Forecasting Taiwan stock prices

• Main Authors: CHIU, POH-LIM, 邱柏霖
• Other Authors: CHIU JIANN-LIANG
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/63500112352295597390

碩士 === 淡江大學 === 財務金融學系 === 86 === Many economists believe that the overall performance of a country''s economy is strongly related to the performance of its stock market. Some empirical studies, however, show that this relationship does not necessarily hold. In the sense that stock market performance is highly unpredictable, the movement of stock prices has sometimes been expressed as a random walk process. Shiller (1989) and DeBond (1991) have also shown that stock price are both unpredictable and volatile in the short run. Other empirical studies show that overall economic performance has an influence on the performance of stock prices. Studies by Umstead (1977) and Fama (1981) show that a positive correlation exists between real economic growth and stock prices. Spiro (1990) and Cochrane (1991) find that economic fluctuations influence stock prices and that macroeconomic variables such as real output and the interest rate can explain stock market movement significantly. In this study, macroeconomic variables, which closely relation with stockprices proven by theories and previous empirical studies are used as the independent variables. A broad, real stock-market index is used as the dependent variable. Four econometric models including the Vector Autoregressive Model (VAR), the Seemingly Unrelated Regression (SUR), the Error Correction Model (ECM), and the Kalman Filter Model (KFM) are used to forecast Taiwan stock prices. Four econometric models, which have same basic functional form are used as the tool of the fundamental analysis. Further, this studies also compares four such models and determines which makes the most accurate out of sample and in of sample forecast. The contribution of the empirical results can provide a valuable suggestion for the investors and the analyst of stock market.(1)In-of-sample prediction performance The forecasting performance of the SUR is consistently better than the ECM,the VAR and the KFM.(2)Out-of-sample prediction performance The ECM perform much well than the KFM, the SUR and the VAR.