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題名:總體經濟變數對臺灣股市之大盤及類股熊市預測表現之探討
書刊名:經濟研究. 臺北大學經濟學系
作者:李偉銘 引用關係吳淑貞 引用關係黃啟泰
作者(外文):Lee, Wei-mingWu, Shue-jenHuang, Chi-tai
出版日期:2015
卷期:51:2
頁次:頁171-224
主題關鍵詞:熊市類股指數總體經濟變數Probit模型Bear marketIndustry indexMacroeconomic variableProbit model
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(4) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:56
  • 點閱點閱:96
期刊論文
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2.田慧琦(20100900)。臺灣失業率和產出之關聯及可能影響因素探討--歐肯法則(Okun's Law)實證分析。中央銀行季刊,32(3),29-65。new window  延伸查詢new window
3.Harding, Don、Pagan, Adrian R.(2002)。Dissecting the Cycle: A Methodological Investigation。Journal of Monetary Economics,49(2),365-381。  new window
4.Chen, S. S.(2012)。Revisiting the empirical linkages between stock returns and trading volume。Journal of Banking & Finance,36(6),1781-1788。  new window
5.Bhaduri, S.、Saraogi, R.(2010)。The Predictive Power of the Yield Spread in Timing the Stock Market。Emerging Markets Review,11(3),261-272。  new window
6.劉淑敏(20111200)。臺灣產出缺口與通貨膨脹關係之研究。中央銀行季刊,33(4),17-43。new window  延伸查詢new window
7.Chang, K. L.(2009)。Do Macroeconomic Variables Have Regime-Dependent Effects on Stock Return Dynamics? Evidence from the Markov Regime Switching Model。Economic Modelling,26(6),1283-1299。  new window
8.Candelon, Bertrand、Piplack, Jan、Straetmans, Stefan(2008)。On Measuring Synchronization of Bulls and Bears: The Case of East Asia。Journal of Banking & Finance,32(6),1022-1035。  new window
9.Chen, H.、Chong, T. T. L.、Li, Z.(2011)。Are Chinese Stock Market Cycles Duration Independent。The Financial Review,46(1),151-164。  new window
10.Choudhry, T.(2001)。Inflation and Rates of Return on Stocks: Evidence from High Inflation Countries。Journal of International Financial Markets, Institutions and Money,11(1),75-96。  new window
11.Estrella, A.(1998)。A New Measure of Fit for Equations with Dichotomous Dependent Variables。Journal of Business & Economic Statistics,16(2),198-205。  new window
12.Dridi, R.、Germain, L.(2004)。Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium。Journal of Financial and Quantitative Analysis,39(4),873-886。  new window
13.Cuñado, J.、Gil-Alana, L. A.、Pérez de Gracia, F.(2010)。Mean Reversion in Stock Market Prices: New Evidence Based on Bull and Bear Markets。Research in International Business and Finance,24(2),113-122。  new window
14.Guidolin, M.、Hyde, S.(2012)。Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective。Journal of Banking & Finance,36(3),695-716。  new window
15.Gordon, Stephen、St-Amour, Pascal(2000)。A Preference Regime Model of Bull and Bear Markets。American Economic Review,90(4),1019-1033。  new window
16.Gómez Biscarri, J.、Pérez de Gracia, F.(2004)。Stock Market Cycles and Stock Market Development in Spain。Spanish Economic Review,6(2),127-151。  new window
17.Humpe, A.、Macmillan, P.(2009)。Can Macroeconomic Variables Explain Long-Term Stock Market Movements? A Comparison of the US and Japan。Applied Financial Economics,19(2),111-119。  new window
18.Hsu, P. H.(2009)。Technological Innovations and Aggregate Risk Premiums。Journal of Financial Economics,94(2),264-279。  new window
19.Hjalmarsson, E.(2010)。Predicting Global Stock Returns。Journal of Financial and Quantitative Analysis,45(1),49-80。  new window
20.Hau, H.、Rey, H.(2006)。Exchange Rates, Equity Prices, and Capital Flows。Review of Financial Studies,19(1),273-317。  new window
21.Inoue, Atsushi、Kilian, Lutz(2005)。In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?。Econometric Reviews,23(4),371-402。  new window
