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題名 台灣地區股價泡沫現象之檢定
作者 謝淑惠
貢獻者 林祖嘉
謝淑惠
日期 1991
1990
上傳時間 2-May-2016 17:01:02 (UTC+8)
參考文獻 一、英文部份
     Allan W. Kleidon, 1986, "Variance bounds test and Stock Prices Valuation Models", Journal of Political Economy, 94, Octbor, P953~1001.
     Azariadis,Costas(1981)," Self-Fulfilling Prophecies" Journal of Economic Theory 25,3 (Dec.),p380-396.
     Blanchard and Fischer, Lectures on Macroeconomics, The MIT Press Cambridge, Massachusetts, London, England, 1989.
     Blanchard, Olivier J,. and Watson, Mark W. "Bubbles Rational Expectations and Financial Markets" In Crises in the Economic and Financial Structure: Bubbles, Bursts and Shocks, edited by Paul Wachtel. Lexington, Mass.:Lexington,1982.
     Diba, B. T. & Gross.an, H. I. "Explosive Ratiaonal Bubbles In Stock Prices? " American Economic Review, June 1988, P520 ~ 530.
     Diba, R. T. & Grossllan H.I.” On the Inception of Rational Bubbles", The Quartly Journal of Economics. Aug 1987, P697~P701.
     Fama,Eugene F."Efficient Capital Markets: A Review of Theory and Empirical Work" J. Finance 25 (May 1970): P383~417.
     Flavin, Marjorie (1983) "Excess Volatility in the Financial Market. A Reassessment of the Empirical Evidance" Journal of Political Economy 91 6 (Dec), P929~956.
     Flood, Robert, and Poter Garber (1980) "Market Fundamantals versus Price Level Bubbles: The First Test" Journal of Political Economy, P747 -770.
     Flood.R.P ., P.M.Garber and L.O.Scott,”Multi-Country Tests for Price Level Bubbles" Journal of Economic Dynamics and Control 8(December 1984),P329 ~324
     Foster, George,Financial Statement Analysis, Englewood Cliffs:Prentice-Hall,1978.ch4.
     Hamilton. J. D., "On the testing for Self-fufilling Speculative Price Bubbles", International Economic Review, Vol37, No.3. 1986, P545~552.
     Hamilton,J. D. and C. H. Whiteman" The Observable Implications of Self-Fulfilling Expectations."Journal of Monetary Economics 16(Nov. 1985),P353~373.
     Hausaan Jerry A., "Specification Test in Econometrica", Econometrica. XLVI (1978) P1251 ~1271.
     Hannan,E. J. and B. G. Quinn,"The Deteraination of the order of an Autoregression ."Journal of the Royal Statistical Society Series, B XLI (1979), p190~195
     Hansen,Lars Perter, "Large Sample Properties of Generalized Method of Moments Estimators", Econoletrica (1982). P1029~1034.
     Hansen,Lars Peter and Kenneth Singleton "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectation Models". Econometrica. L (1982) P1269--1286
     Jean Tirole "On the Possibility of Speculation under Rational Expectations" Econometrica (1982), 50, Sep P1163~1181.
     Jean Tirole (1985) "Asset Bubbles and Overlapping Generations" Econolletrica 53, 6, (Dec), P1499~1528.
     John Y. Compell and Robert J. Shiller, "Stock Prices, Earnings, and Expected Dividends", The Journal of Finance, Vol XLII No3. July 1988,P661~676.
     Kenneth D. West (1987)"A Specification test for Speculative Bubbles". Quarterly Journal of Economics, P663 ~580.
     Kenneth D.West. "Dividend Innovations and Stock Price Volatility" Econometrica 56. (January 1988) P37~61.
     Krasker,W. S ., "The `Peso Problem` in Testing the Efficiency of Forward Exchange Market" Journal of Monetary Economics 6 (April 1980), P269~276.
     LeRoy. Stephen and Richard Porter (1981). "The Present Value Relation Tests Based on Variance Bounds", Econosetrica 49, 3, (May) P555~574.
     Lintner, John. "Distribution of Incomes of Coporations Among Dividends,Retained Earnings, and Taxes, "American Economic Review Proceedings, May 1956,66,P97 ~113.
