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| Title: | 臺股指數期貨擇時策略績效探討—以期間利差做為擇時指標
The performance of Taiwan stock price index futures timing strategies—Using term spread as a timing indicator |
| Authors: | 游語笙
You, Yu-Sheng |
| Contributors: | 岳夢蘭
Yueh, Meng-Lan
游語笙
You, Yu-Sheng |
| Keywords: | 台股指數期貨
擇時策略
期間利差
Taiwan stock price index futures
Timing strategies
Term spread |
| Date: | 2019 |
| Issue Date: | 2019-10-03 17:16:35 (UTC+8) |
| Abstract: | 本研究利用Resnick and Shoesmith（2002）中所使用的probit模型，並以臺灣及美國的期間利差（term spread）分別在領先一個月、一季以及一年（k=1, 3 and 12）的資訊做為解釋變數，對台股進入熊市做為被解釋變數，在1996年6月至2019年6月裡樣本內檢驗（in-sample-test）的結果顯示，前一個月、前一季以及前一年的美國期間利差對於台股進入熊市具有顯著的預測能力，而台灣的期間利差僅前一個月（k=1）的資訊具有預測能力，在兩者共同使用下對於解釋能力並無明顯地幫助。接著本研究利用AIC（Akaike information criterion）選擇最適的預測變數組合，發現使用前一年（k=12）的美國期間利差具有最高的配適度（goodness of fit）。而後使用此解釋變數，利用樣本外模擬（out-of-sample-simulation）的方式，預測台股下期進入熊市的機率，透過各個機率篩選標準P*建立擇時指標，並將擇時指標結合台股指數期貨等標的，建構五種不同的擇時交易策略。在研究期間2003年7月至2019年6月的樣本外投資模擬中，使用槓桿的台股指數期貨交易策略，在機率篩選標準為25%之下，總計獲得831.79%的累積報酬率；而在相同期間下，持有台股ETF的報酬率僅獲得285.43%的累積報酬率。
We used the probit model which Resnick and Shoesmith (2002) used in the study, and we took the term spreads of Taiwan and U.S. as the explanatory variables to forecast a bear stock market of Taiwan 1, 3 and 12 months ahead (k=1, 3 and 12) respectively. The in-sample-test result from 1996.06 to 2019.06 shows that the term spread of U.S. which k =1, 3 and 12 holds statistically significant forecasting power of Taiwan stock market respectively, but only the term spread of Taiwan when k=1 holds statistically significant result. Using term spreads of Taiwan and U.S. together doesn’t improve the fitness of model at all. Then we selected the best explanatory by using the AIC (Akaike information criterion). We found out that the model holds the best forecasting power by only using the term spread of U.S. which k=12. We used this variable to estimate forecasted probabilities which can be used as a timing indicator by setting probability screens, and combing it with Taiwan stock price index futures to create trading strategies. From July 2003 to June 2019, the out-of-sample result shows that the strategy with futures using leverage at a 25 percent probability screen could earn 831.79% of accumulated return; Nevertheless, holding Taiwan stock ETF could only earn 285.43% of accumulated return. |
| Reference: | 一、中文部分
李忠彥（2015）。預測實質產出：期間利差的可預測性。國立政治大學經濟學系碩士論文，台北市。
李偉銘、吳淑貞、黃啟泰（2015）。總體經濟變數對臺灣股市之大盤及類股熊市預測表現之探討。經濟研究，51(2)，171-224.
陳定遠（2016）。股價指數期貨取代被動式股票投資可行性研究－以台股指數期貨與台灣五十指數ETF為例。國立臺灣科技大學財務金融研究所碩士論文，台北市。
陳薇媛（2004）。以長短期利差為指標之股市擇時策略研究。國立政治大學財務管理研究所碩士論文，台北市。
蔡培倫（1997）。長短期利率預測及其應用。東吳大學經濟學系碩士論文，台北市。
蕭碧珍（2003）。長短期殖利率差與股價指數漲跌關聯性研究----以台灣為例。國立交通大學國際經貿學程碩士班碩士論文，新竹市。
二、英文部分
Akaike, Hirotsugu. (1974) A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716–723.
Carchano, Ó., & Pardo, Á. (2009). Rolling over stock index futures contracts. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 29(7), 684-694.
Candelon, B., Ahmed, J., & Straetmans, S. (2012). Predicting and capitalizing on stock market Bears in the US. Department of Research, Ipag Business School Working Paper, No.19
Chen, S. S. (2009). Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking & Finance, 33(2), 211-223.
Estrella, A., & Hardouvelis, G. A. (1991). The term structure as a predictor of real economic activity. The journal of Finance, 46(2), 555-576.
Estrella, A., & Mishkin, F. S. (1998). Predicting US recessions: Financial variables as leading indicators. Review of Economics and Statistics, 80(1), 45-61.
Evgenidis, A., Papadamou, S., & Siriopoulos, C. (2018). The yield spread`s ability to forecast economic activity: What have we learned after 30 years of studies? Journal of Business Research.
Harvey, C. R. (1988). The real term structure and consumption growth. Journal of Financial Economics, 22(2), 305-333.
Harvey, C. R. (1989). Forecasts of economic growth from the bond and stock markets.Financial Analysts Journal, 45(5), 38-45.
Merton, R. C. (1981). On market timing and investment performance. I. An equilibrium theory of value for market forecasts. Journal of business, 363-406.
Liu, W., Resnick, B. G., & Shoesmith, G. L. (2004). Market timing of international stock markets using the yield spread. Journal of Financial Research, 27(3), 373-391.
Mehl, A. (2009). The yield curve as a predictor and emerging economies. Open Economies Review, 20(5), 683.
Fernandez-Perez, A., Fernández-Rodríguez, F., & Sosvilla-Rivero, S. (2014). The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. International Review of Economics & Finance, 31, 21-33.
Resnick, B. G., & Shoesmith, G. L. (2002). Using the yield curve to time the stock market. Financial Analysts Journal, 58(3), 82-90.
Siegel, J. (1998). Stocks For The Long Run/Jeremy J. Siegel (Vol. 37). New York: McGraw-Hill.
三、網站部分
Bear Market Definition, Retrieved August 28 2019, from: https://www.investopedia.com/terms/b/bearmarket.asp |
| Description: | 碩士
國立政治大學
財務管理學系
106357032 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0106357032 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU201901198 |
| Appears in Collections: | [財務管理學系] 學位論文
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