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題名 台灣主要產業上市股票價格波動之研究
作者 周文玲
貢獻者 許振明
周文玲
日期 1990
1989
上傳時間 3-May-2016 14:12:13 (UTC+8)
參考文獻 參考文獻
     一、 中文部份
     1. 徐恭忠 股價的隨機漫論(證交資料月刊第二0四期，民國六十八年四月)。
     2. 徐恭忠 台灣股票市場股價結構之研究(民國六十七年政大企研所碩士論文)。
     3. 林和本 台灣股票價格之變化與扱資決策之研究(民國六十七年政大企研所碩士論文)。
     4. 蕭灌修 台灣股市價格分析(民國六十七年交大管研所碩士論文)。
     5. 黃仁德 台灣地區總體產出波動的特性。
     
     二、英文部份
     1 Alexender,Sidney S,1961,"Price movements in speculative markets trends or random walks" In dustrial Management Review 2
     2 Beveridge Stephen and Charles R. Nelson ,1981,＂A new approach to decomposition of economic time series into permanent and transitory com-ponenis with particular at tention to measurement of the business cycle" Journal of Monetary Economics 7
     3 Black,Fisher,1986 , "Noise" Journa1 of Finance 41
     4 Breeden, Douglas T ,1979, "An untertemporal asset pricing model with stochastic consumption and investment opportunities" Journal of Financial Economics?
     5 Camphell,John Y, and. N. Gregery Mankiw,1987, "Are output fluctuations transitory? " Quarterly Journal of economics
     6 Caitipbell,John Y., and Shiller,Rohert J.,1987, "The dividend-price ratio and expections of future dividends and discount factors",Manuscript,Princeton University
     7 Chan,K. C :Nai-fu Chen,and Da\\vid Hsieh ,1985," An exploratory investigation of the firm size effect" Journal of Financial Economics 14
     8 Chen,Mai-fu,Richard Roll and Stephen A.Ross,1986, "Economic forces and the stock market: testing the APT and alternative asset pricing theries" Journal of Business 59
     9 Cochrane,John H., 1988, "How big is the random walk in GNP? "Journal of Political Economy
     10 Cochrane John H.,1987, "A critique of the appli-cation of unit root tests" ,Mimeo University of Chicago
     11 Cochrane,John H.,Argia Ｍ.Sborciolle, 1988," Multivariate estimation of the perminent components of GNP andstock prices" Journal of Economic Dynamics and Control 12
     12 Cootner,Pau1 H., 1962, "Stock;prices: random vs. systematic changes , Industrial Management Review 3
     13 Caotner P. (ed.) 1964,"The random character of stock market prices" Cambridge,Mass:MIT Press
     14Corpland,Thomas E.,J. Fred Weston, "Financial theory and corporate policy",second edition,Addison-Wesley publishing company,1983
     15 Cox, John C; Jonathan E. Ingersoll; Jr; and Stepher A. Ross,1985, "An intertempora1 equilibrium model for asset prices" Econometrica 53
     16 DeBondt,Werl1er F. M., Richard Thaler, "Does the stock market overreact? " The Joural of Finance,Vol XL,No3.1985
     17 DeLong, J. Bradford ,Andrei Shleifer ,Lawrence Summers,and Robert Wald man, 1987, "The economic consequences of noise traders "National Bureau of econnomic Research working paper no. 2395 (NBER,Cambridge,MA)
     18 Diekey, D. A and W. R . Bell and R. B miller, 1986 "Unit roots in time series models: Tests and implications", American Statistician 40
     19 Dickey, David A. and Wayne A. Duller,1979 "Distrihution of the estimates for the autoregressive time series with a unit root", Journal of American Statistical Association 74,No. 366
     20 Dickey,David A. and Wayne A.Fuller,1931. "ikelihood ratio statistics for autoregressive time series with a unit root",Jourai of American Statistical Association 74,No.366
     21 Diebold, Francis X.,1987, "Deviations from random walk behavior: Tests based on the variance-time function" Special studies papers no. 224,Board of Governors of the Federal Reserve System,
