Investigating the Predictive Power of Macroeconomic Variableson Stock Market: The Case of Taiwan

• Main Authors: Yun-Tzu Ku, 顧芸慈
• Other Authors: 陳旭昇
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/84340590327601815870

碩士 === 國立臺灣大學 === 經濟學研究所 === 100 === The aim of this paper is to investigate the predictive power of macroeco- nomic variables on Taiwan stock market. The study covers the period from 1971.1 to 2011.12, using Markov-Switching model to identify the bear and bull stock market, finding that term spread(TS), inflation rate(IR), indexes of industrial production-manufacturing index annual growth rate(IPIMIG), M1B annual growth rate(M1BG), changes in exchange rate(DEX), and changes in public debt(DPD) have different in-sample and out-of-sample predictive powers at one to 24-month-ahead horizon. It’s noteworthy that changes in public debt and monetary policy shock have more impact on Taiwan stock market. Moreover, this paper shows that macroeconomic variables have better performance in predicting bear stock market than predicting stock return. In the robustness check, employing multivariate models show that pre- dictive power may change in different sample period. Finally, this paper also conducts a market-timing strategy, and finding that it outperforms buy-and-hold strategy. According to the aforementioned, we can find the characteristics of small open economy in Taiwan stock market, and the authorities still play a role in it.