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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 21-四月-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. [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. [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. [4] Campbell, John Y., 1987, "Stock returns and the term structure," Journal of Financial Economics 18, 373-399. [5] Campbell, John Y. and Robert J. Shiller, 1988, "Stock prices, earnings, and expected dividends," Journal of Finance 43, 661-676. [6] Chan, Louis K., Yasushi Hamao and Josef Lakonishok, 1991, "Fundamentals and stock returns in Japan," Journal of Finance 46, 1739-1789. [7] Chen, N. F., R. Roll, and S. A. Ross, 1986, "Economic forces and the stock market," Journal of Business 59, 382-403. [8] Chen, 1996, "A research on market timing strategy," National Chung Cheng University unpublished master thesis. [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. [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. [11] Donaldson, R Glen, and Kamstra, Mark, 1996, "Forecasting combining with nerual networks," Journal of Forecasting 15, 49-62. [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. [13] Fama, Eugene F., and Kenneth R. French, 1988, "Dividend yield and expected stock returns," Journal of Financial Economics 22, 3-25. [14] Fama, Eugene F., and Kenneth R. French, 1992, "The cross-section of expected stock returns," Journal of Finance 47, 427-265. [15] Fama, Eugene F., and G. William Schwert, 1977, "Asset returns and inflation," Journal of Financial Economics 5, 115-146. [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. [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. [18] Keim, Donald B., and Robert F. Stambaugh, 1986, "Predicting returns in the stock and bond markets," Journal of financial Economics 17, 357-390. [19] Kim, Moon K., and Wu, Chunchi, 1988, "Effects of inflation on capital structure," The Financial Review 23, 183-201 [20] Lee, Wai, 1997, "Market timing and short-term interest rates," Journal of Portfolio Management 23, 35-46. [21] Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, "Persuasive evidence of market inefficiency," Journal of Portfolio Management 11, 9-17. [22] Stattman, Dennis, 1980, "Book values and stock returns," The Chicago MBA: A Journal of Selected Papers 4, 25-45. [23] Sharpe, William F., 1975, "Likely gains from market timing," Financial Analysts Journal 31, 60-69. [24] Summers, L. H., 1986, "Does the stock market rationally reflect fundamental values?" Journal of Finance 41, 591-601 [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. [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. Tsaih en_US dc.contributor.author (作者) 余文正 zh_TW dc.contributor.author (作者) Alex Yu en_US dc.creator (作者) 余文正 zh_TW dc.creator (作者) Yu, Alex en_US dc.date (日期) 1998 en_US dc.date.accessioned 21-四月-2016 17:06:02 (UTC+8) - dc.date.available 21-四月-2016 17:06:02 (UTC+8) - dc.date.issued (上傳時間) 21-四月-2016 17:06:02 (UTC+8) - dc.identifier (其他 識別碼) B2002001498 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85927 - 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) 86357007 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. 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/#B2002001498 en_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 timing en_US dc.subject (關鍵詞) neural network en_US dc.subject (關鍵詞) Back Propagation neural network en_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 Appraoches en_US dc.type (資料類型) thesis en_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. [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. [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. [4] Campbell, John Y., 1987, "Stock returns and the term structure," Journal of Financial Economics 18, 373-399. [5] Campbell, John Y. and Robert J. Shiller, 1988, "Stock prices, earnings, and expected dividends," Journal of Finance 43, 661-676. [6] Chan, Louis K., Yasushi Hamao and Josef Lakonishok, 1991, "Fundamentals and stock returns in Japan," Journal of Finance 46, 1739-1789. [7] Chen, N. F., R. Roll, and S. A. Ross, 1986, "Economic forces and the stock market," Journal of Business 59, 382-403. [8] Chen, 1996, "A research on market timing strategy," National Chung Cheng University unpublished master thesis. [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. [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. [11] Donaldson, R Glen, and Kamstra, Mark, 1996, "Forecasting combining with nerual networks," Journal of Forecasting 15, 49-62. [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. [13] Fama, Eugene F., and Kenneth R. French, 1988, "Dividend yield and expected stock returns," Journal of Financial Economics 22, 3-25. [14] Fama, Eugene F., and Kenneth R. French, 1992, "The cross-section of expected stock returns," Journal of Finance 47, 427-265. [15] Fama, Eugene F., and G. William Schwert, 1977, "Asset returns and inflation," Journal of Financial Economics 5, 115-146. [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. [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. [18] Keim, Donald B., and Robert F. Stambaugh, 1986, "Predicting returns in the stock and bond markets," Journal of financial Economics 17, 357-390. [19] Kim, Moon K., and Wu, Chunchi, 1988, "Effects of inflation on capital structure," The Financial Review 23, 183-201 [20] Lee, Wai, 1997, "Market timing and short-term interest rates," Journal of Portfolio Management 23, 35-46. [21] Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, "Persuasive evidence of market inefficiency," Journal of Portfolio Management 11, 9-17. [22] Stattman, Dennis, 1980, "Book values and stock returns," The Chicago MBA: A Journal of Selected Papers 4, 25-45. [23] Sharpe, William F., 1975, "Likely gains from market timing," Financial Analysts Journal 31, 60-69. [24] Summers, L. H., 1986, "Does the stock market rationally reflect fundamental values?" Journal of Finance 41, 591-601 [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. [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
