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題名 | 以灰色矩陣自我迴歸模式探討臺灣股票市場長期資訊傳遞結構=A Grey VAR Forecasting Model on the Long-term Information Transmission Mechanism intra the Taiwan Stock Market |
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作者 | 張宮熊; 吳欽杉; 林財源; | 書刊名 | 管理學報 |
卷期 | 17:4 2000.12[民89.12] |
頁次 | 頁591-623 |
分類號 | 563.54 |
關鍵詞 | 灰色矩陣自我迴歸模式; 臺灣股票市場; 資訊傳遞結構; Grey vector autoregression model; GVAR; Taiwan stock market; Information transmission mechanism; |
語文 | 中文(Chinese) |
中文摘要 | 本文導入灰色預測模型GM(1,1),改良傳統矩陣自我迴歸模式,成為灰 色矩陣自我迴歸模式(GVAR),探討臺灣股票市場類股間長期資訊傳遞結構。該 模式有效消除原始數列中的雜訊,並提高矩陣自我迴歸模式在期間外的預測能 力,精確度明顯超越傳統矩陣自我迴歸模式、貝式矩陣自我迴歸模式、誤差修正 模式、綜合預測法與市場報酬模式。 |
英文摘要 | By estimating a grey VAR (GVAR) system, this paper studies the inter-market informationtransmission mechanism in the Taiwan stock market using monthly data from January 1987 to December1996. We improve the forecasting accuracy of traditional vector autoregression model by integrating greyforecasting model GM(1,1). The GVAR model could erase noises in original time series, and improve theout-of-the-period forecasting accuracy effectively. The forecasting accuracy of GVAR is better than that oftraditional VAR, error correction model (ECM), Baysian VAR (BVAR), composite forecasting model (CFM),and market return model (MM). |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。