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題名 台灣股價波動之總體經濟因素分析
作者 張麗蕙
貢獻者 汪義育
張麗蕙
日期 1989
上傳時間 4-May-2016 14:21:29 (UTC+8)
參考文獻 參考文獻
     一、英文部份
     1. AGMON, Tamir, "The Relations Among Equity Markets:A Study of Share Prile Co-movements In The United States, United Kingdom, Germany And Japan" Joural
     of finance, Sep. 1972, pp. 839-856.
     2. Blanchard, O. J. "Speculative Bubbles, Crashed and Rational Expectations", Economic Letters 3, 1979,pp. 387-389.
     3. Blanchard, O. J. & Watson, M.W. "Bubbles, Rational Expectations and Financial Markets", NBER Working Paper #945, July, 1982.
     4. Chen, Nai-Fu, Roll, Richard, Ross Stephen A.,"Economic Forces and the Stock Market". Journal of Business. 1986, Vol. 59.PP. 383-403.
     5. Cutler,M. David, Poterba, M. James, Summers, H. Lawrence, "What Moves Stock Prices?" NBER Working Paper #2538, March, 1988.
     6. Diba, B. T. & Grossman, H.I., "On the Inception of Rational Bubbles", The Quarterly Journal of Economics, Aug, 1987, pp. 697-701.
     7. Diba, B.T. & Grossman, H.I. "Explosive Rational Bubbles In Seock Prices? "American Economic Review, June,1988, pp.520-530.
     8. Dickey, David & Fuller, Wayne, "Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root", Econometrica, July, 1981, 49. pp. 1057-1072.
     9. Engle, R. F. & Granger C. W. J., "Co-integration and Error Correction: Representation, Estimation, And Testing", Ecnometrica, March, 1987, pp. 251-276.
     10. Eun, C.S. & Resnick, B. G., "Estimating the Correlation Structure of International Share Prices", Journal of Finance, Dec. 1984,pp. 1311-1324.
     11. Flood, R. P. & Garber, P. M., "Market Fundamentals Versus Price-Level Bubbles: The First Test",Journal of Political Economy, 1980, Vol. 88,pp. 745-770.
     12. Grubel, H. G. & Fadner, K.,"The Interdependence of Inernational Equity Markets" Journal of Finance 1971, 3, pp. 89-94.
     13. Hamilton, J. D., "On the Testing for Self-Fulfilling Speculative Price Bubbles", International Economic Review Vol. 27. No.3. Oct. 1986, pp. 545-552.
     14. Kaplanis, E. C., "Stability and Forecasting of the Comovement Measures of International Stock Market Returns", Journal of International Money & Finance 1988, 7, pp. 63-75.
     15. Mookerjee, Rajen, "Monetary Policy and the Informational Efficiency of the Stock Market: The Evidence from Many Country", Applied Economics, 1987, Vol.194 pp. 1521-1532.
     16. Pearce, D. K. & Roley, V. V., "Stock Prices and Economic News", Journal of Business, 1985, Vol. 58. pp. 49-67 .
     17. Pearce, D. K. & Roley, V. V., "The Reaction of Stock Prices to Unanticipated Change in Money:A Note", Joural of Finance, Sep. 1983, pp. 1323-1333.
     18. Ripley, D. M., "Systematic Elements in the Linkage of National Stock Market Indices", Review of Economics & Statistics, Aug. 1973, pp. 356-361.
     19. West, K. D.,"A Specification Test For Speculative Bubbles", The Quarterly Journal of Economics,Aug. 1987, pp. 553-580.