22.Liu, W.、Resnick, B. G.、Shoesmith, G. L.(2004)。Market Timing of International Stock Markets Using the Yield Spread。Journal of Financial Research,27(3),373-391。  new window
23.Nyberg, Henri(2013)。Predicting Bear and Bull Stock Markets with Dynamic Binary Time Series Models。Journal of Banking & Finance,37(9),3351-3363。  new window
24.Startz, R.(2008)。Binomial Autoregressive Moving Average Models with an Application to U.S. Recessions。Journal of Business & Economics Statistics,26(1),1-8。  new window
25.Resnick, B. G.、Shoesmith, G. L.(2002)。Using the Yield Curve to Time the Stock Market。Financial Analysts Journal,58(3),82-90。  new window
26.Quayes, S.(2010)。Does Budget Deficit Lower Equity Prices in USA。Economics Letters,107(2),155-157。  new window
27.Poirier, D. J.、Ruud, P. A.(1988)。Probit with Dependent Observations。The Review of Economic Studies,55(4),593-614。  new window
28.Yilmaz, K.(2003)。Martingale Property of Exchange Rates and Central Bank Interventions。Journal of Business & Economic Statistics,21(3),383-395。  new window
29.Wu, S. J.、Lee, W. M.(2012)。Predicting the U.S. Bear Stock Market Using the Consumption-Wealth Ratio。Economics Bulletin,32(4),3174-3181。  new window
30.Ang, Andrew、Bekaert, Geert(2007)。Stock Return Predictability: Is It There?。Review of Financial Studies,20(3),651-707。  new window
31.Chauvet, M.、Potter, S.(2000)。Coincident and Leading Indicators of the Stock Market。Journal of Empirical Finance,7(1),87-111。  new window
32.Chen, Shiu-Sheng(2009)。Predicting the bear stock market: Macroeconomic variables as leading indicators。Journal of Banking and Finance,33(2),211-223。  new window
33.Harding, Don、Pagan, Adrian(2002)。A Comparison of Two Business Cycle Dating Methods。Journal of Economic Dynamics and Control,27(9),1681-1690。  new window
34.Kim, M. K.、Zumwalt, J. K.(1979)。An analysis of risk in bull and bear Markets。Journal of Financial and Quantitative Analysis,14(5),1015-1025。  new window
35.Kaul, G.(1987)。Stock Returns and Inflation: The Role of the Monetary Sector。Journal of Financial Economics,18(2),253-276。  new window
36.Maheu, John M.、McCurdy, Tomas H.(2000)。Identifying bull and bear markets in stock returns。Journal of Business and Economic Statistics,18(1),100-112。  new window
37.Lee, U.(1997)。Stock Market and Macroeconomic Policies: New Evidence from Pacific Basin Countries。Multinational Finance Journal,1(4),273-289。  new window
38.Krugman, Paul、Taylor, Lance(1978)。Contractionary Effects of Devaluation。Journal of International Economics,8(3),445-456。  new window
39.Powell, J. G.、Shi, J.、Wei, X.、Wu, Y.(2007)。Chinese Stock Market Cyclical Regimes: 1991-2006。Economics Letters,97(5),235-239。  new window
40.Geske, Robert、Roll, Richard(1983)。The Fiscal and Monetary Linkage between Stock Returns and Inflation。Journal of Finance,38(1),1-33。  new window
41.Diebold, F. X.、Rudebusch, G. D.(1989)。Scoring the Leading Indicators。Journal of Business,62(3),369-391。  new window
42.White, H.(1982)。Maximum likelihood estimation of misspecified models。Econometrica,50(1),1-25。  new window
43.Hong, Harrison、Torous, Walter、Valkanov, Rossen(2007)。Do Industries Lead Stock Markets?。Journal of Financial Economics,83(2),367-396。  new window
44.McQueen, G、Roley, V.(1993)。Stock Prices, News and Business Conditions。Review of Financial Studies,6(3),683-707。  new window
45.Bernanke, Ben S.、Blinder, Alan S.(1992)。The Federal Funds Rate and the Channels of Monetary Transmission。American Economic Review,82(4),901-921。  new window
