| DC 欄位 |
值 |
語言 |
| DC.contributor | 財務金融學系 | zh_TW |
| DC.creator | 梁可靖 | zh_TW |
| DC.creator | Ko-Chin | en_US |
| dc.date.accessioned | 2019-7-25T07:39:07Z | |
| dc.date.available | 2019-7-25T07:39:07Z | |
| dc.date.issued | 2019 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=107428017 | |
| dc.contributor.department | 財務金融學系 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.abstract | 我們透過 PLS 方法建構總體經濟聯合指標，並成為一強大的熊市預測指標。藉由將馬可夫轉換模型應用於美國標普五百指數報酬率上，我們可以辨識出熊市期間與該期間對應之熊市機率。不論在樣本內或樣本外的檢定，總體經濟聯合指標在預測熊市機率都統計上顯著優於其他指標，包含投資人情緒指標以及其他二十五個總體經濟指標。此外，將 PLS 應用在不同市場指標時，此方法仍可以維持其預測能力。 | zh_TW |
| dc.description.abstract | We use the PLS method to construct an aligned macroeconomic index, which is powerful in forecasting the bear markets. By using the Markov-switching model to return of the S&P 500 index, we identify the bear market and obtain the probability of each period. No matter in- and out-of-sample test, this index statistically outperforms twenty-five macroeconomic variables and the investor sentiment index in prediction bear markets. What is more, this method also could be applied to different market indicators, and the results remain robust. | en_US |
| DC.subject | 總體經濟 | zh_TW |
| DC.subject |
熊市 | zh_TW |
| DC.subject | Macroeconomic | en_US |
| DC.subject |
PLS | en_US |
| DC.subject |
Bear Markets | en_US |
| DC.title | 預測熊市的總體經濟聯合指標 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.title | Aligned Macroeconomic Index for Forecasting the Bear Markets | en_US |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |