| dc.contributor.advisor | 朱美麗 | zh_TW |
| dc.contributor.author (Authors) | 許振維 | zh_TW |
| dc.creator (作者) | 許振維 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 18-Sep-2009 15:53:37 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 15:53:37 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 15:53:37 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090258018 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35737 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟研究所 | zh_TW |
| dc.description (描述) | 90258018 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 摘要1997年亞洲金融危機發生，國際資金的快速移動，造成外匯市場和股票市場巨大的震盪，特別是股票市場的波動會影響財富的價值，進而影響消費和投資的決定，以及實質的經濟活動。因此，股價波動成為近幾年來文獻上探討的主題，本文建構一理性投機的隨機模型，從理論上探討股票市場的波動。當討論到股票市場的波動時，常常會認為股價的劇烈波動是由於非理性的投機者追高殺低所造成的。但根據Friedman (1953)的論點，若市場上存在投機者，則只有擁有成功策略的理性投機者能存活，而且這些理性投機者將不會造成市場波動。在此，顯現了一個令人關心的議題，是否理性投機者會因某些情況而使股價波動劇烈呢? 因此，理性投機者在市場中的角色有必要深入探討，尤其在國際資金快速移動的時代，外資的角色更是不容忽視。有鑑於此，本文也將探討外資的角色。本文的研究結果發現，當經濟體系發生短暫性的外生衝擊，導致長期和短期的股價存在價差，理性投機者預期股價會回復長期均衡值，而進場買賣以套取價差時，此種套取價差的行為能使股價穩定。但是，若此一衝擊同時使得理性投機者面臨有額外的損失或利得，因而調整其應持有的部位，則最後將有可能使得股價的波動變大。因此，理性投機的外資可能穩定股市，也可能是股市波動的來源。 | zh_TW |
| dc.description.tableofcontents | 目錄第一章 緒論 1第一節 研究動機與背景 1第二節 研究方法 2第二章 文獻回顧. 3第一節 有關於理性投機之相關文獻 3第二節 有關於股票市場之相關文獻 4第三節 有關於外資對股票市場影響之相關文獻 5第三章 國內理性投機者與股價波動 9第一節 導論 9第二節 模型設定 103-2.1長線股票供給者 113-2.2長線的投資者 113-2.3理性投機者 13第三節 股票市場均衡 15第四節 國內理性投機者與股價波動 173-4.1理性投機者的風險趨避程度與股價波動 183-4.2單一衝擊的情形 183-4.3一種以上衝擊的情形 23第五節 結論 27第四章 外資與股價波動 29第一節 導論 29第二節 模型設定 304-2.1長線股票供給者 314-2.2長線的外資投資者 314-2.3理性外資投機者 32第三節 股票市場均衡 34第四節 理性外資投機者與股價波動 364-4.1外資的風險趨避程度與股價波動 374-4.2單一衝擊的情形 384-4.3一種以上衝擊的情形 45第五節 結論 50第五章 結論 52第一節 研究論點 52第二節 未來研究方向 53附錄A 以國內理性投機者為主之分析A.1 預期股價、股價動態方程式以及股價條件變異數 1A.11 求解預期股價和股價方程式 1A.12 求解股價長期均衡值和動態方程式 2A.13 求解股價條件變異數 3A.2 理性投機者的風險趨避程度與股價波動 3A.3 最適的風險趨避程度 4附錄B 以外資理性投機者為主之分析B.1預期股價、股價動態方程式以及股價條件變異數 6B.11 求解預期股價和股價方程式 6B.12 求解股價長期均衡值和動態方程式 7B.13 求解股價條件變異數 8B.2. 外資風險趨避程度與股價波動 8B.3 最適的風險趨避程度 10 | zh_TW |
| dc.format.extent | 8439 bytes | - |
| dc.format.extent | 64656 bytes | - |
| dc.format.extent | 9949 bytes | - |
| dc.format.extent | 12299 bytes | - |
| dc.format.extent | 11409 bytes | - |
| dc.format.extent | 20731 bytes | - |
| dc.format.extent | 88311 bytes | - |
| dc.format.extent | 99884 bytes | - |
| dc.format.extent | 12807 bytes | - |
| dc.format.extent | 13710 bytes | - |
| dc.format.extent | 66427 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090258018 | en_US |
| dc.subject (關鍵詞) | 理性投機 | zh_TW |
| dc.subject (關鍵詞) | 股價波動 | zh_TW |
| dc.title (題名) | 理性投機與股價波動 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 參考文獻 | zh_TW |
| dc.relation.reference (參考文獻) | 中文部分 | zh_TW |
| dc.relation.reference (參考文獻) | 朱美麗、曹添旺 (1990), “貨幣政策、匯率與股價的動態調整—理論分析與摸擬驗證, ” 經濟論文叢刊, 第十八輯第四期, pp. 449-466。 | zh_TW |
| dc.relation.reference (參考文獻) | 江淑玲(2002), “外資是否會主導亞太地區股市、匯市? ” 輔仁大學金融研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 歐雲蘭(1995), “開放外資對股價波動性之影響, ” 台灣大學財務金融研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 劉明佳(1995), “外資引進對股價波動性之影響, ” 政治大學財務金融研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 英文部分 | zh_TW |
| dc.relation.reference (參考文獻) | Aoki, M. (1981), Dynamic Analysis of Open Economics, New York: Academic Press. | zh_TW |
