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題名 美國企業購併、股價及工業生產指數之共積與因果關係檢定
Cointegration and Causality Test among Mergers, Stock Price and Index of Industrial Production in the United States of America
作者 張秀雲
Chang, Hsiu-Yun
貢獻者 饒秀華<br>楊光華
Hsiu-hua Rao<br>Connie Gwang-Hwa Yang
張秀雲
Hsiu-Yun Chang
關鍵詞 美國企業購併
股價
工業生產指數
威廉法案
共積檢定
因果關係檢定
誤差修正模型
merger and acquisition
stock price
index of industrial production
Williams Act
cointegration test
causality test
error correction model
日期 1998
上傳時間 20-Apr-2016 17:15:31 (UTC+8)
摘要 本文使用共積檢定以及因果關係檢定方法，針對美國第三波購併風潮前後時期，檢定購併家數、股價及工業生產指數三個變數間的可預測性。不同以往的是，本文除了將購併風潮分段進行研究外，並以晚近由Hoornik 及Hendry（1997）以Johansen（1988）為基礎所發展的一套共積檢定法來檢定變數間的長期均衡關係，再以Toda and Phillips（1994）的因果關係檢定流程與SSW的因果關係檢定分別檢定出變數間的可預測性。
參考文獻 中文參考文獻：\r\n1. 王國蔘（1997），「企業購併之法律環境研究」，東海大學法律研究 所碩士論文。\r\n2. 張令慧（1992），「公司購併法律問題之研究：中美兩國對兩階段式公司購併之法律制度的比較」，東吳大學法律研究所碩士論文。\r\n3. 鄭旭凱（1993），「企業購併與總體經濟波動之研究：非恆定性間數列計量方法之應用」，國立政治大學國際貿易研究所碩士論文。\r\n4. 謝劍平（1997），「財務管理：新觀念與本土化」，智勝文化事業有限公司。\r\n\r\n英文參考文獻：\r\n1. Becketti, Seen（1986）, Corporate Mergers and the Business Cycle, ECONOMIC REVIEW [FEDERAL RESERVE BANK OF KANSAS CITY] (EKC), 71, 13-26.\r\n2. Beckenstein, Alan R.（1979）, Merger Activity and Merger Theories：an Empirical Investigation, ANTITRUST BULLETIN, 24, 105-128.\r\n3. Chowdhury, Abdur R.（1993）, Univariate Time-Series Behaviour of Merger Activity and its Various Components in the United States, APPLIED FINANCIAL ECONOMICS, 3, 61-66.\r\n4. Chung, Kwang S., and Weston, J. Fred（1982）, Diversification and Mergers in a Strategic Long-Range-Planning Framework, IN MERGERS AND ACQUISITIONS：CURRENT PROBLEMS IN PERSPECTIVE, ed. Michael Keenan and Lawrence J. White, 315-347.\r\n5. Clark, John J., Chakrabarti, Alok K. and Chiang, Thomas C.（1988）, Trend and Stochastic Movements in US Merger Activity, WELTWIRTSCHAFTLICHES ARCHIV（REVIEW OF WORLD ECONOMICS ）, 124, 6-19.\r\n6. Dickey, D. A. and Fuller, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 74, 427-431.\r\n7. DOORNIK, JURGEN A. AND HENDRY, DAVID F.（1997）, MODELLING DYNAMIC SYSTEMS USING PCFIML 9.0 FOR WINDOWS.\r\n8. Engle, Robert F. and Granger, C. W. J. (1987), Co-integration and Error Correction：Representation, Estimation, and Testing, ECONOMETRICA, 55, 251-276.\r\n9. GAUGHAN, PATRICK A., MERGERS & ACQUISITION（1991）.\r\nGeroski, P. A.（1984）, On the Relationship Between Aggregate Merger Activity and the Stock Market, EUROPEAN ECONOMIC REVIEW, 25, 223-233.\r\n10. GILSON, RONALD J. THE LAW AND FINANCE CORPORATE ACQUISITIONS（1986）.\r\n11. Golbe, Devra V. and White, Lawrence J.（1988）, A Time-Series Analysis of Mergers and Acquisitions in the U.S. Economy, in Allan J. Auerbach（ed.）, CORPORATE TAKEOVERS：CAUSES AND CONSEQUENCES, Chicago：University of Chicago Press, 265-302.\r\n12. Gort, M.（1969）, An Economic Disturbance Theory of Mergers, QUARTERLY JOURNAL OF ECONOMICS, 83, 624-642.\r\n13. Granger, C. W. J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, ECONOMETRICA, 37, 424-438.