| Summary: | 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.
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