     
     二、中文部份
     1.鄭鴻章，「匯率估計與預測之研究──台灣實證分析」，國立政治大學國際貿易研究所碩士論文，民國76年。
     2.蔡麗茹，「台灣總體經濟變數之因果關係檢定」，國立政治大學國際貿易研究所碩士論文，民國77年。
     3.張國江，「台灣與國外股票市場價格關係之實證研究」，台灣大學商學研究所碩士論文，民國77年。
     4黃義璋，「股價變動的經濟領先指標分析──ARIMA Model」，交通大學管理科學研究所碩士論文，民國69年。
     5.李又剛、丁誌魰，「探討1987年中、美、日、港四國股市的表現」，台北市銀月刊，77年7月。
     6.________、________，「黑色星期一之後中、美、日、港四國股市之探討」，台北市銀月刊，77年10月。
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/#B2002005688
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 張麗蕙zh_TW
dc.creator (作者) 張麗蕙zh_TW
dc.date (日期) 1989en_US
dc.date.accessioned 4-May-2016 14:21:29 (UTC+8)-
dc.date.available 4-May-2016 14:21:29 (UTC+8)-
dc.date.issued (上傳時間) 4-May-2016 14:21:29 (UTC+8)-
dc.identifier (Other Identifiers) B2002005688en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90427-
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 6
     第一節 前言 6
     第二節 股價與經濟消息( Economic News ) 9
     第三節 股價與泡沫理論( Bubbles Theory ) 13
     第四節 國際間股價的關聯性 25
     第三章 計量實證方法 29
     第一節 前言 29
     第二節 向量自迴歸模型(VAR ) 30
     第三節 共累積模型( Co-Integrated Model) 36
     第四節 VAR模型之區塊排除檢定 45
     第四章 台灣股市之實證研究 50
     第一節 股價與經濟消息之實證研究 50
     第二節 股價與泡沫理論之實證研究 56
     第三節 國際間股價關聯性之實證研究 70
     第五章 結論與建議 92
     第一節 結論 92
     第二節 建議 94
     附錄一資料來源 96
     
     表次
     表1-1-1 研究架構流程 4
     表4-1-1 落後階次選擇之概似比率檢定 52
     表4-1-2 股價與總體經濟變數之迴歸分析 54
     表4-2-1 Dickey-Fuller 單一根檢定(X_t=μ+γt+ρX_(t-1)+V_t) 61
     表4-2-2 Dickey-Fuller 單一根檢定(∆X_t=μ+γt+ρ∆X_(t-1)+V_t) 63
     表4-2-3 Co-integrating regression (P_t=α ̂+(γ^(-1) ) ̂D_t) 65
     表4-2-4 單一根檢定(∆V_t=-∅V_(t-1)+ϵ_t) 66
     表4-2-5 Co-integrating regression (P_(t+1)+D_t=(α_0 ) ̂+((1+r)) ̂P_t) 68
     表4-2-6 單一根檢定(∆V_t=-∅V_(t-1)+ϵ_t) 69
     表4-3-1 台灣、紐約、東京、香港四地之相關係數表 72
     表4-3-2 考慮不同落後期，分別比較台灣與香港、東京、紐約的相關係數表 73
     表4-3-3 台灣、紐約、東京、香港四地之相關係數表(取差分) 75
     表4-3-4 考慮不同落後期，分別比較台灣與香港、東京、紐約的相關係數表(取差分) 76
     表4-3-5 股價日指數最適落後階次之選擇 78
     表4- 3- 6 落後階次為八時，VAR模型區塊排除檢定之概似比率檢定 79
     表4-3-7 落後階次為十時， VAR模型區塊排除檢定之概似比率檢定 80
     表4-3-8 落後階次為八時，單條方程式之F檢定 82
     表4-3-9 落後階次為十時，單條方程式之F檢定 83
     附表4-1-1 股價的變動量與總體經濟變數之迴歸分析 87
     附表4-1-2 股價對Y、WP、R、Ex、M之前期值的迴歸結果 86
     附表4-1-3 股價對Y、WP、R、Ex、M及自身之前期值的迴歸結果 88
     附表4-1-4 股價的變動量對Y、WP、R、Ex、M之前期值的迴歸結果 88
     附表4-1-5 股價的變數量對Y、WP、R、Ex、M及自身之前期值的迴歸結果 88
     附表4-3-1 台灣、紐約、東京、香港四地股價之相關係數(取線性趨勢) 90
     附表4-3-2 考慮不同落後期，分別比較台灣與香港、東京、紐約之相關係數(取線性趨勢) 91		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005688en_US
dc.title (題名) 台灣股價波動之總體經濟因素分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻
     一、英文部份
     1. AGMON, Tamir, "The Relations Among Equity Markets:A Study of Share Prile Co-movements In The United States, United Kingdom, Germany And Japan" Joural
     of finance, Sep. 1972, pp. 839-856.
