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https://ah.lib.nccu.edu.tw/handle/140.119/32249| 題名: | 信用評等與股票流動性 | 作者: | 謝婷韻 | 貢獻者: | 屠美亞<br>黃俞寧 謝婷韻 |
關鍵詞: | 信用評等 流動性 panel data model simultaneous model |
日期: | 2008 | 上傳時間: | 14-九月-2009 | 摘要: | 2007年中次級房貸爆發後，美國信用評等機構的中立地位，受到質疑以及攻擊。回顧過去評等的，國際信評公司對美國恩隆(Enron)，在爆發前才降為「投機等級」；在亞洲金融危機發生之後，歐美信評公司普遍給予亞洲國家過低之評等，對亞洲地區經濟復甦造成一定程度之負面效應。一連串的金融事件引發了投資人對於信用評等效力的疑慮：信用評等還是能代表中立客觀的評價嗎？是否擁有較公開財務資料更多更完整的訊息？果真如此，對於問題的發生是否有發現及反應的能力？本研究利用相對買賣價差以及Panel data、Simultaneous Model檢測信用評等對股票流動性之影響，再進一步討論信評與財務結構的關係實證分析信用評等對台灣證券市場流動性存在正向關係，並且影響財務結構。本研究實証結果的價值是提供影響市場流動性的因素中，信用評等也是促成流動性的原因之ㄧ。信用評等所帶來的流動性提供了對投資者、金融機構以及資本市場更穩定並且更有效率的機制。 | 參考文獻: | 一、中文部份 1.馬黛，1989，證券市場特性之研究—臺灣股市流動性之衡量與分析。行政院國家科學委員會研究計畫成果報告，行政院國家科學委員會。 2.鄭豐智，1992，股票股利對股票流動性的影響，大同工學院事業經營研究所碩士論文。 3.藍新仁，1993，台灣股票集中市場與店頭市場變現性之研究，國立中正大學財務金融學系研究所論文。 4.中華信用評等公司，1997，評等的功能與角色。 5.胡星陽，1998，流動性對臺灣股市報酬率的影響。中國財務學刊 。 6.劉景中，1998，台灣地區上市公司無償配股宣告期間買賣價差行為之實證研究，中國文化大學經濟學研究所碩士論文。 7.詹場、胡星陽，1999，流動性衡量方法之綜合評論。國家科學委員會研究彙刊。 8.中華信用評等公司，2000，企業信用評等準則。 9.游淑萍，2001，信用評等展望和股價相關研究，交通大學管理科學系碩士論文。 10.賴佩瑜，2001，股票股利對流動性影響之實證研究--以台灣市場為例。 11.李美樺，2002，台灣綜合券商信用評等實証模型研究。 12.張智堯，2005，企業信用評等改變宣告在新興市場的資訊內容－以台灣市場為例。 13.計畫主持人：薛綺，共同主持人：李馨蘋、柯瓊鳳，研究助理：許仲傑、陳又瑋、林哲弘、洪上為，當前金融機構如何結合公司治理與風險管理的研究，委託單位：金融研究發展基金管理委員會，執行單位：台灣金融研訓院 14.李俊賢，2004，信用評等之產業別財務比率測試，長庚大學企業管理系論文 二、西文部份 1.Altman and Rijken, 2004 , An introduction to recent research on credit ratings , Journal of Banking and Finance , pp.2565-2573 2.Amihud, Yako and Mendelson, Haim, 1986 , Liquidity and Stock Returns, Financial Analysts Journal 42, pp.43-49. 3.Amihud, Yako and Mendelson, Haim, 1988 , Liquidity and Asset Price: Financial Management Implications , Financial Management , pp.5-15. 4.Amihud, Y., and Mendelson H., 1989 , The effect of computer base trading on volatility and liquidity, Jpn. 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描述: | 碩士 國立政治大學 經濟研究所 95258021 97 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0095258021 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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