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題名 總體經濟變數對於台灣股票市場波動程度之可預測性
Economic Variables and the Predictability of Stock Volatility in Taiwan
作者 吳湘韻
貢獻者 趙世偉
吳湘韻
關鍵詞 股票
波動度
預測
總體經濟
stock
volatility
predict
Macroeconomic
日期 2014
上傳時間 1-Jul-2015 14:45:46 (UTC+8)
摘要 本文研究主旨在討論總體經濟變數是否可以作為台灣股價指數波動度的解釋因子，本文使用線性預測模式，在樣本內與樣本外分析架構下，討論台灣加權股價指數的報酬率波動度是否在加入總體經濟變數後，可以提升模型解釋能力，並且考慮國內外文獻中有討論的財務變數及外匯變數進入模型，觀察台灣實證經驗是否與成熟市場的美國經驗一致。\n 在實證結果上，與Paye(2012)使用美國S&P500 指數資料所得出的結果相似，無顯著證據顯示將總體經濟變數納入模型可以改善預測能力，單一變數中，僅有週轉率變數與利率變數的預測能力較佳。此外，個別模型預估值的線性組合方法較能改善模型預測能力，顯示多方訊息的彙整下，含有豐富的市場資訊，可以有效預測股價市場的波動。
Aggregate stock volatility is changing anytime. The main topic of this thesis tests whether it is possible to improve the stock market volatility forecasts by adding the macroeconomics variables into the linear model. The paper uses the linear predictable model to construct the in-sample and out-of-sample analysis forecast model to test whether the model considering macroeconomics variables outperforms the benchmark model. It is difficult to find the empirical evidence that forecasts on conditioning an macroeconomic variable outperform than the volatility lagged information. Only the financial variables which are Taiwan stock monthly turnover rate and credit variables have improved the model forecast. The most successful approaches involve simple combination of individual forecasts.
參考文獻 Andersen T. G., Bollerslev T., Diebold F. X., and Ebens H., (2001). The Distrbution of Stock Return Volatitlity. Journal of Financial Economics,61,43-76.\nCampbell J. Y., and Samuel B. T., (2008). Predicting the Excess Stock Returns Out of Sample : Can any Thing Beat The Historical Average?. The Review of Financial Studies,21(4),1509-1531.\nChristiansen C., Schmeling M., and Schrimpf A., (2012). A Comprehensive Look at Financial Volatility Prediction by Economic Variables. Journal of Applied Econometrics. Volume 27 Issue 6,956-977.\nClark T. E., and West K. D., (2007). Approximately Normal Tests for Equal Predictive Accuracy in Nested Models. Journal of Econometrics,138,291-311.\nDavis, N., and Kutan A. M., (2003). Inflation and Output as Predictors of Stock Returns and Volatility: International Evidence. Applied Financial Economics,13,693-700.\nDickey, D. A., and Fuller, W. A., (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association,74 (366),427-431.\nFortune P., (1989). An Assessment of Financial Market Volitility: Bills, Bond and Stocks. New England Economic Review,13-28.\nGiacomini R., and White H., (2006). Test of Conditional Predictive Ability. Econometrica,74,1545-1578.\nGoyal, A., Welch, I., (2008). A Comprehensive Look at The Empirical Performance of the Equity Premium Prediction. Review of Financial Studies,21,1455-1508.\nOfficer R. R., (1973). The Variability of The Market Factor of New York Stock Change.Journal of Business,46,434-453.\nPaye B. S., (2012). Deja Vol:Preditive Regressions for Aggregate Stock Market Volatility Using Macroeconomics Variables. Journal of Financial Economics,106,527-546.\nPhillips, P. C. B., and Perron, P.,(1988). Testing for a Unit Root in Time Series Regression. Biometrika,75,335-346.\nSchwert G. W., (1989). Why Does Stock Market Volatility Change Over Time?. The Jornal of Finance,44,1115-1153.