     2. Blanchard, O. J. "Speculative Bubbles, Crashed and Rational Expectations", Economic Letters 3, 1979,pp. 387-389.
     3. Blanchard, O. J. & Watson, M.W. "Bubbles, Rational Expectations and Financial Markets", NBER Working Paper #945, July, 1982.
     4. Chen, Nai-Fu, Roll, Richard, Ross Stephen A.,"Economic Forces and the Stock Market". Journal of Business. 1986, Vol. 59.PP. 383-403.
     5. Cutler,M. David, Poterba, M. James, Summers, H. Lawrence, "What Moves Stock Prices?" NBER Working Paper #2538, March, 1988.
     6. Diba, B. T. & Grossman, H.I., "On the Inception of Rational Bubbles", The Quarterly Journal of Economics, Aug, 1987, pp. 697-701.
     7. Diba, B.T. & Grossman, H.I. "Explosive Rational Bubbles In Seock Prices? "American Economic Review, June,1988, pp.520-530.
     8. Dickey, David & Fuller, Wayne, "Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root", Econometrica, July, 1981, 49. pp. 1057-1072.
     9. Engle, R. F. & Granger C. W. J., "Co-integration and Error Correction: Representation, Estimation, And Testing", Ecnometrica, March, 1987, pp. 251-276.
     10. Eun, C.S. & Resnick, B. G., "Estimating the Correlation Structure of International Share Prices", Journal of Finance, Dec. 1984,pp. 1311-1324.
     11. Flood, R. P. & Garber, P. M., "Market Fundamentals Versus Price-Level Bubbles: The First Test",Journal of Political Economy, 1980, Vol. 88,pp. 745-770.
     12. Grubel, H. G. & Fadner, K.,"The Interdependence of Inernational Equity Markets" Journal of Finance 1971, 3, pp. 89-94.
     13. Hamilton, J. D., "On the Testing for Self-Fulfilling Speculative Price Bubbles", International Economic Review Vol. 27. No.3. Oct. 1986, pp. 545-552.
     14. Kaplanis, E. C., "Stability and Forecasting of the Comovement Measures of International Stock Market Returns", Journal of International Money & Finance 1988, 7, pp. 63-75.
     15. Mookerjee, Rajen, "Monetary Policy and the Informational Efficiency of the Stock Market: The Evidence from Many Country", Applied Economics, 1987, Vol.194 pp. 1521-1532.
     16. Pearce, D. K. & Roley, V. V., "Stock Prices and Economic News", Journal of Business, 1985, Vol. 58. pp. 49-67 .
     17. Pearce, D. K. & Roley, V. V., "The Reaction of Stock Prices to Unanticipated Change in Money:A Note", Joural of Finance, Sep. 1983, pp. 1323-1333.
     18. Ripley, D. M., "Systematic Elements in the Linkage of National Stock Market Indices", Review of Economics & Statistics, Aug. 1973, pp. 356-361.
     19. West, K. D.,"A Specification Test For Speculative Bubbles", The Quarterly Journal of Economics,Aug. 1987, pp. 553-580.
     
     二、中文部份
     1.鄭鴻章，「匯率估計與預測之研究──台灣實證分析」，國立政治大學國際貿易研究所碩士論文，民國76年。
     2.蔡麗茹，「台灣總體經濟變數之因果關係檢定」，國立政治大學國際貿易研究所碩士論文，民國77年。
     3.張國江，「台灣與國外股票市場價格關係之實證研究」，台灣大學商學研究所碩士論文，民國77年。
     4黃義璋，「股價變動的經濟領先指標分析──ARIMA Model」，交通大學管理科學研究所碩士論文，民國69年。
     5.李又剛、丁誌魰，「探討1987年中、美、日、港四國股市的表現」，台北市銀月刊，77年7月。
     6.________、________，「黑色星期一之後中、美、日、港四國股市之探討」，台北市銀月刊，77年10月。		zh_TW