摘要
股價漲跌趨勢的預測是個令人感興趣的研究議題，然而現實世界中影響股價變動的因素眾多且相當複雜，例如總體經濟的影響、政治因素、營運績效等。本研究主要探討總體經濟變數中，以如利率、工業生產指數、貨幣供給、通貨膨脹率及匯率等量化資料，進行股價的預測和評估。同時考慮計量研究的兩個觀點：其一為模型的「配適度」(Good of Fit)，以反應模型與樣本資料間的一致程度；其二為模型的「預測力」(Forecastability)，亦即依估所建立的模型，能否有效的預測未來股票走勢。 從實證結果可發現到，由於臺灣股票市場在實際上受到很多不確定經劑或政治因素的影響，而所採用的部分經濟風險因子也無法含括所有的風險可能因素，所以從樣本外預測圖形中皆可發現，實際股價的波動幅度往往都比股價成長率預測值來的大。因此，使得本研究在對臺灣股價指數進行預測時很難能做出與實際狀況相符的預估。然而，整體而言，股價的趨勢是可經由適當的變數選取來進行股價的預測。
並列摘要
The prediction of the rise and fall of share prices is an intriguing issue for researchers. In reality, there are a large number of complex factors that contribute to the changes of share prices. These factors may be the influence of the macro economy, politics and operating performances. The main focus of this paper is to quantify data, such as interest rates, Industrial Production Index, money supply, inflation rates and exchange rates, so as to predict and assess share prices. Meanwhile, this paper considers the two perspective of the quantitative research. One is model good of fit, which reflect the consistency of a model and sample data. The other perspective is the forecastabilify of models, which measures whether a model established is able to effectively forecast the trend of share prices in the future. The empirical result indicates that in reality, the Taiwanese equity market is subject to the uncertainties in economy and politics. The economic risk factors selected by this paper cannot cover all the potential risks either. The graph that depict the predictions outside the samples shows that the fluctuations of share prices in reality are often much greater than the predicted value of share price increases. Therefore, it is difficult for this paper to make predictions that are in line with the real situation for the TAIEX. Nonetheless, the trend of equity prices can be predicted with the selection of appropriate variables, generally speaking.
參考文獻
延伸閱讀
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