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題名 臺灣地區油品價格調整對證券市場股票價格影響之實證研究
作者 林芸萱
貢獻者 林炯垚
林芸萱
日期 1987
上傳時間 4-May-2016 17:06:44 (UTC+8)
摘要 論文提要內容:
參考文獻 參考書目及期刊:
一、中文部份:
1.吳家憲，"能源科技工業發展－從經濟面及政策性探討"，能源季刊，第十六卷，第一期，(75.1.)PP.12-20。
2.張家澤，"1984年石油供需與油價動向"，台電企劃處研究報告47.－經能－03，能源經濟研究專輯，台電企劃處主編(74.7.),pp.2-23.。
3.靳叔彥，“低油價對國際政治經濟情勢與能源工業之影響－兼論能源工業如何因應低油價衝擊及其應有之對策"，能源季刊，第十六卷，第四期，(75.10.) PP.78.-85.。
4.馮大宗，“民國七十五年能源供需情勢"，能源季刊，第十七卷，第二期(76.4.), pp.1-10.。
5.樂和，“加強節約能源的普遍性、持久性、有效性(一) "，台電企劃處研究報告48－經能－04，能源經濟研究專輯，台灣電力公司企劃處主編(75.5.),pp.60.-67.。
6.美國海外諮詢協會編“中華民國台灣能源與經濟發展邁向新型態"，經濟部能源、委員會印行，71.年。

二、西文部份
1. Ball, Ray and Philip Brown, "An empirical evaluation of accounting income numbers." Journal of Accounting Research 6, (Autumn, 1968), pp.l59-78.
2. Brealey, Richard and Stewart Myers, Principles of Corporate Finance, 2nd ed. (McGraw-Hill, Inc. 1984).
3. Copeland, Thomas E. and J. Fred Weston, Financial Theory and Corporate Policy, 2nd ed. (Addison Wesley, 1983).
4. Chiswick, Barry and Stephen Chiswick, Statistics and Econometrics, (Baltimore: University Park Press, 1975) 引自黃俊英，多變量分析，第三版( 75.1. ) pp.65-67
5. Dixon, Wilfrid J. and Frank J. Massey, Introduction to Statistical Analysis, 3d ed. (New
York: McGraw-Hill Book Co., 1969)
6. Fama, Eugene F., Foundations of Finance, (New York: Basic Books, 1976)
7. ──────,"Efficient Capital Markets: A Review of Theory and Empirical Work," The Journal of Finance, XXV, No.2 (May, 1970), pp.384-417
8. Fama, Eugene F., Lawrence Fisher, Michael C. Jensen, and Richard Roll, "The Adjustment of Stock Prices To New Information," International Economic Review X, No.1 (Feb. 1969) pp.l-21
9. Gunst, Richard F. and Robert L. Mason, Regression Analysis and Its Application, (Marcel Dekker, Inc. New York and Basel, 1980)
10. Ibbotson, R., "Price performance of common stock new issue," Journal of Financial Economics, vol.2, ( Sep. 1975) pp.235-51
11. Jensen, Michael C., "Some Anomalous Evidence Regarding Market Efficiency," Journal of Financial Economics 6, (June-September, 1978) pp.95-101
12. Kaplan, R. and R. Roll, "Investor evaluation of accounting information: some impirical evidence," Journal of Business, Vol. 45, (July 1972) , pp. 225-57
13. Mandelbrot, Benoit, "Forecasts of Future Prices, Unbiased Markets, and Martingal Models," Security Prices: A Supplement, Journal of Business 39 (January, 1966), pp.242-55
14. Mandelker, G., "Risk and return: the case of merging firms," Journal of Financial Economics, Vol. l, (December 1974) pp.303-35
15. Mendenhall, William and James T. McClave, A Second Course in Business Statistics: Regression Analysis, (Dellen Publishing Company, 1981)
16. Miller, Merton H. and Franco Modigliani, "Dividend Policy, Growth, and the Valuation of Shares," Journal of Business 34 (October 1961), pp. 411-33
17. Neter, John and William Wasserman, Applied Linear Statistical Models-Regression, Analysis of Variance, and Experimental Designs, 吳宗正編譯，迴歸分析－理論與應用，第三版(71. 9.)。
18. Rozeff, M., "Money and stock prices: market efficiency and the lag in effect of monetary policy," Journal of Economics, Vol.l, (July,1974), pp345-02
19. Samuelson, Paul A., "Proof that Properly Anticipated Prices Fluctuate Randomly," Industrial Management Review 6 (Spring, 1965), pp41-49.