     Mankiw H. Gregory, David Romer and Matthew Shapiro (1985), "An unbiased Reexamination of Stock Market Volatility" Journal of Finance 40 (july) P677~687.
     Marsh, Terry and Robert Merton (1986), "Dividend Volatility and Variance Bounds Test for the Rationality of Stock Market Prices" American Economic Review 76.3, P483 ~498.
     Obstfeld,M. and K.Rogoff, "Ruring Out Nonstationary Speculative Bubbles" forthcoming, Journal of Monetary Economics, (1986).
     Robert Shiller "Market Volatility and Investor Behavior" AEA PAPERS AND PROCEEDINGS, MAY 1990.P58~62.
     Robert Shiller "The Marsh-Merton Model of Manaigier`s Smoothing of Dividends" American Economic Review. (June) 1986, P499 ~.
     Shiller, Robert (1981), "Do Stock Prices Move Too Much to Bo Justified by Subsequent Changes in Dvidends? American Ecorioaic Reviey 71.3 (June) P421~436.
     Shiller. Robert J." Stock Prices and Social Dynamics " Brookings Papers Econ. Activity, no. 2 (1984) ,P457~498.
     Summer. Lawrence (1986) "Do Market Prices Accurately Reflect Fundamental Values? " Journal of Finance 41. 3 (July) P591~601.
     二.中文部份
     張麗蕙，台灣股價波動之總體經濟因素分西析，國立政治大學國際貿易研究所碩士論文，民國78年。
描述 碩士
國立政治大學
國際經營與貿易學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004991
資料類型 thesis
dc.contributor.advisor 林祖嘉zh_TW
dc.contributor.author (Authors) 謝淑惠zh_TW
dc.creator (作者) 謝淑惠zh_TW
dc.date (日期) 1991en_US
dc.date (日期) 1990en_US
dc.date.accessioned 2-May-2016 17:01:02 (UTC+8)-
dc.date.available 2-May-2016 17:01:02 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 17:01:02 (UTC+8)-
dc.identifier (Other Identifiers) B2002004991en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89598-
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.tableofcontents 第一章 緒論
     第一節 研究動機與目的.............................1
     第二節 研究方法與本文架構.............................3
     第二章 泡沫現象理論與實證文獻回顧
     第一節 前言.............................5
     第二節 泡沫現象理論文獻回顧.............................5
     第三節 泡沫現象實證文獻回顧.............................11
     第三章 實證模型之建立
     第一節 前言.............................24
     第二節 Hausman 設立檢定法(Specification test)之簡介.............................25
     第三節 實證模型之建立.............................27
     第四章 實證結果分析
     第一節 前言.............................33
     第二節 資料來源說明.............................33
     第三節 研究方法及實證結果.............................34
     第五章 結論及建議
     第一節 結論.............................58
     第二節 建議.............................58
     附錄一 根據Hannan and Ouinn(1979)所得最適落差階次選擇.............................60		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004991en_US
dc.title (題名) 台灣地區股價泡沫現象之檢定zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、英文部份
     Allan W. Kleidon, 1986, "Variance bounds test and Stock Prices Valuation Models", Journal of Political Economy, 94, Octbor, P953~1001.
     Azariadis,Costas(1981)," Self-Fulfilling Prophecies" Journal of Economic Theory 25,3 (Dec.),p380-396.
     Blanchard and Fischer, Lectures on Macroeconomics, The MIT Press Cambridge, Massachusetts, London, England, 1989.
     Blanchard, Olivier J,. and Watson, Mark W. "Bubbles Rational Expectations and Financial Markets" In Crises in the Economic and Financial Structure: Bubbles, Bursts and Shocks, edited by Paul Wachtel. Lexington, Mass.:Lexington,1982.
     Diba, B. T. & Gross.an, H. I. "Explosive Ratiaonal Bubbles In Stock Prices? " American Economic Review, June 1988, P520 ~ 530.
     Diba, R. T. & Grossllan H.I.” On the Inception of Rational Bubbles", The Quartly Journal of Economics. Aug 1987, P697~P701.
     Fama,Eugene F."Efficient Capital Markets: A Review of Theory and Empirical Work" J. Finance 25 (May 1970): P383~417.
