台灣加權股價指數領先指標研究

Abstract

本研究試著建立一個可以對股價指數有領先效果的指標，因此先尋找對於台灣加權股價指數具有領先性的總體經濟變數，最終找出了9個對台股指數有領先性的經濟變數，並參考國發會所編製景氣領先指標的方法，將這9個總體變數編製成台灣加權股價指數的領先指標。並透過MSE、MAE的大小比較與Modified Diebold-Mariano test來檢驗自編台股領先指標是否相對於國發會所編的景氣領先指標對於台股指數有更佳的預測能力。以及使用自編台股領先指標對比國發會景氣領先指標來判斷股市的轉折點，是否能得到更佳的報酬。最後將自編的台股領先指標當作濾網，加入五種常用的技術分析方法當作買賣台指期的策略，檢驗加入濾網後的技術分析方法是否有優於無加入濾網技術分析方法的報酬。本研究貢獻有二。(1)以本研究找出的9項總體變數所編的台股領先指標在預測股價走勢上有優於景氣領先指標的預測能力。(2)以自編台股領先指標當作濾網的技術分析策略報酬優於無加入濾網的技術分析策略報酬。

This study attempts to establish an indicator that can lead the stock price index. Therefore, it first looks for the overall economic variables that are leading the Taiwan weighted stock price index, and finally finds nine economic variables that have leading the Taiwan stock index. Referring to the method of developing the leading indicator of the business cycle by the National Development Council, these nine overall variables are compiled into the leading indicators of the Taiwan Weighted Stock Index. And through the MSE, MAE size comparison and Modified Diebold-Mariano test to test whether the leading indicators of self-edited Taiwan stocks have better predictive ability for the Taiwan stock index than the leading indicators compiled by the National Development Council. And use the self-developed Taiwan stocks leading indicators to compare the leading indicators of the National Development Council to determine the turning point of the stock market, whether it can get better rewards. Finally, the self-made Taiwan stocks leading indicators are used as filters, and added to the five common technical analysis methods as the strategy of buying and selling Taiwan weighted stock index future, and test whether the technical analysis methods after adding filters are better than no-filter technical analysis. This research has two contributions. (1) The leading indicators of Taiwan stocks compiled by the nine economic variables identified in this study have a predictive ability superior to the leading indicators that made by National Development Council in the forecast stock price trend. (2) The technical analysis strategy of using the self-edited Taiwan stocks as the filter is better than the technical analysis strategy without the filter.