     22 Durlauf, Steven N. and Peter C. B. Philips, 1988 "Trends versus random walks in time series analysis" Econometrica Vol 56,No.6
     23 Fama, Eugene F. and Kenneth R. French "Permanent and Temporary components of stock prices "Center for Research in Security Prices working paper No. 178(University of Chicago, Chicago, IL)
     24 Fama, Eugene F.,1965, "The Behavior of stock market prices" The Joural of Business 38
     25 Fama,Eugene F. 1976,"Foundations of Finance "New York: Basic Books
     26 Fama,Eugene F.,1970, "Efficient capital market: A review of theory and empirical work" Joural of Finance 25
     27 Fama,Eugene F.1965,"Random walk in stock market prices",Financial Analysis Joural
     28 Fama, Eugene F. and Kenneth R. French,1988 "Parmanent and temporary components of stock prices Joural of Political Economy 96
     29 Fama,Eugene F and Merton H. Miller,1972; The theory of finance, Dryder Press . Hinsdale,Illinois
     30 Fama.Eugene F ,1981, Stock returns ,Real Activity,,Inflation and Money American Economic Review 71
     31 Fama,Eugene F. and Michanel R.Gihbol1s J 1982,"Inflation.,real return,and capital investment" Joural of Monetary Economics 9
     32 French, K. R. and Roll. R,1986,Stock return variances: "The arrival of new information and the reaction of traders" Journal of Financial Economics 17
     33 Franch, Kenneth R, G. William Schwert, Robert F. Stam-baugh,1987, "Expected returns and volatility" Joural of Financial Economics 19
     34 Franch, Kenneth R. and Richard roll, 1986, "Stock return variances: The arrival of information and the reaction of traders",Joural of Financial Economics 17
     35 Fullef,Wayne A. 1976, Introduction to statistical time series,Wiley,New York
     36 Gregory,Mankiw,N. Romer,David and Shapiro. Matthew,1985 "An unhiased reexdmination of stock Market volativity" Joural of Finance
     37 Grossman ,Sanford J.,Robert J. Shiller,1981, "The determinants of the variability of stock market prices" American Economic Review Vol 71 No. 2
     38 Hansen,Lars P. and Robert J. Hodrick ,1980, "Forward exchange rates asoptimal predictiors of future spot rates: an econometric analysis", Journal of Political Economy 88
     39 Huizinga, John,1987, "An empirical investigation of the long run behavior of real exchange rates " Carnegie-Rochester Conference Series on Public Policy 27
     40 Lo,Andrew W and A. Craig Mackinlay, 1988 "Stock market prices do not follow random walk: Evidence from a simple specification test",Review of Financial studies 1
     41 Lo, A. W and A. C. Mackinlay, 1988 "The size and power of the variance ratio test in finite samples: A Monte Carlo investigation ",NBER Technical Working Paper No. 66
     42 Lucas, R. E ,1978, "Asset prices in an exchange economy" Econometrica 46
     43 Marsh, Terry A. and Merton, Robert C.,1986, "Dividend variability and variance bounds tests for the rationality of stock market prices", American Economic Review
     44 Merton,Robert C.,1973,"An intertemporal capital asset pricing model" Econometrica 41
     45 Nelson,Charles R. and Charles I. Plosser,1982 "Trends and random walks in macroeconomic time series" Journal of Monetary Economics 10
     46, Nelson, Charles R. and Heejoon Kang, 1981, "Spurious perrodicity in inappropriately detrend time series" Econometrica 49
     47 O`Brien, James M,1987, "`Testing for transitory elements in stock prices " Mimeo, Board of Governors of the Federal Reseral,Washington,DC
     48 Peterba, James. M and Lawrence H. Summers :1988,"Mean reversion in stock prices: evidence and implications" Journal of Financial Economics 22
     49 Poole, W, 1967, "Speculative prices as random walks: an analysis of the time series of flexible exchange rates "Soutthern Economic Journal 33
     50 Poterba,James M. and. Lawrence H. Summers, 1986, "The persistence of volatility and stock market fluctuations" The American Economic Review vol.76,No.2
     51 Pierre Perron, 1988, "Trends and random walks in macroeconomic time series Journal of Economic Dynamics and contral 12
     52 Pindyc,.Robert S., 1984"Risk,inflation and the stock market "American Economic Review 74
     53 Schwert,G. William ,1987,"Effects of model specification on tests for unit root in macroeconomic data", Journal of Monetary Economics 28
     54 Shiller,Robert J. ,1981,"Do stock price move too much to be justified by subsequent changes in dividends ? "American Economic Review Vo1.71,No.3
     55 Shiller,Robert J., 1984 , "Stock prices and social dynamics", Brookings papers on economic activity 2
     56 Shille,Robert J. and Pierre Perron,1985 ,"Testing the random walk hypothesis: power versus frequency of observation" Economics Letters 18
     57 Sprenkle,C. M ,1961, "Warrant prices as indicators of expectations and prices",Ya1e Economic Essaays, 1
     58 Summers ,Lawrence H. ,1986, "Does the stock market rationally reflect fundamental values? "Journal of Finance Vol.XLI , No.3
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/#B2002005339
資料類型 thesis
dc.contributor.advisor 許振明zh_TW
dc.contributor.author (Authors) 周文玲zh_TW
dc.creator (作者) 周文玲zh_TW
dc.date (日期) 1990en_US
dc.date (日期) 1989en_US
dc.date.accessioned 3-May-2016 14:12:13 (UTC+8)-
dc.date.available 3-May-2016 14:12:13 (UTC+8)-
dc.date.issued (上傳時間) 3-May-2016 14:12:13 (UTC+8)-
dc.identifier (Other Identifiers) B2002005339en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90058-
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 目錄
     第一章 研究動機與目的………1
     第二章 文獻回顧
     第一節 前言………5
     第二節 股票價格之波動………5
     第三節 時間序列之趨勢與隨機漫步………19
     第三章 理論模型與實證方法
     第一節 前言………23
     第二節 單一根檢定………23
     第三節 變異數比例檢定………32
     第四節 迴歸係數之檢………44
     第四章 台灣主要產業上市股票價格之實證研究
     第一節 資料來源與處理………57
     第二節 單一根檢定之實證研究………58
     第三節 變異數比例檢定之實證研究………63
     第四節 迴歸係數之實證研究………76
     第五節 存在暫時性成分的原因………82
     第五章 結論與建議
     第一節 結論………89
     第二節 建議………92
     附錄一………99
     參考文獻………102		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005339en_US
dc.title (題名) 台灣主要產業上市股票價格波動之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻
     一、 中文部份
     1. 徐恭忠 股價的隨機漫論(證交資料月刊第二0四期，民國六十八年四月)。
     2. 徐恭忠 台灣股票市場股價結構之研究(民國六十七年政大企研所碩士論文)。
     3. 林和本 台灣股票價格之變化與扱資決策之研究(民國六十七年政大企研所碩士論文)。
     4. 蕭灌修 台灣股市價格分析(民國六十七年交大管研所碩士論文)。
     5. 黃仁德 台灣地區總體產出波動的特性。
     
     二、英文部份
     1 Alexender,Sidney S,1961,"Price movements in speculative markets trends or random walks" In dustrial Management Review 2
     2 Beveridge Stephen and Charles R. Nelson ,1981,＂A new approach to decomposition of economic time series into permanent and transitory com-ponenis with particular at tention to measurement of the business cycle" Journal of Monetary Economics 7
     3 Black,Fisher,1986 , "Noise" Journa1 of Finance 41
     4 Breeden, Douglas T ,1979, "An untertemporal asset pricing model with stochastic consumption and investment opportunities" Journal of Financial Economics?