\nSill D. K., (1993). Predicting Stock-Market Volatility. Business Review-Federal Reserve Bank of Philadlephia,15-27.\nStambaugh R. F., (1999). Predictive Regressions. Journal of Financial Economics,54,375-421.\nRapach D. E., Strauss J. K., and Zhou G., (2010). Out of Sample Equity Premium Prediction: Combination Forecasts and Links to The Real Economy. Review of Financial Studies,23,821-862.\nRossi B., and Inoue A., (2012). Out-of-Sample Forecast Tests Robust to the Choice of Window Size. Journal of Business & Economic Statistics,30,432-453.\n李秀雯(1999)。股票市場波動性與總體經濟波動性及市場交易量之關係。未出版之碩士論文，私立淡江大學，財務金融學系。\n倪衍森與徐光耀(1999)。臺灣股市波動性的傳遞性研究。淡江人文社會學刊，171-201。\n郭迺鋒、李麗華、柯佩璇、張佩惠、謝雨豆(2009)。台灣股票市場報酬率波動來源之探討：分量迴歸分析。2009 行為財務學暨新興市場理論與實證研討會。\n陳功業(1999)。台灣股票市場波動性之研究。未出版之碩士論文，國立政治大學，國際貿易學系研究所。\n許文成(1996)。台灣股票市場波動性之衡量及其影響因子之探討。未出版之碩士論文，國立中山大學，財務管理研究所。\n黃德芬(1994)。臺灣股票市場波動性與基本面因素及市場交易因素之關係之實證研究。未出版之碩士論文，國立台灣大學，財務金融學系。\n黃勁豪(2001)。台灣股票市場波動性與總體經濟波動性關係之研究。未出版之碩士論文，私立東海大學，企業管理學系。\n潘勝昱(2012)。總體經濟變數對台灣股價波動性之長、短期影響-以CARR 模型分析。未出版之碩士論文，國立清華大學，經濟學系。
描述 碩士
國立政治大學
金融研究所
102352017
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102352017
資料類型 thesis
dc.contributor.advisor 趙世偉zh_TW
dc.contributor.author (Authors) 吳湘韻zh_TW
dc.creator (作者) 吳湘韻zh_TW
dc.date (日期) 2014en_US
dc.date.accessioned 1-Jul-2015 14:45:46 (UTC+8)-
dc.date.available 1-Jul-2015 14:45:46 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2015 14:45:46 (UTC+8)-
dc.identifier (Other Identifiers) G0102352017en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=85005-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 102352017zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) 本文研究主旨在討論總體經濟變數是否可以作為台灣股價指數波動度的解釋因子，本文使用線性預測模式，在樣本內與樣本外分析架構下，討論台灣加權股價指數的報酬率波動度是否在加入總體經濟變數後，可以提升模型解釋能力，並且考慮國內外文獻中有討論的財務變數及外匯變數進入模型，觀察台灣實證經驗是否與成熟市場的美國經驗一致。\n 在實證結果上，與Paye(2012)使用美國S&P500 指數資料所得出的結果相似，無顯著證據顯示將總體經濟變數納入模型可以改善預測能力，單一變數中，僅有週轉率變數與利率變數的預測能力較佳。此外，個別模型預估值的線性組合方法較能改善模型預測能力，顯示多方訊息的彙整下，含有豐富的市場資訊，可以有效預測股價市場的波動。zh_TW
dc.description.abstract (摘要) Aggregate stock volatility is changing anytime. The main topic of this thesis tests whether it is possible to improve the stock market volatility forecasts by adding the macroeconomics variables into the linear model. The paper uses the linear predictable model to construct the in-sample and out-of-sample analysis forecast model to test whether the model considering macroeconomics variables outperforms the benchmark model. It is difficult to find the empirical evidence that forecasts on conditioning an macroeconomic variable outperform than the volatility lagged information. Only the financial variables which are Taiwan stock monthly turnover rate and credit variables have improved the model forecast. The most successful approaches involve simple combination of individual forecasts.en_US
dc.description.tableofcontents 中文摘要 I\nAbstract II\n目次 III\n表次 IV\n圖次 V\n第一章緒論 1\n第二章文獻回顧 4\n第三章研究方法 8\n第一節變數定義與衡量 8\n一、 衡量台灣股票市場波動度 8\n二、 預測變數 13\n第二節模型設定與分析 16\n一、 樣本內分析 16\n二、 樣本外分析 17\n第四章實證結果與分析 24\n第一節樣本內分析 24\n第二節樣本外分析 27\n第五章研究結論與建議 34\n參考文獻 35zh_TW
dc.format.extent 953951 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352017en_US
dc.subject (關鍵詞) 股票zh_TW
dc.subject (關鍵詞) 波動度zh_TW
dc.subject (關鍵詞) 預測zh_TW
