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研究生:林佳宜
研究生(外文):Lin, Chia Yi
論文名稱:經濟追蹤投資組合在台灣金融市場之表現
論文名稱(外文):The Performance of Economic Tracking Portfolios in Taiwan Financial Market
指導教授:郭維裕郭維裕引用關係
指導教授(外文):Kuo, Weiyu
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際經營與貿易研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:英文
論文頁數:54
中文關鍵詞:經濟追蹤投資組合追蹤
外文關鍵詞:Economic Tracking Portfoliostracking
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An economic tracking portfolio (ETP) is a portfolio of assets whose returns track an economic variable. This paper applies the ETP approach to predicting the future values of macroeconomic variables in Taiwan financial market at different time horizons. We construct the tracking portfolios whose returns have the maximum correlations with the target variables of any base assets. From the analysis, the ETP approach is able to track the changes in the market expectations about future economic variables. Particularly, the returns of the “new economy” stocks and the financial stocks have good explanatory power for the future values of target variables. Furthermore, our results also support for the use of industry portfolios in out-of-sample forecasting.
1. INTRODUCTION 4
2. PREVIOUS WORK 7
3. ECONOMIC TRACKING PORTFOLIO APPROACH 9
4. DATA 12
5. EMPIRICAL RESULTS 14
5.1 PREVIOUS ANALYSIS OF THE DATA 14
5.2 RESULTS FROM ETP ANALYSIS 16
5.2.1. Whole sample 16
5.2.2. Separated sample 20
5.2.3. Out-of-sample forecast 21
6. CONCLUSIONS 24
APPENDIX 26
REFERENCE 54
Canova, F and De Nicolo, G, 1995, Stock returns and real activity: a structural approach, European Economic Review 39, 981-1015.

Christoffersen, P., Ghysels, E., and Swanson, N. R., 2000, Let’s get real about using economic data, McGrill University Working Paper.

Christoffersen, P., and Slok, T., 2000, Do asset prices in transition countries contain information about future economic activity?, IMF Working Paper.

Fama, E. F., 1975, Short-term interest rates as predictors of inflation, American Economic Review 65, 269-282.

Fama, E. F., 1981, Stock returns, real activity, inflation, and money, American Economic Review 71, 645-565.

Fama, E. F., 1990, Stock returns, expected returns, and real activity, Journal of Finance 45, 1089-1108.

Fama, E. F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.

Hayes, S., 2001, Leading Indicator Information in UK Equity Prices: An Assessment of Economic Tracking Portfolios, Bank of England Working Paper No. 137.

Junttila, J., 2002, Forecasting the Macroeconomy with Current Financial Market Information in Europe and the United States, Bank of Finland Research Discussion Paper No. 2.

Junttila, J., and Kinnunen H., 2004, The performance of economic tracking portfolios in an IT-intensive stock market, Quarterly Review of Economics and Finance 44, 601-623.

Lamont, O. A., 2001, Economic tracking portfolios, Journal of Econometrics 105, 161-184.
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