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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 20-四月-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 Yang en_US dc.contributor.author (作者) 張秀雲 zh_TW dc.contributor.author (作者) Hsiu-Yun Chang en_US dc.creator (作者) 張秀雲 zh_TW dc.creator (作者) Chang, Hsiu-Yun en_US dc.date (日期) 1998 en_US dc.date.accessioned 20-四月-2016 17:15:31 (UTC+8) - dc.date.available 20-四月-2016 17:15:31 (UTC+8) - dc.date.issued (上傳時間) 20-四月-2016 17:15:31 (UTC+8) - dc.identifier (其他 識別碼) B2002001508 en_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) 86351009 zh_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/#B2002001508 en_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 acquisition en_US dc.subject (關鍵詞) stock price en_US dc.subject (關鍵詞) index of industrial production en_US dc.subject (關鍵詞) Williams Act en_US dc.subject (關鍵詞) cointegration test en_US dc.subject (關鍵詞) causality test en_US dc.subject (關鍵詞) error correction model en_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 America en_US dc.type (資料類型) thesis en_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
