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題名 企業購併與總體經濟波動之研究 ：非恆定性時間數列計量方法之研究
作者 鄭旭凱
貢獻者 陳坤銘
鄭旭凱
關鍵詞 共積理論
購併理論
單根檢定
恆定數列
因果關係檢定
誤差修正模型
Cointegration
Merger
Unitroot test
Stationary
Granger- causality
Error correction model
日期 1993
上傳時間 29-Apr-2016 16:43:23 (UTC+8)
摘要 本文利用晚近發展出來的單根檢定法以及共積檢定法，實証分析美、日兩國二次大戰以後企業購併與總體經濟變數間之關係。其實証方法與實証結果如下：運用ADF 檢定方法對購併、股價、國民生產毛額、利率，作單根檢定，發現美日兩國之購併、股價與國民生產毛額呈一階差分恆定狀態。
參考文獻 一.中文部份:
1.蔡麗茹(1991) ,「非恆定總體時間數列計量方法之分析與應用」未出版之博士論文。
2. 陳東江(1992) ,「時間數列之結構性變動與單根檢定之探討」未出版之碩士論文。
3. 王泰允，企業購併實用，遠流出版社。
二、英文部份
1. Ashly, R., Granger, C. and Schmalensee, R.(1980) , "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica,48,1149-1167.
2. Becketti, S. , "Corporate Mergers and the Business Cycle," Economic Revlew,13-26.
3. Beckenstein, Alan R.(1979) ,Merger Activity and Merger Theories: An Empirical Investigation," Antitrust Bulletin, 24,105-128.
4. Box, G.E.P., and Jekins, G M.(1976) , Time Series Analysis, Forecasting and Con tori, San Francisco: Holden Day.
5. Chen, K.M.(1991) , "The determinants of mergers: A comparative study of postwar merger activity in Japan and the United States, "Unpublished Ph.D. dissertation,
The Johns Hopkins University.
6. Caves, R.E. and Uekusa, M.(1976) , Industrial Organization in Japan, Washington, D.C.: Brookings Institution.
7. Clark, John J.,Chakrabarti, Alok K., and Chiang, Thomas C.(1980) , "Stock Prices and Merger Movements: Interactive Relations," Journal of World Economics, 287-300.
8. Dickey, D.A. and Fuller, W.A.(1979) , "Distributions of the Estimators for Autoregressive Time Series with a Unit Root," Journal of American Statistical Association,74,427-431.
9. Dickey, D.A. and Fuller, W.A.(1981) , "The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica,49,1057-1072.
10. Geroski, P.A.(1984) , "On the Relationship Between Aggregate Merger Activity and the Stock Market ," European Economic Review,25,223-233.
11. Golbe, D.V. and White, L.J.(1988) , "A Time-Series Analysis of Mergers and Acquisitions in the U.S. Economy, "in Allan J. Auerbach(ed.),Corporate Takeovers:
Causes and Consequences, Chicago: University of Chicago Press,265-302.
12. Gort, Michael(1969) , "An Economic Disturbance Theory of Mergers," Quarterly Journal of Economics,83,624-642.
13. Granger, C. (1980) , "Testing for Causality: A Personal View," Journal of Economic Dynamics and Control ,2,329- 352.
14. Granger, C.(1981) , "Some Properties of Time Series Data And Their Use in Econometric Model Specification," journal of Econometrics,16,121-130. North-Holland publishing Company.
15. Granger, C. (1986) , "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics And Statistics,48,3.
16. Granger C. and Engle, R.F.(1987) , "Cointegration and Error Correction: Representation, Estimation, and Testing," Econometrica, Vo1.55,N 0.2,251-276.
17. Guerard, John B.,Jr.(1985) , "Mergers, Stock Prices, and Industrial Production: An Empirical Test of the Nelson Hypothesis" ,in O. D. Anderson, ed., Time Series
Analysis: Theory and Practice, Amsterdam:Elsevier,239-47.
18. Guerard, John B.,Jr.(1989) , "Mergers, Stock Prices, and Industrial Production: Further Evidence," Economics Letters,30,161-64.
19. Hendry, D.F.(1986) , "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, 48,3.
20. Jensen, Michael C., and Meckling, W.H.(1976) ,"Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure," journal of Financial
Economics,3, 305-360.
21. Jensen, Michael C. (1986) , "Agency Costs of Free Cash Flow, Finance, and Takeovers," American Economic Review, 76,323-329.
22. Jensen, Michael C., and Murphy, Kevin J.(1990) , "Performance Pay and Top Management Incentives," Journal of Polictical Economy,98,225-263.
23. Johansen, S. (1988) , "Statistical Analysis of Cointegration Vectors," Journal of Economic Dynamics and Controi,12,231-254.North-Holland.