     5 Camphell,John Y, and. N. Gregery Mankiw,1987, "Are output fluctuations transitory? " Quarterly Journal of economics
     6 Caitipbell,John Y., and Shiller,Rohert J.,1987, "The dividend-price ratio and expections of future dividends and discount factors",Manuscript,Princeton University
     7 Chan,K. C :Nai-fu Chen,and Da\\vid Hsieh ,1985," An exploratory investigation of the firm size effect" Journal of Financial Economics 14
     8 Chen,Mai-fu,Richard Roll and Stephen A.Ross,1986, "Economic forces and the stock market: testing the APT and alternative asset pricing theries" Journal of Business 59
     9 Cochrane,John H., 1988, "How big is the random walk in GNP? "Journal of Political Economy
     10 Cochrane John H.,1987, "A critique of the appli-cation of unit root tests" ,Mimeo University of Chicago
     11 Cochrane,John H.,Argia Ｍ.Sborciolle, 1988," Multivariate estimation of the perminent components of GNP andstock prices" Journal of Economic Dynamics and Control 12
     12 Cootner,Pau1 H., 1962, "Stock;prices: random vs. systematic changes , Industrial Management Review 3
     13 Caotner P. (ed.) 1964,"The random character of stock market prices" Cambridge,Mass:MIT Press
     14Corpland,Thomas E.,J. Fred Weston, "Financial theory and corporate policy",second edition,Addison-Wesley publishing company,1983
     15 Cox, John C; Jonathan E. Ingersoll; Jr; and Stepher A. Ross,1985, "An intertempora1 equilibrium model for asset prices" Econometrica 53
     16 DeBondt,Werl1er F. M., Richard Thaler, "Does the stock market overreact? " The Joural of Finance,Vol XL,No3.1985
     17 DeLong, J. Bradford ,Andrei Shleifer ,Lawrence Summers,and Robert Wald man, 1987, "The economic consequences of noise traders "National Bureau of econnomic Research working paper no. 2395 (NBER,Cambridge,MA)
     18 Diekey, D. A and W. R . Bell and R. B miller, 1986 "Unit roots in time series models: Tests and implications", American Statistician 40
     19 Dickey, David A. and Wayne A. Duller,1979 "Distrihution of the estimates for the autoregressive time series with a unit root", Journal of American Statistical Association 74,No. 366
     20 Dickey,David A. and Wayne A.Fuller,1931. "ikelihood ratio statistics for autoregressive time series with a unit root",Jourai of American Statistical Association 74,No.366
     21 Diebold, Francis X.,1987, "Deviations from random walk behavior: Tests based on the variance-time function" Special studies papers no. 224,Board of Governors of the Federal Reserve System,
     22 Durlauf, Steven N. and Peter C. B. Philips, 1988 "Trends versus random walks in time series analysis" Econometrica Vol 56,No.6
     23 Fama, Eugene F. and Kenneth R. French "Permanent and Temporary components of stock prices "Center for Research in Security Prices working paper No. 178(University of Chicago, Chicago, IL)
     24 Fama, Eugene F.,1965, "The Behavior of stock market prices" The Joural of Business 38
     25 Fama,Eugene F. 1976,"Foundations of Finance "New York: Basic Books
     26 Fama,Eugene F.,1970, "Efficient capital market: A review of theory and empirical work" Joural of Finance 25
     27 Fama,Eugene F.1965,"Random walk in stock market prices",Financial Analysis Joural
     28 Fama, Eugene F. and Kenneth R. French,1988 "Parmanent and temporary components of stock prices Joural of Political Economy 96
     29 Fama,Eugene F and Merton H. Miller,1972; The theory of finance, Dryder Press . Hinsdale,Illinois
     30 Fama.Eugene F ,1981, Stock returns ,Real Activity,,Inflation and Money American Economic Review 71
     31 Fama,Eugene F. and Michanel R.Gihbol1s J 1982,"Inflation.,real return,and capital investment" Joural of Monetary Economics 9
