政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/38416
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113451/144438 (79%)
Visitors : 51320201      Online Users : 878
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    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。
    英文參考文獻
    1. Ball, R. and Brown, P. (1968), “An Empirical Evaluation of Accounting Income Numbers,” Journal of Accounting Research 6, 159-177.
    2. Balsara, J. and Zheng, L. and Vidozzi, A. and Vidozzi, L. (2006), “Explaining Momentum Profits with an Epidemic Diffusion Model,” Journal of Economics & Finance, Fall2006, Vol. 30 Issue 3, 407-422.
    3. Barberis, N. and Shleifer, A. and Vishny, R. (1998), “A Model of Investor Sentiment,” Journal of Financial Economics 49, 307-343.
    4. Bernard,V. L. and Thomas, J. K. (1989), “Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?” Journal of Accounting Research, Supplement 27, 1-48.
    5. Cohen, L. and Frazzni, A. (2006), “Economic Links and Predictable Returns,” Yale University Working Paper <http://www.econ.yale.edu/~af227/pdf/cofraz.pdf>.
    6. Dickey, D.A. and Fuller, W.A. (1979), “Distribution of the Estimation For Autoregressive Time Series with a Unit Root,” Journal of American Statistical Association 74, 427-431.
    7. Ding, D.K and McInish, T.H. and Wongchoti, U. (2008), “Behavioral Explanations of Trading Volume and Short-Horizon Price Patterns: An Investigation of Seven Asia-Pacific Markets,” Pacific-Basin Finance Journal, Jun2008, 16(3), 183-203.
    8. Engle, R.F. and Granger, C.W. (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing,” Econometrics 2, 251-276.
    9. Fama, E. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, Vol.25, pp.383-417.
    10. Fama, E., and French, K. (1992), “The Cross-Section of Expected Stock Returns,” Journal of Finance 47, 427-65.
    11. Fama, E., and French, K. (1993), “Common Risk Factors In the Returns of Bonds and Stocks,” Journal of Finance 33, 3-56.
    12. Goetzmann, W and Massa, M. (2005), “Dispersion of Option and Stock Returns,” Journal of Financial Markets 8, 325-350.
    13. Granger, C.W.J. and Newbold, P. (1974), “Spurious Regressions in Econometrics,” Journal of Econometrics, 12, 111-120.
    14. Granger, C.W.J. (1981), “Some Properties of Time Series Data and Their Use in Econometric Model Specification,” Journal of Econometrics 16,121-130.
    15. Harris, M and Raviv, A. (1993), “Differences of Option Make a Horse Race,” Review of Financial Studies 6, 473-525.
    16. Hirshleifer, D. and Subrahmanyam, A. (1998), “Investor Psychology and Security Market Under-and Overreactions,” Journal of Finance 53, 1839-1886.
    17. Hirshleifer, D. and Teoh, S.H. (2003), “Limited Attention, Information Disclosure, and Financial Reporting,” Journal of Accounting and Economics 36, 337-386.
    18. Hong, H. and Torous, W. and Valkanov, R. (2007), “Do Industries Lead Stock Markets?” Journal of Financial Economics 83, 367-396.

    19. Hong, H. and Stein, J. (1999), “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,” Journal of Finance, Vol.54(6), 2143-2184.
    20. Hong, H. and Stein, J.（2007）, “Disagreement and the Stock Market”, Journal of Economic Perspective, 21(2), 109-128.
    21. Hou, K. (2007), “Industry Information Diffusion and the Lead-Lag Effect in Stock Returns,” Review of Financial Studies, 20(4), 1113-1138.
    22. Hou, K. and Peng, L. and Xiong, W (2006), “A Tale of Two Anomalies: the Implications of Investor Attention for Price and Earnings Momentum,” Working Paper, Ohio State University.
    23. Hou, K and Moskowitz, T.J. (2005), “Market Frictions, Price Delay, and the Cross-Section of Expected Returns,” Review of Financial Studies 18, 981–1020.
    24. Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control 12, 231-254.
    25. Johansen, S. and Juselius, K. (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 52, 169-210.
    26. Johansen, S. and Juselius, K. (1992), “Testing Structural Hypotheses in a Multivariate Cointergration Analysis of the PPP and the UIP for UK,” Journal of Econometrics 52,169-210.
    27. Kandel, E. and Pearson, N.D. (1995), “Differential Interpretation of Public Signals and Trade in Speculative Markets”, The Journal of Political Economy, Vol.6(3), 831-872.
    28. Lee, C.M.C. and Swaminathan, B. (2000), “Price Momentum and Trading Volume,” Journal of Finance, Vol(5), 2017-2069.
    29. Liu, T. K. (2006), “Information Technology, Knowledge Capital and Productivity with Spillovers,” Graduate Institution of Industrial Economics, National Central University, An unpublished doctoral dissertation.
    30. Menzly, L. and Ozbas, O. (2006), “Cross-Industry Momentum,” Unpublished Working Paper, <http://www.afajof.org:443/pdfs/2005program/UPDF/ P600_Asset_Pricing.pdf>.
    31. Miller, E. (1977), “Risk, Uncertainty and Divergence of Option,” Journal of Finance 32, 1151-1168.
    32. Moskowitz, T.J. and Grinblantt, M. (1999), “Do Industries Explain Momentum?” Journal of Finance, Vol (4), 1249-1990.
    33. Pan, J .and Poteshman, A.M. (2004), “The Information in Option Volume for Future Stock Prices,” Journal of Finance, Vol (12), 3-33.
    34. Peng, L. and Xiong, W. (2006), “Investor Attention, Overconfidence and Category Learning,” Journal of Financial Economics 80, 563-602.
    35. Said, S.E. and Dickey, D. (1984), “Testing for Unit Roots in Autoregressive-moving Average Models with Unknown Order,” Biometrica 71, 599-607.
    36. Sekeris, E., and Bolmatis, A. (2007), “Information Diffusion Based Explanations of Asset Princing Anomalies,” FRB of Boston Quantitative Analysis Unit Working Paper QAU07-6.
    37. Shleifer, A. (2000), “Inefficient Markets: An Introduction to Behavioral Finance,” Journal of Institutional and Theoretical Economics 158, 369-374.
    38. Solow, R. M. (1987), “We’d Better Watch Out,” New York Times (July 12), Book Review, 36.
    39. Toda, H.Y. and Phillips, P.C.B. (1993), “Vector Autoregressions and Causality,” Econometrica 61, 1367-1393.
    40. Toda, H.Y. and. Phillips, P.C.B (1994), “Vector Autoregressions and Causality: A Theoretical Overview and Simulation Study”, Econometric Reviews, 13,259-285.

    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:[Department of Money and Banking] Theses

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback