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| Title: | 以Neftci model預測台灣熊市之研究
The Prediction of Bear Markets in Taiwan by Neftci Model |
| Authors: | 謝郁嫻
Hsieh,Yu Hsien |
| Contributors: | 郭維裕
謝郁嫻
Hsieh,Yu Hsien |
| Keywords: | 熊市
股市循環
Neftci model
bear market
turning point |
| Date: | 2006 |
| Issue Date: | 2009-09-18 19:58:03 (UTC+8) |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
94351004
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0094351004 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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