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    Title: 內部人交易行為對股票報酬之影響--門檻模型之運用
    Authors: 蔡禮聰
    Contributors: 沈中華
    蔡禮聰
    Keywords: 門檻自我迴歸模型
    馬可夫轉換模型
    搜尋法
    狀態變數
    群聚效果
    Threshold Autoregression Model
    Markov Switching Model
    Grid Search Method
    State Variable
    Herding Effect
    Date: 2004
    Issue Date: 2009-09-14 09:33:06 (UTC+8)
    Abstract: 本研究採用門檻迴歸模型 (Threshold Autoregression Model)，試圖找出董監事等內部人之申報轉讓比率、持股比率及質押比率等門檻值，進而分析門檻值以內及以外，指標對於代理變數：融資成長率、營收成長率以及本益比與加權指數報酬率的影響程度與方向。本研究實證結果發現：
    一、在申報轉讓比率方面：
    當申報轉讓比率低於門檻值，存在所謂的群聚效果。當申報轉讓比率高於門檻值時，市場動能與加權指數報酬率無顯著關係，投資人於此階段進行投資決策時應該要謹慎小心。
    二、在持股比率方面：
    在持股比率低於門檻值時，加權指數報酬率對於前期營收成長率表現的修正幅度較大，意謂著董監事等內部人根據其對未來營收資訊掌握的優勢，反應其對營收資訊的真實性，而藉由持股轉讓的行為，使加權指數大幅度的修正。
    三、在質押比率方面：
    不管高於或低於門檻值，均無法利用董監事等內部人質押比率為門檻變數來分析本益比效果對加權指數報酬率的影響。造成其檢定失效的原因，可能是樣本小且模型受到極端值的影響所造成。
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    Description: 碩士
    國立政治大學
    金融研究所
    91352030
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913520301
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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