股票與債券之間的關係非常密切，對資產配置亦相當重要。因此，本研究擬將股票與債券結合，運用股債收益比(Bond-Equity Yield Ratio; BEYR)做為動態配置股票及債券短期調整的指標。研究期間擷取自1994年1月至2005年3月，共135筆月資料。有別於過去研究多半使用樣本內預測，本文將樣本區分為樣本內與樣本外資料，先以ARMA(1,1)及GM(1,1)對樣本內資料進行估計，利用滾動式預測方法，求出下一期預測值，建構BEYR之樣本外預測模型。
利用兩預測模型，結合天真策略，本文採用10種交易策略研判股票與債券之動態調整時點，即對股票及債券之一種擇時策略。實證結果顯示，在10種交易策略中，以短期平均（實際值前12期平均）及固定值為1做為門檻值形成的交易策略，無論在ARMA(1,1)、GM(1,1)或是天真策略的預測模型下，皆能為投資人帶來比買進持有策略更高的報酬。
此外，為觀察結合股票與債券資訊的股債收益比，相較於純粹僅使用股價資訊之股價指數盈餘收益率之優劣，本研究亦採用後者，並使用相同的研究方法重新計算各交易策略下動態配置之損益，研究結果發現，以股價指數盈餘收益率做為動態配置股票與債券投資時點指標並不能為投資人帶來較高的報酬，反而會有虧損。
經由實證分析，本文發現BEYR在台灣資本市場中的確是股票與債券動態配置上的良好擇時指標，透過BEYR及各種交易策略之結合，可提供給投資人判斷買賣股票及債券之適當時機。

The relationship between stocks and bonds is close and important for asset allocation. In order to allocate capital between equities and bonds dynamically on a short-term basis, this research tries to use the information of stocks and bonds and put forward Bond-Equity Yield Ratio (BEYR) as a criterion.

Most previous studies only use in-sample data to observe return predictability. In this paper, we employ an alternative approach by separating data into in-sample and out-of-sample data. We use monthly data from January in 1994 to March in 2005 and adopt ARMA Model and Grey Theory to model and forecast the BEYR. To judge the investment timing of stocks and bonds, we utilize ten trading rules which is formed by two forecasting model and naïve strategy. The evidence shows that whatever in ARMA(1,1),GM(1,1) or naïve strategy, the strategies using short-term average and fixed value 1 as a threshold value of BEYR will make higher profit than buy-and-hold strategy.

For comparing the differences between BEYR combining the information of stocks and bonds and equity yield only including the information of stock price, we also use the equity yield as input variable to investigate the profit of dynamic asset allocation under the same ten trading rules. The evidence finds that using equity yield as a criterion to judge the investment timing between stocks and bonds can not obtain higher profit for investors. However, investors will loss in these cases.

In summary, we find that BEYR is a good indicator in Taiwan capital market. If we want to capture the market timing between stocks and bonds, BEYR can help investors to judge the investment timing in each period of time.

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