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https://nccur.lib.nccu.edu.tw/handle/140.119/35108
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| Title: | 聯邦模型在亞太市場之實證研究
The Empirical Study on the Fed Model in Main Asia-Pacific Markets |
| Authors: | 張碧娟
Chang, Bi-Juan |
| Contributors: | 郭維裕
Kuo, Wei-Yu
張碧娟
Chang, Bi-Juan |
| Keywords: | 聯邦模型
本益比
十年期政府公債報酬
反序累積平方和
結構變異
Fed model
PE ratio
10-year government bond yield
reversed ordered cumsum squared (ROC)
structural change |
| Date: | 2005 |
| Issue Date: | 2009-09-18 14:11:00 (UTC+8) |
| Abstract: | 聯邦模型（Fed Model）為一簡單股市報酬估計模型，認為股市之報酬率與政府十年期公債殖利率相近。本研究以此模型對亞太地區十個市場進行探討，並以反序累積平方和（Reversed Ordered Cusum squared，ROC）的方式偵測市場之結構變異，以做出更精確的預測與分析。所研究的市場包括澳洲、紐西蘭、日本、台灣、南韓、新加坡、香港、泰國、馬來西亞、以及菲律賓。我們得到的結論認為聯邦模型在澳洲、紐西蘭、日本、南韓、新加坡、及菲律賓的確有其效果存在，且在考量可能產生結構變異的時間點後，可使預測準確度提高。因此，我們可採用聯邦模型，做為資產在股市與債市間配置之參考工具。
The Fed Model indicates that the stock market returns are very close to the long-term government bond yields. This article examines the Fed model in 10 main Asia-Pacific markets- Australia, New Zealand, Japan, Taiwan, Korea, Singapore, Hong Kong, Thailand, Malaysia, and Philippine. The Reversed Ordered Cusum squared (ROC) test is used to detect the structural changes, and improve the out-of-sample forecasting results. We conclude that the Fed Model has some prediction power in these 10 markets, and can be considered as a useful dynamic asset allocation tool. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
93351024
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0093351024 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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