| dc.contributor.advisor | 杜化宇教授 | zh_TW |
| dc.contributor.author (Authors) | 周曉萍 | zh_TW |
| dc.creator (作者) | 周曉萍 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:16:38 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:16:38 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:16:38 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090357007 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36678 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 90357007 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 本研究利用ADF單根檢定以及新觀點的季節性單根檢定做為分析工具，去檢測期貨巿場與現貨巿場是否存在一長期均衡關係。研究對象共有十種，分別為：能源期貨－輕原油、煤油，外匯期貨－日圓、瑞士法郎（對美元），短期利率期貨－一個月期倫敦銀行拆款利率、90天期美國國庫券，公債期貨－2年的美國中期公債、15至30年的美國長期公債，S&P500指數期貨，金屬期貨－高等級銅期貨。 過去檢測長期均衡關係所使用的單根檢定觀點假設其他頻率的單根並不存在，因此當拒絕虛無假設時，我們無法確知拒絕的原因是資料真的沒有單根的存在，抑或是資料具有季節性現象，因此納入季節性考量的HEGY檢定法，將是比較一般化的檢定方法，而且因為HEGY能夠同時檢定季節性及某些非季節性單根的存在與否，而不必假設所有季節性頻率的單根皆同時存在，所以ADF單根檢定法可視為HEGY季節性單根檢定法之特例，因此一般來說，HEGY檢定法之檢定力較ADF單根檢定法為高。 而本文實證結果亦證明，ADF單根檢定法的確無法檢定出季節性單根的有無，當季節性因素存在時，使用ADF單根檢定將可能導致錯誤的推論。 | 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 、研究架構 3第貳章 理論基礎與文獻回顧 5第一節 、期貨巿場效率理論 5第二節 、季節性（Seasonality） 9第三節 、文獻回顧 11第參章 研究方法 22第一節 、效率巿場迴歸式 22第二節 、單根檢定 24第三節 、季節性單根檢定 27第肆章 實證結果分析 34第一節 、資料選取說明 34第二節 、實證結果 39第伍章 結論與建議 56第一節 、結論 56第二節 、研究限制 58第三節 、後續研究建議 59表 次表4-1 研究標的期貨、研究期間、樣本數 35表4-2 ADF單根檢定 40表4-3 ADF單根檢定 41表4-4 ADF單根檢定 42表4-5 ADF單根檢定 43表4-6 HEGY檢定結果--季資料 46表4-7 HEGY檢定結果--季資料 47表4-8 HEGY檢定結果--季資料 48表4-9 HEGY檢定結果--季資料 49表4-10 HEGY檢定結果—月資料 52表4-11 HEGY檢定結果—月資料 53表4-12 HEGY檢定結果—月資料 54表4-13 HEGY檢定結果—月資料 55 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090357007 | en_US |
| dc.subject (關鍵詞) | 季節性單根 | zh_TW |
| dc.subject (關鍵詞) | ADF單根檢定 | zh_TW |
| dc.subject (關鍵詞) | 效率巿場 | zh_TW |
| dc.subject (關鍵詞) | HEGY | en_US |
| dc.title (題名) | 期貨巿場效率性之再探討－季節性單根檢定 | zh_TW |
| dc.type (資料類型) | thesis | en |
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