题名

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

并列篇名

Predicting Bear Markets of the TAIEX and Industry Indices in Taiwan

作者

李偉銘(Wei-Ming Lee)；吳淑貞(Shue-Jen Wu)；黃啟泰(Chi-Tai Huang)

关键词

熊市 ； 類股指數 ； 總體經濟變數 ； Probit模型 ； Bear Market ； Industry Index ； Macroeconomic Variable ； Probit Model

期刊名称

經濟研究

卷期/出版年月

51卷2期（2015 / 07 / 31）

页次

171 - 224

内容语文

繁體中文
中文摘要

本文主要探討總體經濟變數對臺灣加權股價指數與8 大類股股市熊市的預測力。利用Pagan and Sossounov（2003）的方法認定熊市並以probit模型分析描述金融市場、整體物價水準、總體經濟活動、貨幣政策、與財政政策等狀態之總體經濟變數的樣本內與樣本外預測表現。主要實證結果顯示期間利差有助於預測大盤與各類股的熊市，但僅在較短期與較長期較具預測力。在物價水準部分，消費者物價指數（consumer price index, CPI）年增率僅對類股具有不同程度的預測力。至於工業生產指數成長率與失業率變動等衡量總體經濟活動的變數，相較於Chen（2009）對美國股市的研究，我們的實證結果則顯示前者不具預測力，而後者亦僅對大盤與部分類股的熊市具微弱之預測力。最後，貨幣政策與財政政策變數雖有助於預測大盤熊市，但僅有水泥與金融類股熊市同時對貨幣與財政政策具顯著而強烈的反應；食品、塑化與營建類股熊市僅受貨幣政策影響，而紡織、造紙、與機電類股熊市在短期僅受貨幣政策影響，但在長期則僅受財政政策影響。
英文摘要

