| Summary: | 碩士 === 東海大學 === 財務金融學系 === 102 === This study focuses on adjustment of Dynamic Asset Allocation between U.S. stocks and bonds with considering the change of economic stages. We combine the “volatility timing” and “market timing” to conduct decision models. It is also an important issue that the selection of indicators determines the change about economic structure and the more effective forecast on business cycle. In this paper, we adopt U.S. S&P500 index concerns to the stock market whereas ten-year U.S. government bond prices index represents the bond market. We determine composited indicators of economic structure with combination of the U.S. corporate bond credit spreads, S&P500 yield,ISM index, unemployment rate by using Z-Score method. Moreover, we adopt leading indicators and consumer confidence index in order to construct a new component and further implement into DCC-GARCH model. At last, we apply the correlation derived from DCC-GARCH model to obtain the information of business cycle and relocate the weight of asset in advance. Furthermore, investors can achieve idealized performance and return by adopting this new indicator which is better than the former one.
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