| dc.contributor.advisor | 林信助 | zh_TW |
| dc.contributor.author (Authors) | 紀嘉瑜 | zh_TW |
| dc.creator (作者) | 紀嘉瑜 | zh_TW |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:58:55 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:58:55 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:58:55 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095351018 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36865 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 95351018 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 本研究探討台灣50指數成分股變動造成的異常報酬與超額交易量現象，提供投資人作為選股參考，由於台灣50指數編製依據為總市值，僅使用公開資訊，可以用來檢驗效率市場假說。不同於過去研究的貢獻，本文考慮金融資產報酬的波動群聚現象及模型係數的不穩定性，分別使用卡爾曼濾嘴法及GARCH(1,1) 模型修正，以期獲得較穩健的實證結果。本研究結果發現，新增股及剔除股在宣告日的下一個交易日及生效日的前一個交易日有顯著異常報酬；新增股的累積異常報酬可持續大約兩個工作星期，且新增股有持續的超額交易量情形；而剔除股僅在生效日及生效日的前一個交易日有超額交易量。上述實證結果顯示投資人可利用此公開資訊，獲得異常報酬，不支持效率市場假說。 | zh_TW |
| dc.description.abstract (摘要) | We study the price and volume effects following the Taiwan 50 Index revisions. Since the decision to include (exclude) a stock in (from) the index is based merely on market capitalization, it provides a unique opportunity to test the efficient market hypothesis. Our contribution to the existing literature lies in the fact that we employ the Kalman filter approach and the GARCH(1,1) model to allow the parameters instability and time-varying residual variance, and hence to produce more robust empirical results. The results suggest that the newly added stocks and the currently dropped stocks experience significant price changes right after the announcement day and right before the change day; the abnormal returns of the newly added stocks last about two weeks, these stocks also exhibit persistently excessive trading volume while the currently dropped stocks only have excessive trading volume on and right before the change day. These results indicate that investors can earn abnormal returns through public information, and invalidate the efficient market hypothesis. | en_US |
| dc.description.tableofcontents | 第壹章 緒論.................................1第一節 研究背景與動機........................1第二節 研究目的.............................3第三節 論文架構.............................4第貳章 文獻回顧.............................6第一節 成分股調整文獻回顧....................6第二節 研究方法文獻探討......................8第参章 研究設計.............................9第一節 研究樣本.............................9第二節 研究方法.............................9第肆章 實證結果與分析.......................16第一節 異常報酬............................16第二節 超額交易量...........................22第五章 結論與建議...........................24參考文獻...................................26附錄1 摩根台指與台灣50指數之比較.............29附錄2 台灣50指數成分股調整列表...............30附錄3 台灣50指數編製方式 31 附錄4 CUSUMS of Squared Residuals 34 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095351018 | en_US |
| dc.subject (關鍵詞) | 成分股變動 | zh_TW |
| dc.subject (關鍵詞) | 事件研究法 | zh_TW |
| dc.subject (關鍵詞) | 卡爾曼濾嘴法 | zh_TW |
| dc.subject (關鍵詞) | index revision | en_US |
| dc.subject (關鍵詞) | event study | en_US |
| dc.subject (關鍵詞) | Kalman filter | en_US |
| dc.subject (關鍵詞) | GARCH | en_US |
| dc.title (題名) | 台灣50指數成分股變動之價量效果 | zh_TW |
| dc.type (資料類型) | thesis | en |
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