dc.subject (關鍵詞) 總體經濟zh_TW
dc.subject (關鍵詞) stocken_US
dc.subject (關鍵詞) volatilityen_US
dc.subject (關鍵詞) predicten_US
dc.subject (關鍵詞) Macroeconomicen_US
dc.title (題名) 總體經濟變數對於台灣股票市場波動程度之可預測性zh_TW
dc.title (題名) Economic Variables and the Predictability of Stock Volatility in Taiwanen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Andersen T. G., Bollerslev T., Diebold F. X., and Ebens H., (2001). The Distrbution of Stock Return Volatitlity. Journal of Financial Economics,61,43-76.\nCampbell J. Y., and Samuel B. T., (2008). Predicting the Excess Stock Returns Out of Sample : Can any Thing Beat The Historical Average?. The Review of Financial Studies,21(4),1509-1531.\nChristiansen C., Schmeling M., and Schrimpf A., (2012). A Comprehensive Look at Financial Volatility Prediction by Economic Variables. Journal of Applied Econometrics. Volume 27 Issue 6,956-977.\nClark T. E., and West K. D., (2007). Approximately Normal Tests for Equal Predictive Accuracy in Nested Models. Journal of Econometrics,138,291-311.\nDavis, N., and Kutan A. M., (2003). Inflation and Output as Predictors of Stock Returns and Volatility: International Evidence. Applied Financial Economics,13,693-700.\nDickey, D. A., and Fuller, W. A., (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association,74 (366),427-431.\nFortune P., (1989). An Assessment of Financial Market Volitility: Bills, Bond and Stocks. New England Economic Review,13-28.\nGiacomini R., and White H., (2006). Test of Conditional Predictive Ability. Econometrica,74,1545-1578.\nGoyal, A., Welch, I., (2008). A Comprehensive Look at The Empirical Performance of the Equity Premium Prediction. Review of Financial Studies,21,1455-1508.\nOfficer R. R., (1973). The Variability of The Market Factor of New York Stock Change.Journal of Business,46,434-453.\nPaye B. S., (2012). Deja Vol:Preditive Regressions for Aggregate Stock Market Volatility Using Macroeconomics Variables. Journal of Financial Economics,106,527-546.\nPhillips, P. C. B., and Perron, P.,(1988). Testing for a Unit Root in Time Series Regression. Biometrika,75,335-346.\nSchwert G. W., (1989). Why Does Stock Market Volatility Change Over Time?. The Jornal of Finance,44,1115-1153.\nSill D. K., (1993). Predicting Stock-Market Volatility. Business Review-Federal Reserve Bank of Philadlephia,15-27.\nStambaugh R. F., (1999). Predictive Regressions. Journal of Financial Economics,54,375-421.\nRapach D. E., Strauss J. K., and Zhou G., (2010). Out of Sample Equity Premium Prediction: Combination Forecasts and Links to The Real Economy. Review of Financial Studies,23,821-862.\nRossi B., and Inoue A., (2012). Out-of-Sample Forecast Tests Robust to the Choice of Window Size. Journal of Business & Economic Statistics,30,432-453.\n李秀雯(1999)。股票市場波動性與總體經濟波動性及市場交易量之關係。未出版之碩士論文，私立淡江大學，財務金融學系。\n倪衍森與徐光耀(1999)。臺灣股市波動性的傳遞性研究。淡江人文社會學刊，171-201。\n郭迺鋒、李麗華、柯佩璇、張佩惠、謝雨豆(2009)。台灣股票市場報酬率波動來源之探討：分量迴歸分析。2009 行為財務學暨新興市場理論與實證研討會。\n陳功業(1999)。台灣股票市場波動性之研究。未出版之碩士論文，國立政治大學，國際貿易學系研究所。\n許文成(1996)。台灣股票市場波動性之衡量及其影響因子之探討。未出版之碩士論文，國立中山大學，財務管理研究所。\n黃德芬(1994)。臺灣股票市場波動性與基本面因素及市場交易因素之關係之實證研究。未出版之碩士論文，國立台灣大學，財務金融學系。\n黃勁豪(2001)。台灣股票市場波動性與總體經濟波動性關係之研究。未出版之碩士論文，私立東海大學，企業管理學系。\n潘勝昱(2012)。總體經濟變數對台灣股價波動性之長、短期影響-以CARR 模型分析。未出版之碩士論文，國立清華大學，經濟學系。zh_TW