政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152081

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152081

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/152081

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/152081

Title:	市場財務與總體經濟指標預測臺灣股市風險溢酬之表現 Predictive performance of financial and macroeconomic indicators on equity premium in Taiwan Stock Market
Authors:	洪浚維 Hung, Chun-Wei
Contributors:	鍾令德 Chung, Ling-Tak 洪浚維 Hung, Chun-Wei
Keywords:	市場風險溢酬預測樣本外預測穩健性檢定 Market risk premium Prediction Out-of-Sample prediction Robustness check
Date:	2024
Issue Date:	2024-07-01 12:42:59 (UTC+8)
Abstract:	本研究檢驗 18 項市場財務指標與總體經濟指標在預測臺灣股票市場風險溢酬的表現。在樣本內預測中，僅有 4 項指標與市場風險溢酬的相關性符合理論預期，樣本外預測表現上，有 12 (11) 項指標在以 5 (10) 年為初始期間作為估計時顯著優於市場風險溢酬的歷史平均數。消費者物價指數年增率 (CPI) 是唯一在樣本內與樣本外預測的擁有良好表現的指標，以 CPI 作為市場投資組合的擇時工具，累積報酬率與夏普比率均優於長期持有臺灣加權指數。但是在 2009 作為投資組合初始投資期間下，無法提升長期持有策略的報酬率與夏普比率，可能源自於中央銀行近年採取通膨目標化的立場，使市場更加朝向效率市場運作。 The paper compares the performance of 18 market financial and macroeconomic indicators in predicting the equity premium of the Taiwan Stock Exchange Capitalization Weighted Stock Index. In-sample (IS) tests reveal that only four indicators have the correct predictive signs in line with economic theories. Using 5 (10)-year initial periods, 12 (11) indicators beat the rolling average of the equity premium in out-of-sample(OOS) tests. The annual inflation rate in Taiwan is the only indicator that performs well in both IS and OOS tests. Market timing strategies based on the annual inflation rate outperform the passive buy-and-hold strategy in backtests. However, their performance has weakened significantly since 2009, in line with improved market efficiency and the Taiwan Central Bank’s policy stance on inflation targeting.
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Description:	碩士國立政治大學國際經營與貿易學系 111351022
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0111351022
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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