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題名 以線性與非線性模式進行市場擇時策略
Implementing the Market Timing Strategy on Taiwan Stock Market: The Linear and Nonlinear Appraoches
作者 余文正
Yu, Alex
貢獻者 徐燕山<br>蔡瑞煌
Yenshan Hsu<br>Ray H. Tsaih
余文正
Alex Yu
關鍵詞 市場擇時
類神經網路
後向傳導網路系統
market timing
neural network
Back Propagation neural network
日期 1998
上傳時間 21-Apr-2016 17:06:02 (UTC+8)
摘要 This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market.
This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market.
參考文獻 [1] Ball, Ray, 1978, \"Anomalies in relationships between securities` yields and yield-surrogates,\" Journal of Financial Economics 6, 103-126.\r\n[2] Basu, Sanjoy, 1983, \"The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence,\" Journal of Financial Economics 12, 129-156.\r\n[3] Breen William, Lawrence R. Glosten and Ravi Jagannathan, 1989, \"Economic significance of predictable variations in stock index returns,\" Journal of Finance 44, 1177-1189.\r\n[4] Campbell, John Y., 1987, \"Stock returns and the term structure,\" Journal of Financial Economics 18, 373-399.\r\n[5] Campbell, John Y. and Robert J. Shiller, 1988, \"Stock prices, earnings, and expected dividends,\" Journal of Finance 43, 661-676.\r\n[6] Chan, Louis K., Yasushi Hamao and Josef Lakonishok, 1991, \"Fundamentals and stock returns in Japan,\" Journal of Finance 46, 1739-1789.\r\n[7] Chen, N. F., R. Roll, and S. A. Ross, 1986, \"Economic forces and the stock market,\" Journal of Business 59, 382-403.\r\n[8] Chen, 1996, \"A research on market timing strategy,\" National Chung Cheng University unpublished master thesis.\r\n[9] Cumby, Robert E., and David M. Modest, 1987, \"Testing for market timing ability: A framework for forecast evaluation,\" Journal of Financial Economics 18, 169-190.\r\n[10] Desai, Vijay S., and Rakesh Bharati, 1998, \"The efficacy of neural networks in predicting returns on stock and bond indices,\" Decision Sciences 29, 405-425.\r\n[11] Donaldson, R Glen, and Kamstra, Mark, 1996, \"Forecasting combining with nerual networks,\" Journal of Forecasting 15, 49-62.\r\n[12] Dubois, C., 1992, \"Tactical asset allocation: A review of current techniques,\" in Active Asset Allocation, edited by R. Arnott and F. Fabozzi, Chicago: Probus Publishing Co.\r\n[13] Fama, Eugene F., and Kenneth R. French, 1988, \"Dividend yield and expected stock returns,\" Journal of Financial Economics 22, 3-25.\r\n[14] Fama, Eugene F., and Kenneth R. French, 1992, \"The cross-section of expected stock returns,\" Journal of Finance 47, 427-265.\r\n[15] Fama, Eugene F., and G. William Schwert, 1977, \"Asset returns and inflation,\" Journal of Financial Economics 5, 115-146.\r\n[16] Giovannini, Alberto, and Jorion, Philippe, 1987, \"Interest rates and risk premia in the stock market and in the foreign exchange market,\" Journal of International Money and Finance 6, 107-123.\r\n[17] Hu, Michael Y., Guoqiang Zhang, Christine X Jiang, and B Eddy Patuwo, 1999, \"A cross-validation analysis of neural network out-of-sample performance in exchange rate forecasting,\" Decision Sciences 30. 197-216.\r\n[18] Keim, Donald B., and Robert F. Stambaugh, 1986, \"Predicting returns in the stock and bond markets,\" Journal of financial Economics 17, 357-390.\r\n[19] Kim, Moon K., and Wu, Chunchi, 1988, \"Effects of inflation on capital structure,\" The Financial Review 23, 183-201\r\n[20] Lee, Wai, 1997, \"Market timing and short-term interest rates,\" Journal of Portfolio Management 23, 35-46.\r\n[21] Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, \"Persuasive evidence of market inefficiency,\" Journal of Portfolio Management 11, 9-17.\r\n[22] Stattman, Dennis, 1980, \"Book values and stock returns,\" The Chicago MBA: A Journal of Selected Papers 4, 25-45.\r\n[23] Sharpe, William F., 1975, \"Likely gains from market timing,\" Financial Analysts Journal 31, 60-69.\r\n[24] Summers, L. H., 1986, \"Does the stock market rationally reflect fundamental values?\" Journal of Finance 41, 591-601\r\n[25] Tsaih, R., Y. Hsu, C. Lai, 1998, \"Forecasting S&P 500 stock index futures with a hybrid AI system,\" Decision Support Systems 23, 161-174.\r\n[26] Tsaih, R., W. K. Chen, and Y. P. Lin, 1998, \"Application of Reasoning Neural Networks to Financial Swaps,\" Journal of Computational Intelligence in Finance, 27-37.