46.Ng, Serena、Perron, Pierre(2001)。Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power。Econometrica,69(6),1519-1554。  new window
47.Chen, Shiu-Sheng(2007)。Does Monetary Policy Have Asymmetric Effects on Stock Returns?。Journal of Money, Credit and Banking,39(2/3),667-688。  new window
48.LeBaron, B.(1999)。Technical Trading Rule Profitability and Foreign Exchange Intervention。Journal of International Economics,49(1),125-143。  new window
49.Fama, Eugene F.(1981)。Stock Returns, Real Activity, Inflation, and Money。The American Economic Review,71(4),545-565。  new window
50.黃柏農(1998)。臺灣的股價與總體變數之間的關係。證券市場發展,10(4)=40,89-109。new window  延伸查詢new window
51.Estrella, Arturo、Hardouvelis, Gikas A.(1991)。The Term Structure as a Predictor of Real Economic Activity。The Journal of Finance,46(2),555-576。  new window
52.Estrella, Arturo、Mishkin, Frederic S.(1998)。Predicting U.S. Recessions: Financial Variables as Leading Indicators。Review of Economics and Statistics,80(1),45-61。  new window
53.Kothari, S. P.、Shanken, J.(1997)。Book-to-market, dividend yield, and expected market returns: a time series analysis。Journal of Financial Economics,44(2),169-203。  new window
54.Chordia, Tarun、Shivakumar, Lakshmanan(2002)。Momentum, Business Cycle, and Time-varying Expected Returns。Journal of Finance,57(2),985-1019。  new window
55.Campbell, John Y.、Shiller, Robert J.(1988)。The dividend-price ratio and expectations of future dividends and discount factors。The Review of Financial Studies,1(3),195-228。  new window
56.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business,59(3),383-403。  new window
57.Rapach, David E.、Wohar, Mark E.、Rangvid, Jesper(2005)。Macro Variables and International Stock Return Predictability。International Journal of Forecasting,21(1),137-166。  new window
58.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica,41(5),867-887。  new window
59.Pagan, Adrian R.、Sossounov, Kirill A.(2003)。A simple framework for analysing bull and bear markets。Journal of Applied Econometrics,18(1),23-46。  new window
60.Kauppi, Heikki、Saikkonen, Pentti(2008)。Predicting U.S. Recessions with Dynamic Binary Response Models。Review of Economics and Statistics,90(4),777-791。  new window
61.Clark, Todd E.、West, Kenneth D.(2007)。Approximately Normal Tests for Equal Predictive Accuracy in Nested Models。Journal of Econometrics,138(1),291-311。  new window
62.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics,22(1),3-25。  new window
63.王泓仁(20050300)。臺幣匯率對我國經濟金融活動之影響。中央銀行季刊,27(1),13-45。new window  延伸查詢new window
64.Cooper, Michael J.、Gutierrez, Roberto C. Jr.、Hameed, Allaudeen(2004)。Market States and Momentum。Journal of Finance,59(3),1345-1365。  new window
研究報告
1.Candelon, B.、Ahmed, J.、Straetmans, S.(2012)。Predicting and Capitalizing on Stock Market Bears in the U.S.。  new window
2.Wu, S. J.、Lee, W. M.、You, S. Y.(2013)。Predicting Bear Stock Markets: International Evidence。  new window
3.Bry, G.、Boschan, C.(1971)。Cyclical Analysis of Time Series : Selected Procedures and Computer Program。New York, NY:Columbia University Press。  new window
其他
1.(1987)。中華民國統計資訊網總體統計資料,http://statdb.dgbas.gov.tw/pxweb/dialog/statfile91.asp。  延伸查詢new window
2.臺灣經濟新報(1987)。臺灣經濟新報資料庫,台北:臺灣經濟新報。,http://schplus.tej.com.tw/download/, 2013/11/15。  延伸查詢new window
圖書論文
1.Cochrane, J. H.(2008)。Financial Markets and the Real Economy。Handbook of the Equity Risk Premium。Amsterdam:Elsevier。  new window
 
 
 
 
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