\r\n14. Guerard, John B., Jr.（1985）, Mergers, Stock Prices, and Industrial Production：An Empirical Test of the Nelson Hypothesis, in O.D. Anderson, ed., TIME SERIES ANALYSIS：THEORY AND PRACTICE, Amsterdam：Elsevier, 7, 239-247.\r\n15. Guerard, John B., Jr.（1989）, Mergers, Stock Prices, and Industrial Production：Further Evidence, ECONOMICS LETTERS, 30, 161-164.\r\n16. HALL, ROBERT E., DAVID M. LILIEN, GLENN SUEYOSHI, ROBERT ENGLE, JACK JOHNSTON AND SCOTT ELLSWORTH（1995）, EVIEWS USER GRIDE：ECONOMETRIC VIEWS FOR WINDOWS AND THE MACINTOSH.\r\n17. Haque, M., Harnhirun, S. and Shapiro, D.（1995）, A Time Series Analysis of Causality Between Aggregate Merger and Stock Prices：The Case of Canada, APPLIED ECONOMICS, 27, 563-568.\r\n18. Johansen, Soren（1988）, Statistical Analysis of Cointegrtion Vectors, JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, 12, 231-254.\r\n19. Johansen, Soren (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, ECONOMETRICA, 59, 1551-1580.\r\n20. Johansen, Soren and Juselius, Katarina (1990), Maximum Likelihood Estimation and Inferences on Cointegration-With Applications to the Demand for Money, OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 52, 169-110.\r\n21. Melicher, Ronald W., Ledolter, Johannes and D`Antonio, Louis J. （1983）, A Time Series Analysis of Aggregate Merger Activity, REVIEW OF ECONOMICS AND STATISTIC, 65, 423-429.\r\n22. Nelson, Ralph L.（1959）, Merger movement in American Industry, 1895-1920`, in Merger Movements in American Industry, 1895-1956, PRINCETON, NJ：PRINCETON UNIVERSITY PRESS, 3-6 and 33-70.\r\n23. Nelson, Ralph L.（1966）, Business Cycle Factors in the Choice between Internal and External Growth, IN THE CORPORATE MERGER, ed. WILLIAM W. ALPERTS AND JOEL E. SEGALL, 52-66. Chicago：University of Chicago Press.\r\n24. Schipper, Katherine & Thompson, Rex , Evidence on the Value of Merger Activity, JOURNAL OF FINANCIAL ECONOMICS 11, 85-119（1983）.\r\n25. Sephton, Peter S. and Larsen, Hans K.（1991）, Tests of Exchange Market Efficiency：Fragile Evidence form Cointegration Tests, JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 10, 561-570.\r\n26. Shugart, William F. and Tollison, Robert D.（1984）, The Random Character of Merger Activity, THE RAND JOURNAL OF ECONOMICS 15, 500-509.\r\n27. Sims, C. A., Stock, J. H. and Watson, M.W.（1990）, Inference in Linear Time Series Models with Some Unit Roots, ECONOMETRICA 58, 113-144.\r\n28. STEINER, PETER O.（1975）, MERGERS：MOTIVES, EFFECTS, POLICIES. Ann Arbor：University of Michigan Press.\r\nToda, Hiro Y. and Peter C. B. Phillips（1994）, Vector Autoregression and Causality：A Theoretical Overview and Simulation Study, ECONOMETRIC REVIEWS, 13, 259-285.\r\n29. Tsukuda, Yoshihiko and Miyakoshi, Tatsuyoshi（1998）, Granger Causality Between Money and Income for the Japanese Economy in the Presence of a Structural Change, THE JAPANESE ECONOMIC REVIEW, 49, 191-209.