描述 碩士
國立政治大學
財務管理研究所
86357007
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001498
資料類型 thesis
dc.contributor.advisor 徐燕山<br>蔡瑞煌zh_TW
dc.contributor.advisor Yenshan Hsu<br>Ray H. Tsaihen_US
dc.contributor.author (Authors) 余文正zh_TW
dc.contributor.author (Authors) Alex Yuen_US
dc.creator (作者) 余文正zh_TW
dc.creator (作者) Yu, Alexen_US
dc.date (日期) 1998en_US
dc.date.accessioned 21-Apr-2016 17:06:02 (UTC+8)-
dc.date.available 21-Apr-2016 17:06:02 (UTC+8)-
dc.date.issued (上傳時間) 21-Apr-2016 17:06:02 (UTC+8)-
dc.identifier (Other Identifiers) B2002001498en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=95986-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 86357007zh_TW
dc.description.abstract (摘要) This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market.zh_TW
dc.description.abstract (摘要) This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market.en_US
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001498en_US
dc.subject (關鍵詞) 市場擇時zh_TW
dc.subject (關鍵詞) 類神經網路zh_TW
dc.subject (關鍵詞) 後向傳導網路系統zh_TW
dc.subject (關鍵詞) market timingen_US
dc.subject (關鍵詞) neural networken_US
dc.subject (關鍵詞) Back Propagation neural networken_US
dc.title (題名) 以線性與非線性模式進行市場擇時策略zh_TW
dc.title (題名) Implementing the Market Timing Strategy on Taiwan Stock Market: The Linear and Nonlinear Appraochesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [1] Ball, Ray, 1978, \"Anomalies in relationships between securities` yields and yield-surrogates,\" Journal of Financial Economics 6, 103-126.\r\n[2] Basu, Sanjoy, 1983, \"The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence,\" Journal of Financial Economics 12, 129-156.\r\n[3] Breen William, Lawrence R. Glosten and Ravi Jagannathan, 1989, \"Economic significance of predictable variations in stock index returns,\" Journal of Finance 44, 1177-1189.\r\n[4] Campbell, John Y., 1987, \"Stock returns and the term structure,\" Journal of Financial Economics 18, 373-399.\r\n[5] Campbell, John Y. and Robert J. Shiller, 1988, \"Stock prices, earnings, and expected dividends,\" Journal of Finance 43, 661-676.\r\n[6] Chan, Louis K., Yasushi Hamao and Josef Lakonishok, 1991, \"Fundamentals and stock returns in Japan,\" Journal of Finance 46, 1739-1789.\r\n[7] Chen, N. F., R. Roll, and S. A. Ross, 1986, \"Economic forces and the stock market,\" Journal of Business 59, 382-403.\r\n[8] Chen, 1996, \"A research on market timing strategy,\" National Chung Cheng University unpublished master thesis.\r\n[9] Cumby, Robert E., and David M. Modest, 1987, \"Testing for market timing ability: A framework for forecast evaluation,\" Journal of Financial Economics 18, 169-190.\r\n[10] Desai, Vijay S., and Rakesh Bharati, 1998, \"The efficacy of neural networks in predicting returns on stock and bond indices,\" Decision Sciences 29, 405-425.\r\n[11] Donaldson, R Glen, and Kamstra, Mark, 1996, \"Forecasting combining with nerual networks,\" Journal of Forecasting 15, 49-62.\r\n[12] Dubois, C., 1992, \"Tactical asset allocation: A review of current techniques,\" in Active Asset Allocation, edited by R. Arnott and F. Fabozzi, Chicago: Probus Publishing Co.\r\n[13] Fama, Eugene F., and Kenneth R. French, 1988, \"Dividend yield and expected stock returns,\" Journal of Financial Economics 22, 3-25.\r\n[14] Fama, Eugene F., and Kenneth R. French, 1992, \"The cross-section of expected stock returns,\" Journal of Finance 47, 427-265.\r\n[15] Fama, Eugene F., and G. William Schwert, 1977, \"Asset returns and inflation,\" Journal of Financial Economics 5, 115-146.\r\n[16] Giovannini, Alberto, and Jorion, Philippe, 1987, \"Interest rates and risk premia in the stock market and in the foreign exchange market,\" Journal of International Money and Finance 6, 107-123.\r\n[17] Hu, Michael Y., Guoqiang Zhang, Christine X Jiang, and B Eddy Patuwo, 1999, \"A cross-validation analysis of neural network out-of-sample performance in exchange rate forecasting,\" Decision Sciences 30. 197-216.\r\n[18] Keim, Donald B., and Robert F. Stambaugh, 1986, \"Predicting returns in the stock and bond markets,\" Journal of financial Economics 17, 357-390.\r\n[19] Kim, Moon K., and Wu, Chunchi, 1988, \"Effects of inflation on capital structure,\" The Financial Review 23, 183-201\r\n[20] Lee, Wai, 1997, \"Market timing and short-term interest rates,\" Journal of Portfolio Management 23, 35-46.\r\n[21] Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, \"Persuasive evidence of market inefficiency,\" Journal of Portfolio Management 11, 9-17.\r\n[22] Stattman, Dennis, 1980, \"Book values and stock returns,\" The Chicago MBA: A Journal of Selected Papers 4, 25-45.\r\n[23] Sharpe, William F., 1975, \"Likely gains from market timing,\" Financial Analysts Journal 31, 60-69.\r\n[24] Summers, L. H., 1986, \"Does the stock market rationally reflect fundamental values?\" Journal of Finance 41, 591-601\r\n[25] Tsaih, R., Y. Hsu, C. Lai, 1998, \"Forecasting S&P 500 stock index futures with a hybrid AI system,\" Decision Support Systems 23, 161-174.\r\n[26] Tsaih, R., W. K. Chen, and Y. P. Lin, 1998, \"Application of Reasoning Neural Networks to Financial Swaps,\" Journal of Computational Intelligence in Finance, 27-37.zh_TW