20. Scholes, Myron S., "The market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices," Journal of Business, Vol. 45 (April, 1972), pp.l79-211
21. Sumanth, David J., Productivity Engineering and Management: Productivity Measurement, Evaluation, Planing, and Improvement in Manufacturing and Service Organizations, (McGraw-Hill Book Co. 1985)
22. Sunder, S., "Relationship between accounting measurement and some empirical evidence," Journal of accounting Research, Vol. 11, (1973) pp.l-18
23. Stephens, M. A. , "EDF statistics for goodness of Fit and Some Comparisons," Journal of the American Statistical Association vol.69, N347(1974), pp.730-37
24. Tukey, John W., Exploratory Data Analysis, (1977)
25. Watts, R., "The information content of dividends," Journal of Business, Vol.45 (April, 1973) pp.l91-211
26. Waud, Roger N., "Public interpretation of Federal Reserve Discount Rate Changes: Evidence on the Announcement Effect," Econometrica 38, (March, 1970) pp.231-50
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002006113
資料類型 thesis
dc.contributor.advisor 林炯垚zh_TW
dc.contributor.author (Authors) 林芸萱zh_TW
dc.creator (作者) 林芸萱zh_TW
dc.date (日期) 1987en_US
dc.date.accessioned 4-May-2016 17:06:44 (UTC+8)-
dc.date.available 4-May-2016 17:06:44 (UTC+8)-
dc.date.issued (上傳時間) 4-May-2016 17:06:44 (UTC+8)-
dc.identifier (Other Identifiers) B2002006113en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90827-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.abstract (摘要) 論文提要內容:zh_TW
dc.description.tableofcontents 目錄
第壹章 緒論………1
第一節 研究動機與目的………1
第二節 研究範團與架構………8
第三節 全文概述………8
第貳章 相關理論基礎及文獻探討………16
第一節 效率資本市場之定義………16
第二節 檢定半強式效率市場之文獻………21
第?章 研究方法………25
第一節 研究過程………25
第二節 資料整理與市場模式之建立………26
第三節 統計方法………31
第四節 研究限制………42
第肆章 實證結果與分析………46
第一節 油品價格上漲對股價影響之分析………46
第二節 油品價格下跌對股價影響之分析………70
第三節 整體分析………93
第伍章 結論、涵意及建議………96
第一節 結論………96
第二節 實用上的涵意………100
第三節 建議………101
參考書目期刊………103
中文部份………103
西文部份………104
附表 分類股票市場模式及平均殘差、累積平均殘差檢定………附-1

圖表目錄
圖1-1:本研究架構………9
圖3-1:油價上漲之移動β市場模式………29
圖3-2:油價下跌之移動β市場模式………30
圖4-1:水泥窯製類AR及CAR圖(九次油價上漲) ………48
圖4-2:水泥窯製類AR及CAR圖(五次全面油價上漲) ………49
圖4-3:食品類AR及CAR圖(九次油價上漲) ………51
圖4-4:食品類AR及CAR屆(五次全面油價上漲) ………52
圖4-5:塑膠化工類AR及CAR圖(九次油價上漲) ………54
圖4-6:塑膠化工類AR及CAR圖(五次全面油價上漲) ………55
圖4-7:紡織纖維類AR及CAR圖(九次油價上漲) ………57
圖4-8:紡織纖維類AR及CAR圖(五次全面油價上漲) ………58
圖4-9:機電類AR及CAR圖(九次油價上漲) ………60
圖4-10.:機電類AR及CAR圖(五次全面油價上漲) ………61
圖4-11.:造紙類AR及CAR團(九次油價上漲) ………63
圖4-12:造紙類AR及CAR圖(五次全面油價上漲) ………64
圖4-13.:營造建材類AR及CAR圖(九次油價上漲) ………66
圖4-14.:營造建材類AR及CAR國(五次全面油價上漲) ………67
圖4-15.:水泥窯製類AR及CAR圖(九次油價下跌) ………71
圖4-16.:水泥窯製類AR及CAR國(四次全面油價下跌) ………72
圖4-17.:食品類AR及CAR圖(九次油價下跌) ………74
圖4-18.:食品類AR及CAR圖(四次全面油價下跌) ………75
圖4-19.:塑膠化工類AR及CAR圖(九次油價下跌) ………77
圖4-20.:塑膠化工類AR及CAR圖(四次全面油價下跌) ………78
圖4-21.:紡織纖維類AR及CAR圖(九次油價下跌) ………80
圖4-22.:紡織纖維類AR及CAR園(四次全面油價下跌) ………81
圖4-23:機電類AR及CAR圖(九次油價下跌) ………83
圖4-24.:機電類AR及CAR圖(四次全面油價下跌) ………84
圖4-25.:造紙類AR及CAR圖(九次油價下跌) ………86
圖4-26.:造紙類AR及CAR圖(四次全面油價下跌) ………87
圖4-27.:營造建材類AR及CAR圓(九次油價下跌) ………89
圖4-28.:營造建材類AR及CAR圖(四次全面油價下跌) ………90
表1-1:三種市場效率型態………2
表1-2:國內能源消費(按能源別) ………4
表1-3:國內能源消費(按部門別) ………5
表1-4:主要工業能源消費………5
表3-1:油價調整日………27
表4-1:油價上漲對各產業之影響………69
表4-2:油價下跌對各產業之影響………92
表5-1:實證研究結果摘要表(油價上漲) ………97
表5-2:實證研究結果摘要表(油價下跌) ………98		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002006113en_US
dc.title (題名) 臺灣地區油品價格調整對證券市場股票價格影響之實證研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考書目及期刊:
一、中文部份:
1.吳家憲，"能源科技工業發展－從經濟面及政策性探討"，能源季刊，第十六卷，第一期，(75.1.)PP.12-20。
2.張家澤，"1984年石油供需與油價動向"，台電企劃處研究報告47.－經能－03，能源經濟研究專輯，台電企劃處主編(74.7.),pp.2-23.。
3.靳叔彥，“低油價對國際政治經濟情勢與能源工業之影響－兼論能源工業如何因應低油價衝擊及其應有之對策"，能源季刊，第十六卷，第四期，(75.10.) PP.78.-85.。
4.馮大宗，“民國七十五年能源供需情勢"，能源季刊，第十七卷，第二期(76.4.), pp.1-10.。
5.樂和，“加強節約能源的普遍性、持久性、有效性(一) "，台電企劃處研究報告48－經能－04，能源經濟研究專輯，台灣電力公司企劃處主編(75.5.),pp.60.-67.。
6.美國海外諮詢協會編“中華民國台灣能源與經濟發展邁向新型態"，經濟部能源、委員會印行，71.年。

二、西文部份
1. Ball, Ray and Philip Brown, "An empirical evaluation of accounting income numbers." Journal of Accounting Research 6, (Autumn, 1968), pp.l59-78.
