| dc.description.tableofcontents | ～～目錄～～序言………Ι圖表目錄………Ⅳ第一章 緒論………1第一節 研究動機………1第二節 研究方法………2第三節 研究目的………3第四節 研究範圍………3第二章 文獻探討與研究架構………5第一節 國外股票報酬率對抗通貨膨脹之實證研究………5第二節 對抗通貨膨脹之理論探討………6第三節 拆解預期與非預期通貨膨脹率之模式探討………11一、 時間數列分析法………12二、 利率模式………15第四節 研究架構………18第三章 資料特性與預期通貨膨脹率預測模式………22第一節 資料種類與收集期間………22第二節 時間數列模式………23第三節 利率模式………30第四節 預期通貨膨脹率預測模式之選定………35第四章 股票報酬率對抗通貨膨脹率之實證研究………39第一節 對抗通貨膨脹模式與檢定假設………39第二節 各類股票報酬率對抗通貨膨脹之實證結果………41一、 整體股市報酬值對抗通貨膨脹效果之檢定………42二、 水泥窯製類股票報酬值對抗通貨膨脹效果之檢定………44三、 食品類股票報酬值對抗通貨膨脹效果之檢定………45四、 塑膠化工類股票報酬值對抗通貨膨脹效果之檢定………47五、 紡織纖維類股票報酬值對抗通貨膨脹效果之檢定………48六、 機電類股票報酬值對抗通貨膨脹效果之檢定………49七、 造紙類股票報酬值對抗通貨膨脹效果之檢定………51第五章 研究結果分析………53第六章 結論與建議………59第一節 結論………59第二節 建議………60附錄：參考文獻………61～～圖表目錄～～圖2-1 ARIMA模式建立之流程示意圖………13圖2-2 研究架構………21圖3-1(A) 通貨膨脹率ARIMA(0,0,0)之ACF值………67圖3-1(B) 通貨膨脹率ARIMA(0,0,0)之PACF值………68圖3-2(A) 通貨膨脹率ARIMA(0,1,0)之ACF值………69圖3-2(B) 通貨膨脹率ARIMA(0,1,0)之PACF值………70圖3-3(A) 通貨膨脹率ARIMA(0,1,1)X(0,1,1)12之ACF值………71圖3-3(B) 通貨膨脹率ARIMA(0,1,1)X(0,1,1)12之PACF值………72圖3-4 通貨膨脹率ARIMA(0,1,1)X(0,1,1)12殘差項之ACF值………73圖3-5(A) 國庫券30.天實質利率ARIMA(0,0,0)之ACF值………74圖3-5(B) 國庫券30.天實質利率ARIMA(0,0,0)之PACF值………75圖3-6(A) 國庫券30.天實質利率ARIMA(0,1,0)之ACF值………76圖3-6(B) 國庫券30.天實質利率ARIMA(0,0,0)之PACF值………76圖3-7(A) 國庫券30.天實質利率ARIMA(0,1,0)X(0,1,0)12之ACF值………77圖3-7(B) 國庫券30.天實質利率ARIMA(0,1,0)X(0,1,0)12之PACF值………78圖3-8 國庫券30.天實質利率ARIMA(0,1,1)X(0,1,1)12殘差項之ACF值………79表目錄表3-1 國庫券30.天利率………表3-2 通貨膨脹率ARIMA(0,1,1)x(0,1,1)12之估計結果………27表3-3 國庫券30.天實質利率ARIMA(0,1,1)x(0,1,1)12之估計結果………32表4-1 整體股市報酬率與預期及非預期通貨膨脹率之複迴歸分析結果………81表4-2 水泥窯製類股票報酬率與預期及非預期通貨膨脹率之複迴歸分析結果………82表4-3 食品類股票報酬率與預期及非預期通貨膨脹率之複迴歸分析結果………83表4-4 塑膠化工類股票報酬率與預期及非預期通貨膨脹率之複迴歸分析結果………84表4-5 紡織纖維類股票報酬率與預期及非預期通貨膨脹率之複迴歸分析結果………85表4-6 機電類股票報酬率與預期及非預期通貨膨脹率之複迴歸分析結果………86表4-7 造紙類股票報酬率與預期及非預期通貨膨脹率之複迴歸分析結果………87表5-1 各類股票報酬率與預期及非預期通貨膨脹率之複迴歸分析………55 | zh_TW |
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