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    题名: 經濟追蹤投資組合在台灣金融市場之表現
    The Performance of Economic Tracking Portfolios in Taiwan Financial Market
    作者: 林佳宜
    Lin, Chia Yi
    贡献者: 郭維裕
    Kuo, Weiyu
    林佳宜
    Lin, Chia Yi
    关键词: 經濟追蹤投資組合
    追蹤
    Economic Tracking Portfolios
    tracking
    日期: 2008
    上传时间: 2016-05-09 11:26:16 (UTC+8)
    摘要: An economic tracking portfolio (ETP) is a portfolio of assets whose returns track an economic variable. This paper applies the ETP approach to predicting the future values of macroeconomic variables in Taiwan financial market at different time horizons. We construct the tracking portfolios whose returns have the maximum correlations with the target variables of any base assets. From the analysis, the ETP approach is able to track the changes in the market expectations about future economic variables. Particularly, the returns of the “new economy” stocks and the financial stocks have good explanatory power for the future values of target variables. Furthermore, our results also support for the use of industry portfolios in out-of-sample forecasting.
    參考文獻: Canova, F and De Nicolo, G, 1995, Stock returns and real activity: a structural approach, European Economic Review 39, 981-1015.

    Christoffersen, P., Ghysels, E., and Swanson, N. R., 2000, Let’s get real about using economic data, McGrill University Working Paper.

    Christoffersen, P., and Slok, T., 2000, Do asset prices in transition countries contain information about future economic activity?, IMF Working Paper.

    Fama, E. F., 1975, Short-term interest rates as predictors of inflation, American Economic Review 65, 269-282.

    Fama, E. F., 1981, Stock returns, real activity, inflation, and money, American Economic Review 71, 645-565.

    Fama, E. F., 1990, Stock returns, expected returns, and real activity, Journal of Finance 45, 1089-1108.

    Fama, E. F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.

    Hayes, S., 2001, Leading Indicator Information in UK Equity Prices: An Assessment of Economic Tracking Portfolios, Bank of England Working Paper No. 137.

    Junttila, J., 2002, Forecasting the Macroeconomy with Current Financial Market Information in Europe and the United States, Bank of Finland Research Discussion Paper No. 2.

    Junttila, J., and Kinnunen H., 2004, The performance of economic tracking portfolios in an IT-intensive stock market, Quarterly Review of Economics and Finance 44, 601-623.

    Lamont, O. A., 2001, Economic tracking portfolios, Journal of Econometrics 105, 161-184.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    95351017
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095351017
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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