| dc.relation.reference (參考文獻) | Blanchard, J. O. (1981), “Output, the Stock Market, and Interest Rates, ” The American Economic Review, March, vol. 71, issue 1, pp. 132-143. | zh_TW |
| dc.relation.reference (參考文獻) | Carlson, J.A. and L. C. Osler (2000), “Rational speculators and exchange rate volatility, ” European Economic Review, 44, pp. 231-253. | zh_TW |
| dc.relation.reference (參考文獻) | Errunza, V. and K. Hogan (1998), “Macroeconomic Determinants of European Stock Market Volatility, ” European Financial Management, vol. 4, no. 3, pp. 361-337. | zh_TW |
| dc.relation.reference (參考文獻) | Friedman, M. (1953), Essays in Positive Economics, University of Chicago Press, Chicago. | zh_TW |
| dc.relation.reference (參考文獻) | Hamao ,Y. and J. Mei (2001), “living with the Enemy: An Analysis Foreign Investment in the Japaness Equity Market, ” Journal of International Money and Finance, 20, pp. 715-735. | zh_TW |
| dc.relation.reference (參考文獻) | Kim, W.H. and V. Singal (1994), Opening Up of Stock Markets: Lessons from and for Emerging Economies, University of Michigan Press, Michigan. | zh_TW |
| dc.relation.reference (參考文獻) | Ma, C. K. and G. W. Kao (1990), “On Exchange Rate Changes and Stock Price Reactions, “ Journal of Business Finance and Accounting, vol.11, Summer, pp. 441-449. | zh_TW |
| dc.relation.reference (參考文獻) | McCafferty S. and Driskill R. (1980), “Problems of Existence and Uniqueness in Nonlinear Rational Expectatoins Models, “ Econometrica, July, pp. 1313-1317. | zh_TW |
| dc.relation.reference (參考文獻) | Mok, H. K. (1993), “Causality of Interest Rate, Exchange Rate and Stock Prices at Stock Market Open and Close in Hong Kong, “ Asia Pacific Journal of Management, vol.10, pp. 123-143. | zh_TW |
| dc.relation.reference (參考文獻) | Muth, J. F. (1961), “Rational Expectations and the Theory of Price Movements, ” Econometrica, July, pp. 315-335. | zh_TW |
| dc.relation.reference (參考文獻) | Niehans, J. (1987), “Monetary policy and Investment Dynamics in Interdependent Economies, ” Journal of Money, Credit and Banking, 19:1, pp. 33-45. | zh_TW |
| dc.relation.reference (參考文獻) | Osler, L. C. (1998), “Short-term speculators and the puzzling behaviour of exchange rates, ” Journal of International Economics, 45, pp. 37-57. | zh_TW |
| dc.relation.reference (參考文獻) | Schwert, W. (1989), “Why Does Stock Market Volatility Change Through Time? ” Journal of Finance, vol.44, pp. 1115-1175. | zh_TW |
| dc.relation.reference (參考文獻) | Shiller, J. R. (1981), “Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends? ” American Economic Review, vol. 71, pp. 421-436. | zh_TW |
| dc.relation.reference (參考文獻) | Shleifer, A. and L. H. Summers (1990), “The Noise Trader Approach to Finance, ” Journal of Economic Perspective, vol.4, no. 2, pp. 19-33. | zh_TW |
| dc.relation.reference (參考文獻) | Soenen, L.A. and E.S. Hennigar (1988), “An Analysis of Exchange Rates and Stock Prices-The Experience between 1980 and 1986,” Akron Business and Economic Review, Winter, pp. 141-149. | zh_TW |
| dc.relation.reference (參考文獻) | Tobin, J. (1969), “A General Equilibrium Approach to Monetary Theory , ” Journal of Money, Credit and Banking, vol.1, February, pp. 15-29. | zh_TW |
