| Summary: | 碩士 === 淡江大學 === 資訊工程學系碩士班 === 105 === The boom is one of the factors that affect the stock price, and leading indicators of Taiwan Business Indicators compiled by the Executive Yuan is often used to explore the relationship with the stock price, but these macroeconomic indicators are easy to produce multicollinearity in the regression analysis. Multicollinearity is the existence of correlation between the independent variables in the regression analysis. If this situation is too serious, it will have potential adverse effects on the regression analysis.
LASSO regression is a kind of regression method that can reduce the multicollinearity and has the ability of automatic variable selection. There are many cases abroad that will be applied to economic or other areas of analysis, but in Taiwan, there are few related applications.
Therefore, the main purpose of this study is to use LASSO regression to analyze the relationship among Taiwan leading indicators, macroeconomic indicators and stock price. Then, find out the factors that affect the stock price for investors as a simple investment reference.
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