     32 French, K. R. and Roll. R,1986,Stock return variances: "The arrival of new information and the reaction of traders" Journal of Financial Economics 17
     33 Franch, Kenneth R, G. William Schwert, Robert F. Stam-baugh,1987, "Expected returns and volatility" Joural of Financial Economics 19
     34 Franch, Kenneth R. and Richard roll, 1986, "Stock return variances: The arrival of information and the reaction of traders",Joural of Financial Economics 17
     35 Fullef,Wayne A. 1976, Introduction to statistical time series,Wiley,New York
     36 Gregory,Mankiw,N. Romer,David and Shapiro. Matthew,1985 "An unhiased reexdmination of stock Market volativity" Joural of Finance
     37 Grossman ,Sanford J.,Robert J. Shiller,1981, "The determinants of the variability of stock market prices" American Economic Review Vol 71 No. 2
     38 Hansen,Lars P. and Robert J. Hodrick ,1980, "Forward exchange rates asoptimal predictiors of future spot rates: an econometric analysis", Journal of Political Economy 88
     39 Huizinga, John,1987, "An empirical investigation of the long run behavior of real exchange rates " Carnegie-Rochester Conference Series on Public Policy 27
     40 Lo,Andrew W and A. Craig Mackinlay, 1988 "Stock market prices do not follow random walk: Evidence from a simple specification test",Review of Financial studies 1
     41 Lo, A. W and A. C. Mackinlay, 1988 "The size and power of the variance ratio test in finite samples: A Monte Carlo investigation ",NBER Technical Working Paper No. 66
     42 Lucas, R. E ,1978, "Asset prices in an exchange economy" Econometrica 46
     43 Marsh, Terry A. and Merton, Robert C.,1986, "Dividend variability and variance bounds tests for the rationality of stock market prices", American Economic Review
     44 Merton,Robert C.,1973,"An intertemporal capital asset pricing model" Econometrica 41
     45 Nelson,Charles R. and Charles I. Plosser,1982 "Trends and random walks in macroeconomic time series" Journal of Monetary Economics 10
     46, Nelson, Charles R. and Heejoon Kang, 1981, "Spurious perrodicity in inappropriately detrend time series" Econometrica 49
     47 O`Brien, James M,1987, "`Testing for transitory elements in stock prices " Mimeo, Board of Governors of the Federal Reseral,Washington,DC
     48 Peterba, James. M and Lawrence H. Summers :1988,"Mean reversion in stock prices: evidence and implications" Journal of Financial Economics 22
     49 Poole, W, 1967, "Speculative prices as random walks: an analysis of the time series of flexible exchange rates "Soutthern Economic Journal 33
     50 Poterba,James M. and. Lawrence H. Summers, 1986, "The persistence of volatility and stock market fluctuations" The American Economic Review vol.76,No.2
     51 Pierre Perron, 1988, "Trends and random walks in macroeconomic time series Journal of Economic Dynamics and contral 12
     52 Pindyc,.Robert S., 1984"Risk,inflation and the stock market "American Economic Review 74
     53 Schwert,G. William ,1987,"Effects of model specification on tests for unit root in macroeconomic data", Journal of Monetary Economics 28
     54 Shiller,Robert J. ,1981,"Do stock price move too much to be justified by subsequent changes in dividends ? "American Economic Review Vo1.71,No.3
     55 Shiller,Robert J., 1984 , "Stock prices and social dynamics", Brookings papers on economic activity 2
     56 Shille,Robert J. and Pierre Perron,1985 ,"Testing the random walk hypothesis: power versus frequency of observation" Economics Letters 18
     57 Sprenkle,C. M ,1961, "Warrant prices as indicators of expectations and prices",Ya1e Economic Essaays, 1
     58 Summers ,Lawrence H. ,1986, "Does the stock market rationally reflect fundamental values? "Journal of Finance Vol.XLI , No.3		zh_TW