描述 碩士
國立政治大學
國際經營與貿易學系
86351009
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001508
資料類型 thesis
dc.contributor.advisor 饒秀華<br>楊光華zh_TW
dc.contributor.advisor Hsiu-hua Rao<br>Connie Gwang-Hwa Yangen_US
dc.contributor.author (Authors) 張秀雲zh_TW
dc.contributor.author (Authors) Hsiu-Yun Changen_US
dc.creator (作者) 張秀雲zh_TW
dc.creator (作者) Chang, Hsiu-Yunen_US
dc.date (日期) 1998en_US
dc.date.accessioned 20-Apr-2016 17:15:31 (UTC+8)-
dc.date.available 20-Apr-2016 17:15:31 (UTC+8)-
dc.date.issued (上傳時間) 20-Apr-2016 17:15:31 (UTC+8)-
dc.identifier (Other Identifiers) B2002001508en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=95879-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 86351009zh_TW
dc.description.abstract (摘要) 本文使用共積檢定以及因果關係檢定方法，針對美國第三波購併風潮前後時期，檢定購併家數、股價及工業生產指數三個變數間的可預測性。不同以往的是，本文除了將購併風潮分段進行研究外，並以晚近由Hoornik 及Hendry（1997）以Johansen（1988）為基礎所發展的一套共積檢定法來檢定變數間的長期均衡關係，再以Toda and Phillips（1994）的因果關係檢定流程與SSW的因果關係檢定分別檢定出變數間的可預測性。zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001508en_US
dc.subject (關鍵詞) 美國企業購併zh_TW
dc.subject (關鍵詞) 股價zh_TW
dc.subject (關鍵詞) 工業生產指數zh_TW
dc.subject (關鍵詞) 威廉法案zh_TW
dc.subject (關鍵詞) 共積檢定zh_TW
dc.subject (關鍵詞) 因果關係檢定zh_TW
dc.subject (關鍵詞) 誤差修正模型zh_TW
dc.subject (關鍵詞) merger and acquisitionen_US
dc.subject (關鍵詞) stock priceen_US
dc.subject (關鍵詞) index of industrial productionen_US
dc.subject (關鍵詞) Williams Acten_US
dc.subject (關鍵詞) cointegration testen_US
dc.subject (關鍵詞) causality testen_US
dc.subject (關鍵詞) error correction modelen_US
dc.title (題名) 美國企業購併、股價及工業生產指數之共積與因果關係檢定zh_TW
dc.title (題名) Cointegration and Causality Test among Mergers, Stock Price and Index of Industrial Production in the United States of Americaen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文參考文獻：\r\n1. 王國蔘（1997），「企業購併之法律環境研究」，東海大學法律研究 所碩士論文。\r\n2. 張令慧（1992），「公司購併法律問題之研究：中美兩國對兩階段式公司購併之法律制度的比較」，東吳大學法律研究所碩士論文。\r\n3. 鄭旭凱（1993），「企業購併與總體經濟波動之研究：非恆定性間數列計量方法之應用」，國立政治大學國際貿易研究所碩士論文。\r\n4. 謝劍平（1997），「財務管理：新觀念與本土化」，智勝文化事業有限公司。\r\n\r\n英文參考文獻：\r\n1. Becketti, Seen（1986）, Corporate Mergers and the Business Cycle, ECONOMIC REVIEW [FEDERAL RESERVE BANK OF KANSAS CITY] (EKC), 71, 13-26.\r\n2. Beckenstein, Alan R.（1979）, Merger Activity and Merger Theories：an Empirical Investigation, ANTITRUST BULLETIN, 24, 105-128.\r\n3. Chowdhury, Abdur R.（1993）, Univariate Time-Series Behaviour of Merger Activity and its Various Components in the United States, APPLIED FINANCIAL ECONOMICS, 3, 61-66.\r\n4. Chung, Kwang S., and Weston, J. Fred（1982）, Diversification and Mergers in a Strategic Long-Range-Planning Framework, IN MERGERS AND ACQUISITIONS：CURRENT PROBLEMS IN PERSPECTIVE, ed. Michael Keenan and Lawrence J. White, 315-347.\r\n5. Clark, John J., Chakrabarti, Alok K. and Chiang, Thomas C.（1988）, Trend and Stochastic Movements in US Merger Activity, WELTWIRTSCHAFTLICHES ARCHIV（REVIEW OF WORLD ECONOMICS ）, 124, 6-19.\r\n6. Dickey, D. A. and Fuller, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 74, 427-431.\r\n7. DOORNIK, JURGEN A. AND HENDRY, DAVID F.（1997）, MODELLING DYNAMIC SYSTEMS USING PCFIML 9.0 FOR WINDOWS.\r\n8. Engle, Robert F. and Granger, C. W. J. (1987), Co-integration and Error Correction：Representation, Estimation, and Testing, ECONOMETRICA, 55, 251-276.\r\n9. GAUGHAN, PATRICK A., MERGERS & ACQUISITION（1991）.\r\nGeroski, P. A.（1984）, On the Relationship Between Aggregate Merger Activity and the Stock Market, EUROPEAN ECONOMIC REVIEW, 25, 223-233.