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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/38416


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/38416


    Title: 運用向量誤差修正模型探討產業與股市大盤間資訊傳遞速度
    Authors: 楊淳如
    Yang, Chun Ju
    Contributors: 黃台心
    楊淳如
    Yang, Chun Ju
    Keywords: 效率市場
    行為財務學
    行為財務學
    誤差修正模型
    資訊緩慢擴散
    Date: 2009
    Issue Date: 2010-04-09 14:48:13 (UTC+8)
    Abstract: 傳統財務理論認為市場具有效率，在投資人理性且追求最大效用的假設下，股價應能立即且完整的反應所有資訊，但近年來許多學者研究發現一些違反傳統定價理論和效率市場的實證結果。為解釋上述傳統定價理論無法解釋的異常現象，以心理學對投資人決策過程的研究成果為基礎，重新檢視整體市場價格的行為財務學便獲得重視。
    本研究以1988年至2007年間，亞洲四小龍(台灣、香港、新加坡、南韓)與四小虎(泰國、菲律賓、馬來西亞、印尼)等八國大盤與各產業股價資料檢視：（1）產業股價報酬率是否直接影響大盤未來報酬率；（2）產業股價報酬率是否透過總體經濟指標，影響大盤未來報酬率。主要實證研究方法採用誤差修正模型，相較於最小平方法，此模型可以避免假性迴歸之情形，同時考慮多個變數間的長期均衡關係與短期動態調整。除可以直接分析產業股價報酬率對大盤未來報酬率的影響，亦可利用因果關係檢定探討產業股價報酬率如何透過總體經濟指標，影響大盤未來超額報酬率，即間接影響效果。
    本文發現台灣部分產業報酬率，對未來大盤超額報酬率具有直接或間接影響；至於其他七國，亦有相似情況，顯示投資人無法即時解讀產業資訊對未來總體經濟的影響，導致產業資訊於產業與大盤間緩慢擴散。
    Reference: 中文參考文獻
    1. 王名韡（2008），「由產業是否領先大盤探討台股市場的資訊傳遞速度」，淡江大學經濟學系研究所碩士論文。
    2. 周賓凰、張宇志與林美珍（2007），「投資人情緒與股票報酬互動關係」，證券市場發展季刊，Vol.19（2），153-190。
    3. 黃台心(2002)，「出口與經濟成長的因果關係:台灣的實證研究」，經濟論文叢刊，Vol.30（4），465-490。
    4. 楊景惠（2003），「金融風暴的狙擊對美國與東亞各國股匯市之長、短期連動關係之研究」，國立成功大學管理學院高階管理碩士在職專班碩士論文。
    5. 游智賢與賴育志（2002），「資訊傳遞與投資人關注程度之探討」，證券市場發展季刊，Vol.14（2），71-131。
    6. 廖國源（2002），「台灣與美國股市動態關聯性之傳遞效果研究」，國立高雄第一科技大學財務管理學系研究所碩士論文。
    7. 陳志祥（2002），「亞洲單一貨幣最適目標區建構與貨幣政策關連性研究」，中原大學企業管理學系研究所碩士論文。
    8. 段光齡（2000），「美國、日本與亞洲四小龍之股市相關分析」，國立台北大學經濟學系研究所碩士論文。
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    Description: 碩士
    國立政治大學
    金融研究所
    96352018
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096352018
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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