摘要
本研究旨在透過分析經過篩選後的 9 項經濟與市場變數，探討台灣加權股價指數的領先指標，提升投資人決策的精準性與有效性。 本研究應用單根檢定、交叉相關性分析、Granger 因果檢定、共整合檢定及 Bry-Boschan 法，探討變數與大盤之間的短期及長期關係、領先期數，以及分析波峰、波谷的領先或滯後期數，探討各變數的峰谷是否主要領先於大盤，以此評估其作為領先指標的有效性。 發現台積電股票日收盤價在多項分析中展現強大的領先能力，為短期市場趨勢的重要指標。那斯達克與費城半導體指數之峰谷也顯示與台灣加權股價指數之峰谷有高度的領先相關性。最後透過回測分析，發現以台積電股票日收盤價、費城半導體指數及那斯達克指數作為指標的交易策略均顯著優於大盤指數表現。
並列摘要
This study aims to analyze nine selected economic and market variables to explore the leading indicators of the Taiwan Weighted Stock Index, enhancing the precision and effectiveness of investors' decision-making. The study applies unit root tests, cross-correlation analysis,Granger causality tests, cointegration tests, and the Bry-Boschan method to investigate the short-term and long-term relationships between variables and the index, examine leading periods, and analyze the leading or lagging periods of peaks and troughs. It evaluates whether the peaks and troughs of these variables predominantly lead the index, thereby assessing their effectiveness as leading indicators. The findings reveal that the daily closing price of TSMC stock demonstrates strong leading capabilities in multiple analyses, making it an important indicator of short-term market trends. The peaks and troughs of the NASDAQ and the Philadelphia Semiconductor Index also show a high degree of leading correlation with the peaks and troughs of the Taiwan Weighted Stock Index. Lastly, through backtesting analysis, trading strategies using the daily closing price of TSMC stock, the Philadelphia Semiconductor Index, and the NASDAQ as indicators significantly outperformed the performance of the Taiwan Weighted Stock Index.