預測臺灣股票市場熊市之相關變數探討

Factors predicting the bear stock market in Taiwan

李柏毅(Po-Yi Li)

指導教授 ： 陳旭昇

國立臺灣大學/社會科學院/經濟學研究所/碩士(2019年)

https://doi.org/10.6342/NTU201904190

摘要

本文主要探討預測臺灣股票市場熊市 (bear market) 之相關變數，本研究除參考之前文獻實證上所採用的總體經濟變數及財務變數外，考量近期實證研究顯示股票報酬也可能受投資人情緒（investor sentiment）影響，本研究特別納入投資人情緒變數進行研究，希望透過諸多變數探討，
全面性瞭解影響臺股熊市的因素。本研究方法係使用 Bry-Boschan 法則定義熊市，並搭配 Probit 模型進行實證預測，透過樣本內與樣本外的預測進行實證分析，研究結果顯示總體經濟變數 : 期間利差、 通貨膨脹率及 M1b 成長率對於未來短期 (1 個月及 3 個月) 熊市具有顯著預測能力；財務變數 : 股市殖利率及股市報酬變動率具有較佳的預測能力；另投資人情緒變數 : 消費者投資股票信心變動率及波動率指數 (VIX)對於未來短期熊市具顯著預測能力，而賣買權比 (Put/Call Ratio) 對於未來長期 (12 個月及 24 個月) 熊市具有顯著預測能力。

關鍵字

熊市 ； Probit 模型 ； Bry-Boschan 法則 ； 投資人情緒 ； 總體經濟變數 ； 財務變數

並列摘要

This study investigates predictors for the occurrence of bear stock market in Taiwan. In addition to the macroeconomic and financial variables that have been discussed in empirical literature, this study referenced recent empirical studies that have verified the effect of investor sentiment on stock returns. Therefore, investor sentiment is included as a variable to comprehensively examine factors that may lead to a bear market. In terms of methodology, this study applies the Bry-Boschan algorithm for the definition of bear market and a probit model for empirical prediction. Through the empirical analysis of in-sample and out-of-sample testing results, this study concludes that macroeconomic variables including term spread, inflation rate, M1b growth rate exhibit significant predictive power for short-term (1 month and 3 months) bear markets; financial variables including dividend yield and the variance of stcok returns exhibit favorable predictive power; and investor sentiment variables including change rate in consumer confidence on stock investment and volatility index exhibit significant predictive power for short-term bear markets, while put-call ratio exhibits significant predictive power for long-term (12 months and 24 months) bear markets.

並列關鍵字

Bear markets ； Probit model ； Bry-Boschan algorithm ； Investor sentiment ； Macroeconomic variables ； Financial variables

參考文獻

陳旭昇(2013),《時間序列分析: 總體經濟與財務金融之應用》, 二版, 臺北市: 東華書局

顧芸慈(2012), “檢視總體經濟變數對台灣股票市場之預測力.,” 《臺灣大學經濟研究所學位論文》, 1–40。

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