2. Brealey, Richard and Stewart Myers, Principles of Corporate Finance, 2nd ed. (McGraw-Hill, Inc. 1984).
3. Copeland, Thomas E. and J. Fred Weston, Financial Theory and Corporate Policy, 2nd ed. (Addison Wesley, 1983).
4. Chiswick, Barry and Stephen Chiswick, Statistics and Econometrics, (Baltimore: University Park Press, 1975) 引自黃俊英，多變量分析，第三版( 75.1. ) pp.65-67
5. Dixon, Wilfrid J. and Frank J. Massey, Introduction to Statistical Analysis, 3d ed. (New
York: McGraw-Hill Book Co., 1969)
6. Fama, Eugene F., Foundations of Finance, (New York: Basic Books, 1976)
7. ──────,"Efficient Capital Markets: A Review of Theory and Empirical Work," The Journal of Finance, XXV, No.2 (May, 1970), pp.384-417
8. Fama, Eugene F., Lawrence Fisher, Michael C. Jensen, and Richard Roll, "The Adjustment of Stock Prices To New Information," International Economic Review X, No.1 (Feb. 1969) pp.l-21
9. Gunst, Richard F. and Robert L. Mason, Regression Analysis and Its Application, (Marcel Dekker, Inc. New York and Basel, 1980)
10. Ibbotson, R., "Price performance of common stock new issue," Journal of Financial Economics, vol.2, ( Sep. 1975) pp.235-51
11. Jensen, Michael C., "Some Anomalous Evidence Regarding Market Efficiency," Journal of Financial Economics 6, (June-September, 1978) pp.95-101
12. Kaplan, R. and R. Roll, "Investor evaluation of accounting information: some impirical evidence," Journal of Business, Vol. 45, (July 1972) , pp. 225-57
13. Mandelbrot, Benoit, "Forecasts of Future Prices, Unbiased Markets, and Martingal Models," Security Prices: A Supplement, Journal of Business 39 (January, 1966), pp.242-55
14. Mandelker, G., "Risk and return: the case of merging firms," Journal of Financial Economics, Vol. l, (December 1974) pp.303-35
15. Mendenhall, William and James T. McClave, A Second Course in Business Statistics: Regression Analysis, (Dellen Publishing Company, 1981)
16. Miller, Merton H. and Franco Modigliani, "Dividend Policy, Growth, and the Valuation of Shares," Journal of Business 34 (October 1961), pp. 411-33
17. Neter, John and William Wasserman, Applied Linear Statistical Models-Regression, Analysis of Variance, and Experimental Designs, 吳宗正編譯，迴歸分析－理論與應用，第三版(71. 9.)。
18. Rozeff, M., "Money and stock prices: market efficiency and the lag in effect of monetary policy," Journal of Economics, Vol.l, (July,1974), pp345-02
19. Samuelson, Paul A., "Proof that Properly Anticipated Prices Fluctuate Randomly," Industrial Management Review 6 (Spring, 1965), pp41-49.
20. Scholes, Myron S., "The market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices," Journal of Business, Vol. 45 (April, 1972), pp.l79-211
21. Sumanth, David J., Productivity Engineering and Management: Productivity Measurement, Evaluation, Planing, and Improvement in Manufacturing and Service Organizations, (McGraw-Hill Book Co. 1985)
22. Sunder, S., "Relationship between accounting measurement and some empirical evidence," Journal of accounting Research, Vol. 11, (1973) pp.l-18
23. Stephens, M. A. , "EDF statistics for goodness of Fit and Some Comparisons," Journal of the American Statistical Association vol.69, N347(1974), pp.730-37
24. Tukey, John W., Exploratory Data Analysis, (1977)
25. Watts, R., "The information content of dividends," Journal of Business, Vol.45 (April, 1973) pp.l91-211
26. Waud, Roger N., "Public interpretation of Federal Reserve Discount Rate Changes: Evidence on the Announcement Effect," Econometrica 38, (March, 1970) pp.231-50		zh_TW