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    题名: 費城半導體指數轉折點預測 - Probit模型之時間序列研究
    Predicting Stock Turning Points by Using Probit Model – Evidence from Philadelphia Semiconductor Index
    作者: 李郁萱
    Lee, Yu-Hsuan
    贡献者: 徐士勛
    Hsu, Shih-Hsun
    李郁萱
    Lee, Yu-Hsuan
    关键词: 費城半導體指數
    動態 Probit 模型
    熊牛市轉折點預測
    日期: 2021
    上传时间: 2021-08-04 15:57:24 (UTC+8)
    摘要: 針對學術上與實務上使用的多樣預測變數和及落後項，本文透過 Lasso 變數篩選法，選出對費城半導體指數轉折點預測具影響力的變數，再使用動態 Probit 模型進行樣本外疊代預測，並以不同的交易策略，比較長短熊牛市週期認列方式和預測變數組合的最大年化報酬率和其最適熊市機率門檻值。最終，本文歸納找出對費城半導體指數轉折點預測有最大年化報酬率的模型。根據實證結果，針對費城半導體指數熊牛市轉折點預測，本文認為應採用長週期認列和具有落後項的預測變數進行動態 Probit 模型估計和預測，此時將有最佳樣本外預測表現。
    參考文獻: 陳旭昇(2013)，時間序列：總體經濟與財務金融之應用，二版。
    Aubry, M. and R. M. Patricia (2014), “Semiconductor Industry Cycles: Explanatory Factors and Forecasting, Economic Modelling, 39, 221-231.
    Bry, G. and C. Boschan (1971), “Cyclical Analysis of Time Series: Selected Procedures and Computer Programs,” NBER.
    Chen, S. S. (2009), “Predicting the Bear Stock Market: Macroeconomic Variables as Leading Indicators, ” Journal of Banking Finance, 33, 211-223.
    Chow H. and K. Choy (2004), “Forecasting the Global Electronics Cycle with Leading Indicators: A Bayesian VAR Approach,” International Journal of Forecasting 22, 301- 315.
    Dueker, M. J. (1997), “Strengthening the Case for the Yield Curve as a Predictor of U.S. Recessions,” Louis Review, 41- 51.
    Estrella, A. and G. A. Hardouvelis (1991), “The Term Structure as a Predictor of Real Economic Activity,” Journal of Finance, 46, 555-576.
    Estrella, A. and F. S. Mishkin (1998), “Predicting U.S. Recessions: Financial Variables as Leading Indicators, National Bureau of Economic Research, 80, 45-61.
    Gonzalez, L., J. G. Powell, J. Shi and A. Wilson (2005), “Two Centuries of Bull and Bear Market Cycles, International Review of Economics Finance, 14, 469–486.
    Kauppi, H. and P. Saikkonen (2008), “Predicting U.S. Recessions with Dynamic Binary Response Models,” The Review of Economics and Statistics, 90, 777–791.
    Liu, W. H. (2005), “Determinants of the Semiconductor Industry Cycles,” Journal of Policy Modeling, 27, 853–866.
    Liu, W. H., C. F. Chung, and K. L. Chang (2012), “Inventory Change, Capacity Utilization and the Semiconductor Industry Cycle,” Economic Modelling, 31, 119–127.
    Liu, W. H. and S. S. Weng (2018), “On Predicting the Semiconductor Industry Cycle: a Bayesian Model Averaging Approach,” Empirical Economics, 54, 673–703.
    Nissila W. (2020), “Probit Based Time Series Models in Recession Forecasting – A Survey with an Empirical Illustration for Finland,” BoF Economics Review.
    Nyberg, H. (2013), “Predicting Bear and Bull Stock Markets with Dynamic Binary Time Series Models,” Journal of Banking and Finance, 37, 3351–3363.
    Pagan, A. R. and K. A. Sossounov (2003), “A Simple Framework for Analysing Bull and Bear Markets,” Journal of Applied Econometrics, 18, 233-246.
    Resnick, B. and G. Shoesmith (2002), “Using the Yield Curve to Time the Stock Market,” Financial Analysts Journal, 58, 82-90.
    Wu, S. J. and W. M. Lee (2012), “Predicting the U.S. Bear Stock Market Using the Consumption-wealth Ratio,” January 2012 Economics Bulletin, 32, 3174–3181.
    描述: 碩士
    國立政治大學
    經濟學系
    107258009
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0107258009
    数据类型: thesis
    DOI: 10.6814/NCCU202100680
    显示于类别:[經濟學系] 學位論文

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