This paper examines the predictive power of macroeconomic variables for bear markets of the TAIEX and 8 industry indices in Taiwan. Based on Pagan and Sossounov's (2003) modified Bry-Boschan method and probit models, the in-sample and out-of-sample results all reveal that the term spread is a better predictor, but only for shorter and longer forecast horizons. The annual percentage change in the consumer price index only contains information about future bear markets. The macroeconomic variables reflecting economic activity provide little information regarding future bear markets, marking a sharp contrast with the U.S. findings in Chen (2009). Finally, both fiscal and monetary polices have a great impact on the TAIEX as well as the cement and finance industries. However, while the food, plastic and chemical, and building materials and construction industries react only to monetary policy, the textile, paper and pulp, and electric machinery industries respond to monetary policy only in the short run, while responding to fiscal policy only in the long run.
主题分类 社會科學 > 經濟學
参考文献
  1. 臺灣經濟新報資料庫Taiwan Economic Journal Database (1987-2013)，http://www.tej.com.tw/twsite/。http://www.tej.com.tw/twsite/
  2. Candelon, B., J. Ahmed and S. Straetmans (2012), “Predicting and Capitalizing on Stock Market Bears in the U.S.,” Department of Research, Ipag Business School Working Paper No. 19
  3. 中華民國統計資訊網總體統計資料庫 National Statistics ，Macro Database (1987-2013) ， http://statdb.dgbas.gov.tw/pxweb/dialog/statfile91.asp。http://statdb.dgbas.gov.tw/pxweb/dialog/statfile91.asp
  4. Wu, S. J., W. M. Lee and S. Y. You (2013), “Predicting Bear Stock Markets: International Evidence,” Unpublished Working Paper
  5. Ang, A.,Bekaert, G.(2007).Stock Return Predictability: Is it There?.The Review of Financial Studies,20(3),651-707.
  6. Bernanke, B. S.,Blinder, A. S.(1992).The Federal Funds Rate and the Channels of Monetary Transmission.The American Economic Review,82(4),901-921.
  7. Bhaduri, S.,Saraogi, R.(2010).The Predictive Power of the Yield Spread in Timing the Stock Market.Emerging Markets Review,11(3),261-272.
  8. Bry, G.,Boschan, C.(1971).Cyclical Analysis of Time Series: Selected Procedures and Computer Programs.New York:Columbia University Press.
  9. Campbell, J. Y.,Shiller, R. J.(1988).The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors.The Review of Financial Studies,1(3),195-228.
  10. Candelon, B.,Piplack, J.,Straetmans, S.(2008).On Measuring Synchronization of Bulls and Bears: The Case of East Asia.Journal of Banking & Finance,32(6),1022-1035.
  11. Chang, K. L.(2009).Do Macroeconomic Variables Have Regime-Dependent Effects on Stock Return Dynamics? Evidence from the Markov Regime Switching Model.Economic Modelling,26(6),1283-1299.
  12. Chauvet, M.,Potter, S.(2000).Coincident and Leading Indicators of the Stock Market.Journal of Empirical Finance,7(1),87-111.
  13. Chen, H.,Chong, T. T. L.,Li, Z.(2011).Are Chinese Stock Market Cycles Duration Independent?.The Financial Review,46(1),151-164.
  14. Chen, N. F.,Roll, R.,Ross, S. A.(1986).Economic Forces and the Stock Market.The Journal of Business,59(3),383-403.
  15. Chen, S. S.(2007).Does Monetary Policy Have Asymmetric Effects on Stock Returns?.Journal of Money, Credit and Banking,39(2-3),667-688.
  16. Chen, S. S.(2012).Revisiting the Empirical Linkages between Stock Returns and Trading Volume.Journal of Banking & Finance,36(6),1781-1788.
  17. Chen, S. S.(2009).Predicting the Bear Stock Market: Macroeconomic Variables as Leading Indicators.Journal of Banking & Finance,33(2),211-223.
  18. Chordia, T.,Shivakumar, L.(2002).Momentum, Business Cycle, and Time-Varying Expected Returns.The Journal of Finance,57(2),985-1019.
  19. Choudhry, T.(2001).Inflation and Rates of Return on Stocks: Evidence from High Inflation Countries.Journal of International Financial Markets, Institutions and Money,11(1),75-96.
  20. Clark, T. E.,West, K. D.(2007).Approximately Normal Tests for Equal Predictive Accuracy in Nested Models.Journal of Econometrics,138(1),291-311.
  21. Cooper, M. J.,Gutierrez, R. C., Jr.,Hameed, A.(2004).Market States and Momentum.The Journal of Finance,59(3),1345-1365.
  22. Cuñado, J.,Gil-Alana, L. A.,de Gracia, F. Pérez(2010).Mean Reversion in Stock Market Prices: New Evidence Based on Bull and Bear Markets.Research in International Business and Finance,24(2),113-122.
  23. Diebold, F. X.,Rudebusch, G. D.(1989).Scoring the Leading Indicators.The Journal of Business,62(3),369-391.
  24. Dridi, R.,Germain, L.(2004).Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium.Journal of Financial and Quantitative Analysis,39(4),873-886.
  25. Edwards, S.,Biscarri, J. Gómez,de Gracia, F. Pérez(2003).Stock Market Cycles, Financial Liberalization and Volatility.Journal of International Money and Finance,22(7),925-955.
  26. Estrella, A.(1998).A New Measure of Fit for Equations with Dichotomous Dependent Variables.Journal of Business & Economic Statistics,16(2),198-205.
  27. Estrella, A.,Hardouvelis, G. A.(1991).The Term Structure as a Predictor of Real Economic Activity.The Journal of Finance,46(2),555-576.
  28. Estrella, A.,Mishkin, F. S.(1998).Predicting U.S. Recessions: Financial Variables as Leading Indicators.The Review of Economics and Statistics,80(1),45-61.
  29. Fama, E. F.(1981).Stock Returns, Real Activity, Inflation, and Money.The American Economic Review,71(4),545-565.
