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| 研究生： |
林佳宜 Lin, Chia Yi |
|---|---|
| 論文名稱： |
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 |
| 指導教授： |
郭維裕
Kuo, Weiyu |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2008 |
| 畢業學年度： | 96 |
| 語文別： | 英文 |
| 論文頁數： | 54 |
| 中文關鍵詞： | 經濟追蹤投資組合 、追蹤 |
| 外文關鍵詞： | Economic Tracking Portfolios, tracking |
| 相關次數： | 點閱：75 下載：46 |
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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.
1. INTRODUCTION 4
2. PREVIOUS WORK 7
3. ECONOMIC TRACKING PORTFOLIO APPROACH 9
4. DATA 12
5. EMPIRICAL RESULTS 14
5.1 PREVIOUS ANALYSIS OF THE DATA 14
5.2 RESULTS FROM ETP ANALYSIS 16
5.2.1. Whole sample 16
5.2.2. Separated sample 20
5.2.3. Out-of-sample forecast 21
6. CONCLUSIONS 24
APPENDIX 26
REFERENCE 54
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