24. Johansen, S.,& Katarina Juselius(1990) , "Maximum Likelihood Estimation and Inference on Cointegration –With Applications to the Demand for Money," Oxford
Bulletin of Economics and Statistics,52,2.
25. Melicher, R.,J. Ledolter & L.D` Antonio(1983) , "A Time Series Analysis of Aggregate Merger Activity," Review of Economics and Statistic,65, 423-29.
26. Mueller, Dennis C.(1989) , "Mergers: Causes, Effects, and Policies," International Journal of Industrial Organization,7,1-10.
27. Nelson, Ralph L. (1959) ,Merger Movements in American Industry, 1895-1956, Princeton: Princeton University Press.
28. Nelson, Ralph L.(1966) , "Business Cycle Factors in the Choice between Internal and External Growth," in William W. Alberts and Joel E. Segall(eds.) The Corporate
Merger, Chicago: University of Chicago Press, 52-66.
29. Said, S.E.& Dickey, D.A.(1984) , "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order," Biometrika,599-608.
30. Schwartz ,S.(1984) , "An Empirical Test of a Managerial, Life-Cycle, ,and Cost of Capital Model of Merger Activity," Journal of Industrial Economics,32,265-76.
31. Shugert, W.F. and Tollison, R.D.(1984) , "The Random Character of Merger Activity," Rand Journal of Economics, 500-509.
32. Sims, C.(1972) , "Money, Income and Causality," American Economic Review,62,540-553.
33. Stigler, G.J.(1950) , "Monopoly and Oligopoly by Merger," The American Economic Review,40, 2
34. Weston, J. Fred, Kwang S. Chung, Susan E. Huang , Mergers, restructuring, and corporate control ,Prentice Hall International Editions.
描述 碩士
國立政治大學
國際經營與貿易學系
G80351006
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004168
資料類型 thesis
dc.contributor.advisor 陳坤銘zh_TW
dc.contributor.author (Authors) 鄭旭凱zh_TW
dc.creator (作者) 鄭旭凱zh_TW
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:43:23 (UTC+8)-
dc.date.available 29-Apr-2016 16:43:23 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:43:23 (UTC+8)-
dc.identifier (Other Identifiers) B2002004168en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89007-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) G80351006zh_TW
dc.description.abstract (摘要) 本文利用晚近發展出來的單根檢定法以及共積檢定法，實証分析美、日兩國二次大戰以後企業購併與總體經濟變數間之關係。其實証方法與實証結果如下：運用ADF 檢定方法對購併、股價、國民生產毛額、利率，作單根檢定，發現美日兩國之購併、股價與國民生產毛額呈一階差分恆定狀態。zh_TW
dc.description.tableofcontents 第一章緒論..........1
第一節研究動機與目的..........1
第二節研究內容與方法..........3
第三節重要名詞解釋..........4
第四節章節安排..........6
第二章文獻回顧..........8
第一節理論文獻之回顧..........8
第二節實証研究文獻之回顧..........11
第三節小結..........16
第三章實証模型與實証方法..........17
第一節實証模型之設定..........18
第二節實証方法..........20
第四章實證分析..........26
第一節實證資料..........26
第二節實證結果之分析..........30
第三節實証結果分析比較..........38
第五章結論..........41
參考文獻..........43		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004168en_US
dc.subject (關鍵詞) 共積理論zh_TW
dc.subject (關鍵詞) 購併理論zh_TW
dc.subject (關鍵詞) 單根檢定zh_TW
dc.subject (關鍵詞) 恆定數列zh_TW
dc.subject (關鍵詞) 因果關係檢定zh_TW
dc.subject (關鍵詞) 誤差修正模型zh_TW
dc.subject (關鍵詞) Cointegrationen_US
dc.subject (關鍵詞) Mergeren_US
dc.subject (關鍵詞) Unitroot testen_US
dc.subject (關鍵詞) Stationaryen_US
dc.subject (關鍵詞) Granger- causalityen_US
dc.subject (關鍵詞) Error correction modelen_US
dc.title (題名) 企業購併與總體經濟波動之研究 ：非恆定性時間數列計量方法之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一.中文部份:
1.蔡麗茹(1991) ,「非恆定總體時間數列計量方法之分析與應用」未出版之博士論文。
2. 陳東江(1992) ,「時間數列之結構性變動與單根檢定之探討」未出版之碩士論文。
3. 王泰允，企業購併實用，遠流出版社。
二、英文部份
1. Ashly, R., Granger, C. and Schmalensee, R.(1980) , "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica,48,1149-1167.
2. Becketti, S. , "Corporate Mergers and the Business Cycle," Economic Revlew,13-26.
3. Beckenstein, Alan R.(1979) ,Merger Activity and Merger Theories: An Empirical Investigation," Antitrust Bulletin, 24,105-128.
4. Box, G.E.P., and Jekins, G M.(1976) , Time Series Analysis, Forecasting and Con tori, San Francisco: Holden Day.
5. Chen, K.M.(1991) , "The determinants of mergers: A comparative study of postwar merger activity in Japan and the United States, "Unpublished Ph.D. dissertation,
The Johns Hopkins University.
6. Caves, R.E. and Uekusa, M.(1976) , Industrial Organization in Japan, Washington, D.C.: Brookings Institution.
7. Clark, John J.,Chakrabarti, Alok K., and Chiang, Thomas C.(1980) , "Stock Prices and Merger Movements: Interactive Relations," Journal of World Economics, 287-300.
8. Dickey, D.A. and Fuller, W.A.(1979) , "Distributions of the Estimators for Autoregressive Time Series with a Unit Root," Journal of American Statistical Association,74,427-431.
9. Dickey, D.A. and Fuller, W.A.(1981) , "The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica,49,1057-1072.
10. Geroski, P.A.(1984) , "On the Relationship Between Aggregate Merger Activity and the Stock Market ," European Economic Review,25,223-233.
11. Golbe, D.V. and White, L.J.(1988) , "A Time-Series Analysis of Mergers and Acquisitions in the U.S. Economy, "in Allan J. Auerbach(ed.),Corporate Takeovers:
Causes and Consequences, Chicago: University of Chicago Press,265-302.
12. Gort, Michael(1969) , "An Economic Disturbance Theory of Mergers," Quarterly Journal of Economics,83,624-642.
13. Granger, C. (1980) , "Testing for Causality: A Personal View," Journal of Economic Dynamics and Control ,2,329- 352.
14. Granger, C.(1981) , "Some Properties of Time Series Data And Their Use in Econometric Model Specification," journal of Econometrics,16,121-130. North-Holland publishing Company.
15. Granger, C. (1986) , "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics And Statistics,48,3.
16. Granger C. and Engle, R.F.(1987) , "Cointegration and Error Correction: Representation, Estimation, and Testing," Econometrica, Vo1.55,N 0.2,251-276.
17. Guerard, John B.,Jr.(1985) , "Mergers, Stock Prices, and Industrial Production: An Empirical Test of the Nelson Hypothesis" ,in O. D. Anderson, ed., Time Series
Analysis: Theory and Practice, Amsterdam:Elsevier,239-47.
18. Guerard, John B.,Jr.(1989) , "Mergers, Stock Prices, and Industrial Production: Further Evidence," Economics Letters,30,161-64.
19. Hendry, D.F.(1986) , "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, 48,3.
20. Jensen, Michael C., and Meckling, W.H.(1976) ,"Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure," journal of Financial
Economics,3, 305-360.
21. Jensen, Michael C. (1986) , "Agency Costs of Free Cash Flow, Finance, and Takeovers," American Economic Review, 76,323-329.
22. Jensen, Michael C., and Murphy, Kevin J.(1990) , "Performance Pay and Top Management Incentives," Journal of Polictical Economy,98,225-263.
23. Johansen, S. (1988) , "Statistical Analysis of Cointegration Vectors," Journal of Economic Dynamics and Controi,12,231-254.North-Holland.
24. Johansen, S.,& Katarina Juselius(1990) , "Maximum Likelihood Estimation and Inference on Cointegration –With Applications to the Demand for Money," Oxford
Bulletin of Economics and Statistics,52,2.
25. Melicher, R.,J. Ledolter & L.D` Antonio(1983) , "A Time Series Analysis of Aggregate Merger Activity," Review of Economics and Statistic,65, 423-29.
26. Mueller, Dennis C.(1989) , "Mergers: Causes, Effects, and Policies," International Journal of Industrial Organization,7,1-10.
27. Nelson, Ralph L. (1959) ,Merger Movements in American Industry, 1895-1956, Princeton: Princeton University Press.
28. Nelson, Ralph L.(1966) , "Business Cycle Factors in the Choice between Internal and External Growth," in William W. Alberts and Joel E. Segall(eds.) The Corporate
Merger, Chicago: University of Chicago Press, 52-66.
29. Said, S.E.& Dickey, D.A.(1984) , "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order," Biometrika,599-608.
30. Schwartz ,S.(1984) , "An Empirical Test of a Managerial, Life-Cycle, ,and Cost of Capital Model of Merger Activity," Journal of Industrial Economics,32,265-76.
31. Shugert, W.F. and Tollison, R.D.(1984) , "The Random Character of Merger Activity," Rand Journal of Economics, 500-509.
32. Sims, C.(1972) , "Money, Income and Causality," American Economic Review,62,540-553.
33. Stigler, G.J.(1950) , "Monopoly and Oligopoly by Merger," The American Economic Review,40, 2
34. Weston, J. Fred, Kwang S. Chung, Susan E. Huang , Mergers, restructuring, and corporate control ,Prentice Hall International Editions.		zh_TW