and Leading Indicators of the Stock Market, Journal of Empirical Finance, 7, 87-111.Chen Nai-Fu, Roll Richard and Ross Stephen A (1986). Economic Forces and the Stock Market, Journal of Business, 59, 383-403.Chen Shiu-Sheng (2009). Predicting the Bear Stock Market: Macroeconomic Variables as Leading Indicators, Journal of Banking & Finance, 33, 211-223.Chen Yi-ting and Vincent Kendro (2016). The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market, Journal of Forecasting, 35, 504-527.Cochrane John H. (1991). Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations, Journal of Finance, 46, 209-237.Dickey David A. and Fuller Wayne A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74, 427-431.Dueker Michael J. (1997). Strengthening the Case for the Yield Curve as a Predictor of U.S. Recessions, Federal Reserve Bank of St. Louis Review, 79, 41-51.Edwards Sebastian, Biscarri Javier Gomez and Gracia Fernando Perez de (2003). Stock Market Cycles, Financial Liberalization and Volatility, Journal of International Money and Finance, 22, 925–955.Estrella Arturo and Mishkin Frederic S. (1998). Predicting U.S. Recessions: Financial Variables As Leading Indicators, The Review of Economics and Statistics, 80, 45-61.Eun Cheol S. and Shim Sangdal (1989). International Transmission of Stock Market Movements, The Journal of Financial and Quantitative Analysis, 24, 241-256.Fabozzi Frank J. and Francis Jack Clark (1977). Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions, Journal of Finance, 32, 1093-1099.Fama Eugene F. (1981). Stock Returns, Real Activity, Inflation, and Money, American Economic Review, 71, 545-565.Fama Eugene F. and French Kenneth R. (1988). Dividend Yields and Expected Stock Returns, Journal of Financial Economics, 22, 3–25.Granger Clive and Newbold P. (1974). Spurious Regressions in Econometrics, Journal of Econometrics, 2, 111-120.Guidolin Massimo and Timmermann Allan (2007). Asset Allocation Under Multivariate Regime Switching, Journal of Economic Dynamics and Control, 31, 3503-3544.Hamilton James D (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, 57, 357-384.Harding Don and Pagan Adrian (2002a). Dissecting the Cycle: A Methodological Investigation, Journal of Monetary Economics, 49, 365-381.Harding Don and Pagan Adrian (2002b). A Comparison of Two Business Cycle Dating Methods, Journal of Economic Dynamics and Control, 27, 1681-1690.Harding Don and Pagan Adrian (2003). Business Cycles and Turning Points: A Survey of Statistical Techniques, National Institute Economic Review, 183, 90-106.Harding Don and Pagan Adrian (2005). A Suggested Framework for Classifying the Modes of Cycle Research, Journal of Applied Econometrics, 20, 151-159.Harding Don and Pagan Adrian (2006). Synchronization of Cycles, Journal of Econometrics, 132, 59-79.Hwang , Jae-Kwang (2012). Dynamic Correlation Analysis of Asian Stock Markets, International Advances in Economic Research, 18, 227–237.Kauppi Heikki and Saikkonen Pentti (2008). Predicting U.S. Recessions with Dynamic Binary Response Models, The Review of Economics and Statistics, 90, 777–791.Kothari S. P. and Shanken Jay (1997). Book-to-Market, Dividend Yield, and Expected Market Returns: A Time Series Analysis, Journal of Financial Economics, 44, 169-203.Liu Y., Pan Ming-Shiun and Shieh Joseph (1998). International Transmission of Stock Price Movements: Evidence From the U.S. and Five Asian Pacific Markets, Journal of Economics and Finance, 22, 59-69.Lunde Asger and Timmermann Allan (2004). Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets, Journal of Business & Economic Statistics, 22, 253-273.Marathe Achla and Shawky Hany A. (1994). Predictability of Stock Returns and Real Output, The Quarterly Review of Economics and Finance, 34, 317-331.Maheu John M. and McCurdy Thomas H. (2000). Identifying Bull and Bear Markets in Stock Returns, Journal of Business & Economic Statistics, 18, 100-112.Nelson Charles and Charles Plosser (1982). Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications, Journal of Monetary Economics, 10, 139-162.Nyberg Henri (2010). Dynamic Probit Models and Financial Variables in Recession Forecasting, Journal of Forecasting, 29, 215-230.Nyberg Henri (2013). Predicting Bear and Bull Stock Markets With Dynamic Binary Time Series Models, Journal of Banking & Finance, 37, 3351-3363.Pagan Adrian R. and Sossounov Kirill A. (2003). A Simple Framework for Analyzing Bull and Bear Markets, Journal of Applied Econometrics, 18, 23-46.Phillips Peter C. B. and Perron Pierre (1988). Testing for a Unit Root in Time Series Regression, Biometrika, 75, 335-346.Rapach David Eugene, Wohar Mark and Rangvid Jesper (2005). Macro Variables and International Stock Return Predictability, International Journal of Forecasting, 21, 137-166.Resnick Bruce G., Liu Wendy and Shoesmith Gary (2004). Market Timing of International Stock Markets Using the Yield Spread, Journal of Financial Research, 27, 373-391.Said Said E. and Dickey David A. (1984). Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order, Biometrika, 71, 599-607.Spencer John (1904). On The Graduation of the Rates of Sickness and Mortality Presented by the Experience of the Manchester Unity of Oddfellows during the period 1893–97, Journal of the Institute of Actuaries, 38, 334-343.Wu Shue-Jen and Lee Wei-Ming (2012). Predicting the U.S. Bear Stock Market Using the Consumption Wealth Ratio, Economics Bulletin, 32, 3174-3181.李偉銘、吳淑貞與黃啟泰 (2015)。總體經濟變數對臺灣股市之大盤及類股熊市預測表現之探討， 經濟研究，51，171-224。朱正修 (2004)。台灣股市與國際股市連動性之研究，國立成功大學統計學系碩士論文。宋嘉凌 (2007)。台灣股市與主要國際股市之相關性研究，國立台灣大學國際企業學系碩士論文。林向愷、黃裕烈與管中閔 (1998)。景氣循環轉折點認定與經濟成長率預測，經濟論文叢刊，26，431-457。徐士勛與管中閔 (2001)。九零年代台灣的景氣循環:馬可夫轉換模型與紀卜斯抽樣法的應用， 人文及社會科學集刊，13，515-540。徐婉容 (2020)。認定與預測台灣股市熊市，中央銀行季刊，42，37-72。徐君毓 (2016)。以動態機率模型預測台股熊市之發生，國立臺灣大學財務金融學系碩士論文。陳鳳琴 (2012)。台灣股匯市與美國股市連動性之再探討，中華管理評論，15，1-31。 描述 碩士
國立政治大學
經濟學系
108258035資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108258035 資料類型 thesis dc.contributor.advisor 徐士勛 zh_TW dc.contributor.advisor Hsu, Shih-Hsun en_US dc.contributor.author (Authors) 施沛昇 zh_TW dc.contributor.author (Authors) Shih, Pei-Sheng en_US dc.creator (作者) 施沛昇 zh_TW dc.creator (作者) Shih, Pei-Sheng en_US dc.date (日期) 2021 en_US dc.date.accessioned 4-Aug-2021 16:00:17 (UTC+8) - dc.date.available 4-Aug-2021 16:00:17 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2021 16:00:17 (UTC+8) - dc.identifier (Other Identifiers) G0108258035 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136566 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 108258035 zh_TW dc.description.abstract (摘要) 本研究首先利用 Pagan and Sossounov (2003) 所修改過後的 Bry-Boschan 轉折點認定法則來判斷台灣股市的熊牛市期間，之後再嘗試建構動態 Probit 模型來預測未來台灣股市發生熊市的機率值以探討動態結構下的預測模型在台灣股市的研究主題上是否也可以得到與國外文獻相同的結論。在預測變數的挑選上，除了使用過往文獻多數使用的國內總經類變數及貨幣政策的相關變數之外，我們也嘗試納入國內股市財務變數及國外股市指數等資訊。此外，預測過程採用遞迴法，並且搭配三種不同單一落後期的設定。實證結果發現，落後一期的模型預測效果最佳，且模型的預測能力及配適程度會有隨著預測變數落後期拉長而遞減。同時，我們也證實在台灣股市的研究範疇上，動態 Probit 模型在預測能力方面優於靜態 Probit 模型。另外，本文也證實，除了一般傳統的總經及貨幣政策類變數具有顯著預測力外，也發現在國內股市相關變數上如台股歷史報酬率、IPO 件數及 M&A 件數對於台灣股市未來的市場狀態也是具有預測力;而國外股市指數變數中如香港恆生指數報酬率、韓國綜合指數報酬率及上海證券綜合指數報酬率都被證實具有不同程度的預測力。最後，我們以模型所預測的熊市機率搭配 ROC 曲線對應的最適閾值，證實當預測到市場即將進入熊市時，適時調整資產配置部位的市場擇時投資策略在報酬率方面將優於買入持有策略。 