  30. Fama, E. F.,French, K. R.(1988).Dividend Yields and Expected Stock Returns.Journal of Financial Economics,22(1),3-25.
  31. Geske, R.,Roll, R.(1983).The Fiscal and Monetary Linkage between Stock Returns and Inflation.The Journal of Finance,38(1),1-33.
  32. Gómez Biscarri, J.,de Gracia, F. Pérez(2004).Stock Market Cycles and Stock Market Development in Spain.Spanish Economic Review,6(2),127-151.
  33. Gordon, S.,St-Amour, P.(2000).A Preference Regime Model of Bull and Bear Markets.The American Economic Review,90(4),1019-1033.
  34. Guidolin, M.,Hyde, S.(2012).Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective.Journal of Banking & Finance,36(3),695-716.
  35. Harding, D.,Pagan, A.(2002).Dissecting the Cycle: A Methodological Investigation.Journal of Monetary Economics,49(2),365-381.
  36. Harding, D.,Pagan, A.(2003).A Comparison of Two Business Cycle Dating Methods.Journal of Economic Dynamics & Control,27(9),1681-1690.
  37. Hau, H.,Rey, H.(2006).Exchange Rates, Equity Prices, and Capital Flows.The Review of Financial Studies,19(1),273-317.
  38. Hjalmarsson, E.(2010).Predicting Global Stock Returns.Journal of Financial and Quantitative Analysis,45(1),49-80.
  39. Hong, H.,Torous, W.,Valkanov, R.(2007).Do Industries Lead Stock Markets?.Journal of Financial Economics,83(2),367-396.
  40. Hsu, P. H.(2009).Technological Innovations and Aggregate Risk Premiums.Journal of Financial Economics,94(2),264-279.
  41. Humpe, A.,Macmillan, P.(2009).Can Macroeconomic Variables Explain Long-Term Stock Market Movements? A Comparison of the US and Japan.Applied Financial Economics,19(2),111-119.
  42. Inoue, A.,Kilian, L.(2005).In-Sample or Out-of-Sample Tests of Predictability: Which One should We Use?.Econometric Reviews,23(4),371-402.
  43. Kaul, G.(1987).Stock Returns and Inflation: The Role of the Monetary Sector.Journal of Financial Economics,18(2),253-276.
  44. Kauppi, H.,Saikkonen, P.(2008).Predicting U.S. Recessions with Dynamic Binary Response Models.The Review of Economics and Statistics,90(4),777-791.
  45. Kim, M. K.,Zumwalt, J. K.(1979).An Analysis of Risk in Bull and Bear Markets.Journal of Financial and Quantitative Analysis,14(5),1015-1025.
  46. Kothari, S. P.,Shanken, J.(1997).Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis.Journal of Financial Economics,44(2),169-203.
  47. Krugman, P.,Taylor, L.(1978).Contractionary Effects of Devaluation.Journal of International Economics,8(3),445-456.
  48. LeBaron, B.(1999).Technical Trading Rule Profitability and Foreign Exchange Intervention.Journal of International Economics,49(1),125-143.
  49. Lee, U.(1997).Stock Market and Macroeconomic Policies: New Evidence from Pacific Basin Countries.Multinational Finance Journal,1(4),273-289.
  50. Liu, W.,Resnick, B. G.,Shoesmith, G. L.(2004).Market Timing of International Stock Markets Using the Yield Spread.The Journal of Financial Research,27(3),373-391.
  51. Maheu, J. M.,McCurdy, T. H.(2000).Identifying Bull and Bear Markets in Stock Returns.Journal of Business & Economic Statistics,18(1),100-112.
  52. McQueen, G.,Roley, V. V.(1993).Stock Prices, News, and Business Conditions.The Review of Financial Studies,6(3),683-707.
  53. Mehra, R.(ed.)(2008).Handbook of the Equity Risk Premium.Amsterdam:Elsevier.
  54. Merton, R. C.(1973).An Intertemporal Capital Asset Pricing Model.Econometrica,41(5),867-887.
  55. Ng, S.,Perron, P.(2001).Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power.Econometrica,69(6),1519-1554.
  56. Nyberg, H.(2013).Predicting Bear and Bull Stock Markets with Dynamic Binary Time Series Models.Journal of Banking & Finance,37(9),3351-3363.
  57. Pagan, A. R.,Sossounov, K. A.(2003).A Simple Framework for Analysing Bull and Bear Markets.Journal of Applied Econometrics,18(1),23-46.
  58. Poirier, D. J.,Ruud, P. A.(1988).Probit with Dependent Observations.The Review of Economic Studies,55(4),593-614.
  59. Quayes, S.(2010).Does Budget Deficit Lower Equity Prices in USA?.Economics Letters,107(2),155-157.
  60. Rapach, D. E.,Wohar, M. E.,Rangvid, J.(2005).Macro Variables and International Stock Return Predictability.International Journal of Forecasting,21(1),137-166.
  61. Resnick, B. G.,Shoesmith, G. L.(2002).Using the Yield Curve to Time the Stock Market.Financial Analysts Journal,58(3),82-90.
  62. Startz, R.(2008).Binomial Autoregressive Moving Average Models with an Application to U.S. Recessions.Journal of Business & Economics Statistics,26(1),1-8.
  63. White, H.(1982).Maximum Likelihood Estimation of Misspecified Models.Econometrica,50(1),1-25.
  64. Wu, S. J.,Lee, W. M.(2012).Predicting the U.S. Bear Stock Market Using the Consumption-Wealth Ratio.Economics Bulletin,32(4),3174-3181.
  65. Yan, W.,Powell, J. G.,Shi, J.,Xu, W.(2007).Chinese Stock Market Cyclical Regimes: 1991-2006.Economics Letters,97(3),235-239.
  66. Yilmaz, K.(2003).Martingale Property of Exchange Rates and Central Bank Interventions.Journal of Business & Economic Statistics,21(3),383-395.
  67. 王泓仁(2005)。臺幣匯率對我國經濟金融活動之影響。中央銀行季刊，27(1)，13-46。
  68. 田慧琦(2010)。臺灣失業率和產出之關聯及可能影響因素探討－歐肯法則（Okun's Law）實證分析。中央銀行季刊，32(3)，29-66。
  69. 黃柏農(1998)。再驗臺灣的股價與總體變數之間的關係。證券市埸發展季刊，10(4)，89-109。
  70. 劉淑敏(2011)。臺灣產出缺口與通貨膨脹關係之研究。中央銀行季刊，33(4)，17-44。
被引用次数
  1. 鍾宇軒,王嘉汝(2020)。政治不確定性與企業投資：來自臺灣總統大選的證據。當代會計，21(2)，133-184。
  2. (2020)。認定與預測台灣股市熊市。中央銀行季刊，42(2)，37-72。
print cancel