The Validity of Economic Leading Indicators in Asset Allocation Between Stocks and Bonds

• Main Authors: Che-Ming, Shen, 沈哲民
• Other Authors: Chih-Hsien, Lo
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/55547601392296674806

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 103 === This study aims to find out the leading economic indicators as investors’ reference to stock and bond asset allocation. Firstly, Granger causality test is applied to explore whether economic indicators have the effect of leading stock and bond. Among the eighteen overall indexes selected in the present study, except for Oil Production Index, Capital Goods Production Indexes, Consumer Price Index, and Retail Price Index, the rest have leading characters for the representative ETF in the selected regions of the world in this study. Then, the leading economic indicators are referred to actually conduct stock and bond asset allocation to validate their performance. Test results showed that, if it is desired to invest the European representative ETF, it is suggested to refer to Construction Confidence in Economic Sentiment Indicator to achieve the best performance; if it is desired to invest the Taiwan representative ETF, it is suggested to refer to Taiwan Coincident Indicator to achieve the best performance; if it is desired to invest the US representative ETF, it is suggested to refer to the US Cosumer Goods Production Indexes to achieve the best performance; if it is desired to invest the China representative ETF, it is suggested to refer to the US Real Effective Exchange Rate Index to achieve the best performance; if it is desired to invest the Japan representative ETF, it is suggested to refer to the Korea Real Effective Exchange Rate Index to achieve the best performance; if it is desired to invest the Asia ETF, it is suggested to refer to Construction Confidence in Economic Sentiment Indicator to achieve the best performance. In terms of the best annualized risk ratio of the world ETF portfolio, the optimal portfolio is 20% of a change made in SPDR S&P 500 ETF and iShares ETF based on the Confidence Index of EU manufacturing; the annualized risk ratio is 1.402 and the annual rate of return is 10.9%. Besides, in terms of the return rate, the optimal portfolio is 30% of a change made in SPDR S & P China Index Fund and SPDR Barclays International Bond ETF based on Korea Real Effective Exchange Rate Index; the annual rate of return is15.40% and the annualized risk ratio is great 1.15%.