| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 93 === The relationship between stocks and bonds is close and important for asset allocation. In order to allocate capital between equities and bonds dynamically on a short-term basis, this research tries to use the information of stocks and bonds and put forward Bond-Equity Yield Ratio (BEYR) as a criterion.
Most previous studies only use in-sample data to observe return predictability. In this paper, we employ an alternative approach by separating data into in-sample and out-of-sample data. We use monthly data from January in 1994 to March in 2005 and adopt ARMA Model and Grey Theory to model and forecast the BEYR. To judge the investment timing of stocks and bonds, we utilize ten trading rules which is formed by two forecasting model and naïve strategy. The evidence shows that whatever in ARMA(1,1),GM(1,1) or naïve strategy, the strategies using short-term average and fixed value 1 as a threshold value of BEYR will make higher profit than buy-and-hold strategy.
For comparing the differences between BEYR combining the information of stocks and bonds and equity yield only including the information of stock price, we also use the equity yield as input variable to investigate the profit of dynamic asset allocation under the same ten trading rules. The evidence finds that using equity yield as a criterion to judge the investment timing between stocks and bonds can not obtain higher profit for investors. However, investors will loss in these cases.
In summary, we find that BEYR is a good indicator in Taiwan capital market. If we want to capture the market timing between stocks and bonds, BEYR can help investors to judge the investment timing in each period of time.
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