\r\n10. GILSON, RONALD J. THE LAW AND FINANCE CORPORATE ACQUISITIONS（1986）.\r\n11. Golbe, Devra V. and White, Lawrence J.（1988）, A Time-Series Analysis of Mergers and Acquisitions in the U.S. Economy, in Allan J. Auerbach（ed.）, CORPORATE TAKEOVERS：CAUSES AND CONSEQUENCES, Chicago：University of Chicago Press, 265-302.\r\n12. Gort, M.（1969）, An Economic Disturbance Theory of Mergers, QUARTERLY JOURNAL OF ECONOMICS, 83, 624-642.\r\n13. Granger, C. W. J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, ECONOMETRICA, 37, 424-438.\r\n14. Guerard, John B., Jr.（1985）, Mergers, Stock Prices, and Industrial Production：An Empirical Test of the Nelson Hypothesis, in O.D. Anderson, ed., TIME SERIES ANALYSIS：THEORY AND PRACTICE, Amsterdam：Elsevier, 7, 239-247.\r\n15. Guerard, John B., Jr.（1989）, Mergers, Stock Prices, and Industrial Production：Further Evidence, ECONOMICS LETTERS, 30, 161-164.\r\n16. HALL, ROBERT E., DAVID M. LILIEN, GLENN SUEYOSHI, ROBERT ENGLE, JACK JOHNSTON AND SCOTT ELLSWORTH（1995）, EVIEWS USER GRIDE：ECONOMETRIC VIEWS FOR WINDOWS AND THE MACINTOSH.\r\n17. Haque, M., Harnhirun, S. and Shapiro, D.（1995）, A Time Series Analysis of Causality Between Aggregate Merger and Stock Prices：The Case of Canada, APPLIED ECONOMICS, 27, 563-568.\r\n18. Johansen, Soren（1988）, Statistical Analysis of Cointegrtion Vectors, JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, 12, 231-254.\r\n19. Johansen, Soren (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, ECONOMETRICA, 59, 1551-1580.\r\n20. Johansen, Soren and Juselius, Katarina (1990), Maximum Likelihood Estimation and Inferences on Cointegration-With Applications to the Demand for Money, OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 52, 169-110.\r\n21. Melicher, Ronald W., Ledolter, Johannes and D`Antonio, Louis J. （1983）, A Time Series Analysis of Aggregate Merger Activity, REVIEW OF ECONOMICS AND STATISTIC, 65, 423-429.\r\n22. Nelson, Ralph L.（1959）, Merger movement in American Industry, 1895-1920`, in Merger Movements in American Industry, 1895-1956, PRINCETON, NJ：PRINCETON UNIVERSITY PRESS, 3-6 and 33-70.\r\n23. Nelson, Ralph L.（1966）, Business Cycle Factors in the Choice between Internal and External Growth, IN THE CORPORATE MERGER, ed. WILLIAM W. ALPERTS AND JOEL E. SEGALL, 52-66. Chicago：University of Chicago Press.\r\n24. Schipper, Katherine & Thompson, Rex , Evidence on the Value of Merger Activity, JOURNAL OF FINANCIAL ECONOMICS 11, 85-119（1983）.\r\n25. Sephton, Peter S. and Larsen, Hans K.（1991）, Tests of Exchange Market Efficiency：Fragile Evidence form Cointegration Tests, JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 10, 561-570.\r\n26. Shugart, William F. and Tollison, Robert D.（1984）, The Random Character of Merger Activity, THE RAND JOURNAL OF ECONOMICS 15, 500-509.\r\n27. Sims, C. A., Stock, J. H. and Watson, M.W.（1990）, Inference in Linear Time Series Models with Some Unit Roots, ECONOMETRICA 58, 113-144.\r\n28. STEINER, PETER O.（1975）, MERGERS：MOTIVES, EFFECTS, POLICIES. Ann Arbor：University of Michigan Press.\r\nToda, Hiro Y. and Peter C. B. Phillips（1994）, Vector Autoregression and Causality：A Theoretical Overview and Simulation Study, ECONOMETRIC REVIEWS, 13, 259-285.\r\n29. Tsukuda, Yoshihiko and Miyakoshi, Tatsuyoshi（1998）, Granger Causality Between Money and Income for the Japanese Economy in the Presence of a Structural Change, THE JAPANESE ECONOMIC REVIEW, 49, 191-209.zh_TW