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研究生:邱仕敏
研究生(外文):Qiu, Shi-Min
論文名稱:總體經濟與財務指標於投資臺灣股市之應用
論文名稱(外文):Using Macroeconomic and Financial Indicators to Improve The Performance in Taiwan Stock Market
指導教授:楊朝成楊朝成引用關係
指導教授(外文):Yang, Zhao-Cheng
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:1997
畢業學年度:85
語文別:中文
論文頁數:120
中文關鍵詞:總體經濟指標財務比率指標基本分析擇時綜合指標選股指標投資策略財政幣值
外文關鍵詞:Macroeconomic IndicatorFinancial IndicatorFundamental AnalysisTimingSelectionComposite IndicatorFINANCECURRENCY
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Due to the stock crash of Taiwan stock market in 1990 and the
policy of authorities, the investors of Taiwan stock market put
more and more notice on fundamental analysis. However, lacking
for objectivetrading rule as technical analysis and complex
analytical procedure are two main weekness of fundamental
analysis. So, this thesis try to creat the timing composite
indicator and selection rule by macroeconomic and financial
indicators to help the invesotrs to conquer the problem of
timing and selection. In timing composite indicator,
this thesis referred to the methodology of National Bureauof
Economic Research''s (A business cycle research organization in
U.S.A ) "NBER business cycle composite indicator" to create the
leading and lagging indicators of Taiwan stock market. During
empirical period, 1985-1996, the composite indicators almost
provided correct timing signal for investors to involve in the
stock market. In selection rule, this thesis used
standardized regression model to select critical financial
ratios in sample companies. By the result of regression, we
tried to invest by selection rule and timing composite indicator
together in demonstration period(1995-1996). The empirical
result indicatedthat by using the timing and selection trading
rules, we could get 31.23% excess return versus the market.
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