zh_TW dc.description.tableofcontents 第一章 前言 1第二章 文獻回顧 3第一節 熊牛市認定方法之相關文獻探討 3第二節 股市預測之相關文獻探討 7第三章 研究方法 14第一節 Bry-Boschan 認定法則 14第二節 線性機率模型 19第三節 靜態 Probit 模型 20第四節 動態 Probit 模型 22第五節 動態自我迴歸 Probit 模型 23第六節 預測過程及評估標準 24第四章 資料介紹與整理 31第一節 資料說明 31第二節 單根檢定 37第五章 實證結果 39第一節 熊牛市認定結果 39第二節 樣本內實證結果 40第三節 樣本外實證結果 52第六章 結論與建議 59附錄 61參考文獻 64 zh_TW dc.format.extent 2479247 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108258035 en_US dc.subject (關鍵詞) Bry-Boschan 法則 zh_TW dc.subject (關鍵詞) 動態 Probit 模型 zh_TW dc.subject (關鍵詞) 熊牛市預測 zh_TW dc.subject (關鍵詞) 閾值 zh_TW dc.subject (關鍵詞) ROC 曲線 zh_TW dc.subject (關鍵詞) 市場擇時投資策略 zh_TW dc.title (題名) 以動態 Probit 迴歸模型預測台灣股市的牛熊市 zh_TW dc.title (題名) Forecasting Bull and Bear Market in Taiwan Equity Market with Dynamic Probit Model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ang Andrew and Bekaert Geert (2007). Stock Return Predictability: Is it There?, The Review of Financial Studies, 20, 651–707.Berge Travis J. and Jordà Òscar (2010). Evaluating the Classification of Economic Activity into Recessions and Expansions, American Economic Journal: Macroeconomics, 38, 334-343.Bry Gerhard and Boschan Charlotte (1971). Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, National Bureau of Economic ResearchCandelon Bertrand, Piplack Jan and Straetmans Stefan (2008). On Measuring Synchronization of Bulls and Bears: The Case of East Asia, Journal of Banking & Finance, 32, 1022-1035.Candelon Bertrand and Metiu Norbert (2011). Linkages between Stock Market Fluctuations and Business Cycles in Asia, Frontiers of Economics and Globalization, 9, 23-51.Candelon Bertrand, Ahmed Jameel and Straetmans Stefan (2012). Predicting and Capitalizing on Stock Market Bears in the U.S, Working paperCha Baekin and Oh Sekyung (1999). The Relationship between Developed Equity Markets and the Pacific Basin`s Emerging Equity Markets, International Review of Economics and Finance, 9, 299-322.Chauvet Marcelle and Potter Simon (1999). Coincident and Leading Indicators of the Stock Market, Journal of Empirical Finance, 7, 87-111.Chen Nai-Fu, Roll Richard and Ross Stephen A (1986). Economic Forces and the Stock Market, Journal of Business, 59, 383-403.Chen Shiu-Sheng (2009). Predicting the Bear Stock Market: Macroeconomic Variables as Leading Indicators, Journal of Banking & Finance, 33, 211-223.Chen Yi-ting and Vincent Kendro (2016). The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market, Journal of Forecasting, 35, 504-527.Cochrane John H. (1991). Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations, Journal of Finance, 46, 209-237.Dickey David A. and Fuller Wayne A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74, 427-431.Dueker Michael J. (1997). Strengthening the Case for the Yield Curve as a Predictor of U.S. Recessions, Federal Reserve Bank of St. Louis Review, 79, 41-51.Edwards Sebastian, Biscarri Javier Gomez and Gracia Fernando Perez de (2003). Stock Market Cycles, Financial Liberalization and Volatility, Journal of International Money and Finance, 22, 925–955.Estrella Arturo and Mishkin Frederic S. (1998). Predicting U.S. Recessions: Financial Variables As Leading Indicators, The Review of Economics and Statistics, 80, 45-61.Eun Cheol S. and Shim Sangdal (1989). International Transmission of Stock Market Movements, The Journal of Financial and Quantitative Analysis, 24, 241-256.Fabozzi Frank J. and Francis Jack Clark (1977). Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions, Journal of Finance, 32, 1093-1099.Fama Eugene F. (1981). Stock Returns, Real Activity, Inflation, and Money, American Economic Review, 71, 545-565.Fama Eugene F. and French Kenneth R. (1988). Dividend Yields and Expected Stock Returns, Journal of Financial Economics, 22, 3–25.Granger Clive and Newbold P. (1974). Spurious Regressions in Econometrics, Journal of Econometrics, 2, 111-120.Guidolin Massimo and Timmermann Allan (2007). Asset Allocation Under Multivariate Regime Switching, Journal of Economic Dynamics and Control, 31, 3503-3544.Hamilton James D (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, 57, 357-384.Harding Don and Pagan