Leading Indicators and Bear Market Predictions

• Main Authors: Jian-Bin Yea, 葉建斌
• Other Authors: Chun-Fan You
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/50742153553388966190

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === This paper investigates whether the macroeconomic variables can be served as leading indicators to predict the recessions in stock markets.The empirical data are drawn from Taiwan stock market with the monthly returns spanning from 2001 to 2012. Further,a set-of eight marcroeconomic variables.such as term spreads is employed as the leading indicators in yhe content of predicting market recessions.Both parametric and nonparametric approaches are utilized to identify the bear market, and the prediction efficacy of leading marcoeconomic indicators is investigated interms of in-sample and out-of-sample tests.The empirical results suggest yhat term spreads and manufacturing index are the most effective predictors in forecasting bear market among the Taiwan stock exchange, in terms of in-sample and out-of-sample predictions. Moreover, this paper also finds that predicting the bear market with leading indicators is much easier to accomplish than prediction market returns.