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    題名: 以Neftci model預測台灣熊市之研究
    The Prediction of Bear Markets in Taiwan by Neftci Model
    作者: 謝郁嫻
    Hsieh,Yu Hsien
    貢獻者: 郭維裕
    謝郁嫻
    Hsieh,Yu Hsien
    關鍵詞: 熊市
    股市循環
    Neftci model
    bear market
    turning point
    日期: 2006
    上傳時間: 2009-09-18 19:58:03 (UTC+8)
    摘要: Optimal prediction model of cyclical downturns proposed by Neftci (1982) was widely used in application to predict turning points of different economies such as US, UK, Japan, and West Germany. I apply Neftci model to predict the occurrence of bear markets of Taiwan stock market by using exchange rate of NTD, monitoring indicator of economy, and turnover rate of TAIEX as predictors. The results show that turnover rate outperforms the other two predictors, which signaled bear markets almost concurrently on average and the variation of the signal time is the smallest, ranging from 4 months lead to 4 months lag.
    Optimal prediction model of cyclical downturns proposed by Neftci (1982) was widely used in application to predict turning points of different economies such as US, UK, Japan, and West Germany. I apply Neftci model to predict the occurrence of bear markets of Taiwan stock market by using exchange rate of NTD, monitoring indicator of economy, and turnover rate of TAIEX as predictors. The results show that turnover rate outperforms the other two predictors, which signaled bear markets almost concurrently on average and the variation of the signal time is the smallest, ranging from 4 months lead to 4 months lag.
    參考文獻: Ajayi and Mougoue,M., “On the Dynamic Relation between Stock Prices and Exchange Rates,” Journal of Financial Research 1996, vol.19, pp193-207
    Boldin, M.D., “Dating Turning Points in the Business Cycle,” The Journal of Business, vol. 67, No. 1, January 1994, pp. 97-131
    Chauvet, M., and Potter, S., “Coincident and leading indicators of the stock market,” Journal of Empirical Finance 7, 2000, pp87-111
    Diebold, F.X., and Rudebusch, G.D., “A Nonparametric Investigation of Duration Dependence in the American Business Cycle,” Journal of Political Economy, vol. 98, No. 3, 1990, pp. 596-616.
    Diebold, F.X., and Rudebusch, G.D., “Scoring the Leading Indicators,” The Journal of Business, vol. 62, No. 3, July 1989, pp. 369-391.
    Diebold, F.X., and Rudebusch, G.D., “Measuring Business Cycles, A Modern Prespective,” The Review of Economics and Statistics, vol. 62, No. 3, 1996, pp. 67-77.
    Estrella, A.,and Mishkin, F.S., “Predicting U.S. Recessions: Financial Variables as Leading Indicators,” The Review of Economics and Statistics, vol. 80, No. 1. February 1998, pp. 45-61
    Fabozzi, F.J., and Francis, J.C., “Stability Tests for Alphas and Betas over Bull and Bear Market Conditions,” The Journal of Finance, vol.22, No.4, September 1977, pp.1093-1099
    Filardo, A.J., “How Reliable Are Recession Prediction Models?” Federal Reserve Bank of Kansas City, Economic Review, Second Quarter 1999, pp. 35-55
    Huang Zi-You, “The Study of Relationship between Stock Price and Business Cycle Indicators---The Evidence on The Stock Market in Taiwan”, 2001
    Lunde, A., and Timmermann, A., “ Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,” Journal of Business and Economics Statistics, July 2004, pp253-272
    Kim, M.K., and Zumwalt, J.K., “ An Analysis of Risk in Bull and Bear Markets,” Journal of Financial and Quantitative Analysis, vol. 14, No. 5, December 1979, pp.1015-1025
    Ma, C.K., and Kao, G.W., “On Exchange Rate Changes and Stock Price Reactions,” Journal of Business Finance and Accounting, vol.17(3), Summer 1990, pp 441-449
    McCulloch, J.H., “The Monte Carlo Cycle in Business Activity,” Economic Inquiry, 13:3, September 1975, pp 303-320
    Neftci, S.N., “Optimal Prediction of Cyclical Downturns,” Journal of Economic Dynamics and Control, vol. 4, 1982, pp 225-241
    Pesaran, M.H., and Timmermann, A., “Predictability of Stock Returns: Robustness and Economic Significance,” The Journal of Finance, vol. L, No.4, September 1995, pp. 1201-1227
    Lahiri and Moore, Leading economic indicators: new approaches and forecasting records, New York : Cambridge University Press, 1991, ch.5, pp. 91-108
    Wang, “A Model of Competitive Stock Trading Volume,” Journal of Political Economy, vol.102, 1994, pp.127-168
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    94351004
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094351004
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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