     Flavin, Marjorie (1983) "Excess Volatility in the Financial Market. A Reassessment of the Empirical Evidance" Journal of Political Economy 91 6 (Dec), P929~956.
     Flood, Robert, and Poter Garber (1980) "Market Fundamantals versus Price Level Bubbles: The First Test" Journal of Political Economy, P747 -770.
     Flood.R.P ., P.M.Garber and L.O.Scott,”Multi-Country Tests for Price Level Bubbles" Journal of Economic Dynamics and Control 8(December 1984),P329 ~324
     Foster, George,Financial Statement Analysis, Englewood Cliffs:Prentice-Hall,1978.ch4.
     Hamilton. J. D., "On the testing for Self-fufilling Speculative Price Bubbles", International Economic Review, Vol37, No.3. 1986, P545~552.
     Hamilton,J. D. and C. H. Whiteman" The Observable Implications of Self-Fulfilling Expectations."Journal of Monetary Economics 16(Nov. 1985),P353~373.
     Hausaan Jerry A., "Specification Test in Econometrica", Econometrica. XLVI (1978) P1251 ~1271.
     Hannan,E. J. and B. G. Quinn,"The Deteraination of the order of an Autoregression ."Journal of the Royal Statistical Society Series, B XLI (1979), p190~195
     Hansen,Lars Perter, "Large Sample Properties of Generalized Method of Moments Estimators", Econoletrica (1982). P1029~1034.
     Hansen,Lars Peter and Kenneth Singleton "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectation Models". Econometrica. L (1982) P1269--1286
     Jean Tirole "On the Possibility of Speculation under Rational Expectations" Econometrica (1982), 50, Sep P1163~1181.
     Jean Tirole (1985) "Asset Bubbles and Overlapping Generations" Econolletrica 53, 6, (Dec), P1499~1528.
     John Y. Compell and Robert J. Shiller, "Stock Prices, Earnings, and Expected Dividends", The Journal of Finance, Vol XLII No3. July 1988,P661~676.
     Kenneth D. West (1987)"A Specification test for Speculative Bubbles". Quarterly Journal of Economics, P663 ~580.
     Kenneth D.West. "Dividend Innovations and Stock Price Volatility" Econometrica 56. (January 1988) P37~61.
     Krasker,W. S ., "The `Peso Problem` in Testing the Efficiency of Forward Exchange Market" Journal of Monetary Economics 6 (April 1980), P269~276.
     LeRoy. Stephen and Richard Porter (1981). "The Present Value Relation Tests Based on Variance Bounds", Econosetrica 49, 3, (May) P555~574.
     Lintner, John. "Distribution of Incomes of Coporations Among Dividends,Retained Earnings, and Taxes, "American Economic Review Proceedings, May 1956,66,P97 ~113.
     Mankiw H. Gregory, David Romer and Matthew Shapiro (1985), "An unbiased Reexamination of Stock Market Volatility" Journal of Finance 40 (july) P677~687.
     Marsh, Terry and Robert Merton (1986), "Dividend Volatility and Variance Bounds Test for the Rationality of Stock Market Prices" American Economic Review 76.3, P483 ~498.
     Obstfeld,M. and K.Rogoff, "Ruring Out Nonstationary Speculative Bubbles" forthcoming, Journal of Monetary Economics, (1986).
     Robert Shiller "Market Volatility and Investor Behavior" AEA PAPERS AND PROCEEDINGS, MAY 1990.P58~62.
     Robert Shiller "The Marsh-Merton Model of Manaigier`s Smoothing of Dividends" American Economic Review. (June) 1986, P499 ~.
     Shiller, Robert (1981), "Do Stock Prices Move Too Much to Bo Justified by Subsequent Changes in Dvidends? American Ecorioaic Reviey 71.3 (June) P421~436.
     Shiller. Robert J." Stock Prices and Social Dynamics " Brookings Papers Econ. Activity, no. 2 (1984) ,P457~498.
     Summer. Lawrence (1986) "Do Market Prices Accurately Reflect Fundamental Values? " Journal of Finance 41. 3 (July) P591~601.
     二.中文部份
     張麗蕙，台灣股價波動之總體經濟因素分西析，國立政治大學國際貿易研究所碩士論文，民國78年。		zh_TW