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    Title: 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
    Authors: 張秀雲
    Chang, Hsiu-Yun
    Contributors: 饒秀華
    楊光華

    Hsiu-hua Rao
    Connie Gwang-Hwa Yang

    張秀雲
    Hsiu-Yun Chang
    Keywords: 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
    Date: 1998
    Issue Date: 2016-04-20 17:15:31 (UTC+8)
    Abstract: 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。
    Reference: 中文參考文獻:
    1. 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。
    2. 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。
    3. 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。
    4. 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。

    英文參考文獻:
    1. Becketti, Seen(1986), Corporate Mergers and the Business Cycle, ECONOMIC REVIEW [FEDERAL RESERVE BANK OF KANSAS CITY] (EKC), 71, 13-26.
    2. Beckenstein, Alan R.(1979), Merger Activity and Merger Theories:an Empirical Investigation, ANTITRUST BULLETIN, 24, 105-128.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. DOORNIK, JURGEN A. AND HENDRY, DAVID F.(1997), MODELLING DYNAMIC SYSTEMS USING PCFIML 9.0 FOR WINDOWS.
    8. Engle, Robert F. and Granger, C. W. J. (1987), Co-integration and Error Correction:Representation, Estimation, and Testing, ECONOMETRICA, 55, 251-276.
    9. GAUGHAN, PATRICK A., MERGERS & ACQUISITION(1991).
    Geroski, P. A.(1984), On the Relationship Between Aggregate Merger Activity and the Stock Market, EUROPEAN ECONOMIC REVIEW, 25, 223-233.
    10. GILSON, RONALD J. THE LAW AND FINANCE CORPORATE ACQUISITIONS(1986).
    11. 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.
    12. Gort, M.(1969), An Economic Disturbance Theory of Mergers, QUARTERLY JOURNAL OF ECONOMICS, 83, 624-642.
    13. Granger, C. W. J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, ECONOMETRICA, 37, 424-438.
    14. 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.
    15. Guerard, John B., Jr.(1989), Mergers, Stock Prices, and Industrial Production:Further Evidence, ECONOMICS LETTERS, 30, 161-164.
    16. 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.
    17. 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.
    18. Johansen, Soren(1988), Statistical Analysis of Cointegrtion Vectors, JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, 12, 231-254.
    19. Johansen, Soren (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, ECONOMETRICA, 59, 1551-1580.
    20. 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.
    21. 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.
    22. 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.
    23. 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.
    24. Schipper, Katherine & Thompson, Rex , Evidence on the Value of Merger Activity, JOURNAL OF FINANCIAL ECONOMICS 11, 85-119(1983).
    25. 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.
    26. Shugart, William F. and Tollison, Robert D.(1984), The Random Character of Merger Activity, THE RAND JOURNAL OF ECONOMICS 15, 500-509.
    27. 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.
    28. STEINER, PETER O.(1975), MERGERS:MOTIVES, EFFECTS, POLICIES. Ann Arbor:University of Michigan Press.
    Toda, Hiro Y. and Peter C. B. Phillips(1994), Vector Autoregression and Causality:A Theoretical Overview and Simulation Study, ECONOMETRIC REVIEWS, 13, 259-285.
    29. 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.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    86351009
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001508
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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