Adrian (2002a). Dissecting the Cycle: A Methodological Investigation, Journal of Monetary Economics, 49, 365-381.Harding Don and Pagan Adrian (2002b). A Comparison of Two Business Cycle Dating Methods, Journal of Economic Dynamics and Control, 27, 1681-1690.Harding Don and Pagan Adrian (2003). Business Cycles and Turning Points: A Survey of Statistical Techniques, National Institute Economic Review, 183, 90-106.Harding Don and Pagan Adrian (2005). A Suggested Framework for Classifying the Modes of Cycle Research, Journal of Applied Econometrics, 20, 151-159.Harding Don and Pagan Adrian (2006). Synchronization of Cycles, Journal of Econometrics, 132, 59-79.Hwang , Jae-Kwang (2012). Dynamic Correlation Analysis of Asian Stock Markets, International Advances in Economic Research, 18, 227–237.Kauppi Heikki and Saikkonen Pentti (2008). Predicting U.S. Recessions with Dynamic Binary Response Models, The Review of Economics and Statistics, 90, 777–791.Kothari S. P. and Shanken Jay (1997). Book-to-Market, Dividend Yield, and Expected Market Returns: A Time Series Analysis, Journal of Financial Economics, 44, 169-203.Liu Y., Pan Ming-Shiun and Shieh Joseph (1998). International Transmission of Stock Price Movements: Evidence From the U.S. and Five Asian Pacific Markets, Journal of Economics and Finance, 22, 59-69.Lunde Asger and Timmermann Allan (2004). Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets, Journal of Business & Economic Statistics, 22, 253-273.Marathe Achla and Shawky Hany A. (1994). Predictability of Stock Returns and Real Output, The Quarterly Review of Economics and Finance, 34, 317-331.Maheu John M. and McCurdy Thomas H. (2000). Identifying Bull and Bear Markets in Stock Returns, Journal of Business & Economic Statistics, 18, 100-112.Nelson Charles and Charles Plosser (1982). Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications, Journal of Monetary Economics, 10, 139-162.Nyberg Henri (2010). Dynamic Probit Models and Financial Variables in Recession Forecasting, Journal of Forecasting, 29, 215-230.Nyberg Henri (2013). Predicting Bear and Bull Stock Markets With Dynamic Binary Time Series Models, Journal of Banking & Finance, 37, 3351-3363.Pagan Adrian R. and Sossounov Kirill A. (2003). A Simple Framework for Analyzing Bull and Bear Markets, Journal of Applied Econometrics, 18, 23-46.Phillips Peter C. B. and Perron Pierre (1988). Testing for a Unit Root in Time Series Regression, Biometrika, 75, 335-346.Rapach David Eugene, Wohar Mark and Rangvid Jesper (2005). Macro Variables and International Stock Return Predictability, International Journal of Forecasting, 21, 137-166.Resnick Bruce G., Liu Wendy and Shoesmith Gary (2004). Market Timing of International Stock Markets Using the Yield Spread, Journal of Financial Research, 27, 373-391.Said Said E. and Dickey David A. (1984). Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order, Biometrika, 71, 599-607.Spencer John (1904). On The Graduation of the Rates of Sickness and Mortality Presented by the Experience of the Manchester Unity of Oddfellows during the period 1893–97, Journal of the Institute of Actuaries, 38, 334-343.Wu Shue-Jen and Lee Wei-Ming (2012). Predicting the U.S. Bear Stock Market Using the Consumption Wealth Ratio, Economics Bulletin, 32, 3174-3181.李偉銘、吳淑貞與黃啟泰 (2015)。總體經濟變數對臺灣股市之大盤及類股熊市預測表現之探討， 經濟研究，51，171-224。朱正修 (2004)。台灣股市與國際股市連動性之研究，國立成功大學統計學系碩士論文。宋嘉凌 (2007)。台灣股市與主要國際股市之相關性研究，國立台灣大學國際企業學系碩士論文。林向愷、黃裕烈與管中閔 (1998)。景氣循環轉折點認定與經濟成長率預測，經濟論文叢刊，26，431-457。徐士勛與管中閔 (2001)。九零年代台灣的景氣循環:馬可夫轉換模型與紀卜斯抽樣法的應用， 人文及社會科學集刊，13，515-540。徐婉容 (2020)。認定與預測台灣股市熊市，中央銀行季刊，42，37-72。徐君毓 (2016)。以動態機率模型預測台股熊市之發生，國立臺灣大學財務金融學系碩士論文。陳鳳琴 (2012)。台灣股匯市與美國股市連動性之再探討，中華管理評論，15，1-31。 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100764 en_US
