| dc.contributor.advisor | 沈中華 | zh_TW |
| dc.contributor.author (Authors) | 蔡禮聰 | zh_TW |
| dc.creator (作者) | 蔡禮聰 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:33:06 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:33:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:33:06 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0913520301 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31217 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 91352030 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 本研究採用門檻迴歸模型 (Threshold Autoregression Model)，試圖找出董監事等內部人之申報轉讓比率、持股比率及質押比率等門檻值，進而分析門檻值以內及以外，指標對於代理變數：融資成長率、營收成長率以及本益比與加權指數報酬率的影響程度與方向。本研究實證結果發現： 一、在申報轉讓比率方面： 當申報轉讓比率低於門檻值，存在所謂的群聚效果。當申報轉讓比率高於門檻值時，市場動能與加權指數報酬率無顯著關係，投資人於此階段進行投資決策時應該要謹慎小心。 二、在持股比率方面： 在持股比率低於門檻值時，加權指數報酬率對於前期營收成長率表現的修正幅度較大，意謂著董監事等內部人根據其對未來營收資訊掌握的優勢，反應其對營收資訊的真實性，而藉由持股轉讓的行為，使加權指數大幅度的修正。 三、在質押比率方面： 不管高於或低於門檻值，均無法利用董監事等內部人質押比率為門檻變數來分析本益比效果對加權指數報酬率的影響。造成其檢定失效的原因，可能是樣本小且模型受到極端值的影響所造成。 | zh_TW |
| dc.description.tableofcontents | 目次……………………………………………………………………………1 表次……………………………………………………………………………3 圖次……………………………………………………………………………4 第一章 緒論 …………………………………………………………………5 第一節 研究動機與目的 ……………………………………………………5 第二節 研究方法 ……………………………………………………………8 第三節 研究範圍與對象 ……………………………………………………9 第四節 研究架構 ……………………………………………………………9 第二章 文獻回顧與相關理…………………………………………………10 第一節 內部人交易之相關法規 ……………………………………10 第二節 文獻探討……………………………………………………………16 第三節 門檻自我迴歸模型…………………………………………………24 第三章 研究方………………………………………………………………31 第一節 實證流程……………………………………………………………31 第二節 假說建立……………………………………………………………32 第三節 變數定義與建立模型………………………………………………41 第四節 研究範圍與資料來源………………………………………………44 第四章 實證結果分…………………………………………………………45 第一節 申報轉讓比率………………………………………………………45 第二節 持股比率……………………………………………………………47 第三節 質押比率……………………………………………………………49 第五章 結論與建……………………………………………………………51 第一節 結論…………………………………………………………………51 第二節 建議…………………………………………………………………52 參考文獻 ……………………………………………………………………58 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913520301 | en_US |
| dc.subject (關鍵詞) | 門檻自我迴歸模型 | zh_TW |
| dc.subject (關鍵詞) | 馬可夫轉換模型 | zh_TW |
| dc.subject (關鍵詞) | 搜尋法 | zh_TW |
| dc.subject (關鍵詞) | 狀態變數 | zh_TW |
| dc.subject (關鍵詞) | 群聚效果 | zh_TW |
| dc.subject (關鍵詞) | Threshold Autoregression Model | en_US |
| dc.subject (關鍵詞) | Markov Switching Model | en_US |
| dc.subject (關鍵詞) | Grid Search Method | en_US |
| dc.subject (關鍵詞) | State Variable | en_US |
| dc.subject (關鍵詞) | Herding Effect | en_US |
| dc.title (題名) | 內部人交易行為對股票報酬之影響--門檻模型之運用 | zh_TW |
| dc.type (資料類型) | thesis | en |
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