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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/85894
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85894


    Title: 台灣股價指數之研究與預測
    Taiwan stock index research and forecasting
    Authors: 鄧之昌
    Dern, Dean
    Contributors: 鄭天澤
    Jeng, Tian-Tzer
    鄧之昌
    Dern, Dean
    Keywords: 轉換函數模式
    Transfer function model
    MAPE
    RMSPE
    Date: 1998
    Issue Date: 2016-04-21 09:55:12 (UTC+8)
    Abstract: 本文主要是利用時間數列中的轉換函數模式對國內的成交量與成交價、美國道瓊工業平均指數與台灣發行量加權股價指數及NASDAQ 指數與台灣電子類股進行研究與預測,除了找出適當的預測模式外,同時可以看出世界的經貿大國-美國對台灣所造成的影響,也可以針對"量是否先價而行"的說法加以應証。
    The article utilizes the transfer function model in time series to make prediction on closing volume with closing value of the stock market, the American Dow Jones average index with the index of Taiwan stock market index, NASDAQ index with Taiwan electronic stock. In additional to discovering the appropriate prediction model, we can simultaneously see the influence of America with great economic power on Taiwan and how the concept that the volume determines the value is verified.
    Reference: 1、Bruce, L. B., and Richard, T. O. (1993), Forecasting and Time
    Series (3rd ed.), U.S.A: Wadsworth.
    2、Box, G. E. P., Jenkins, J. M., and Reinsel, G. C. (1994),
    Time Series Analysis Forecasting and Control (3rd ed.),
    U.S.A: Prentice-Hall.
    3、Maldonado, R., and Anthony, S. (1978), "International
    Portfolio Diversification and the Intertemporal Stability
    of International Stock Market Relationships," Financial
    Management, 54-63.
    4、Maridakis, S. G., and Wheelwright, S. C.(1974),"An Analysis
    of the Interrelationships Among the Major World Stock
    Exchanges," Journal of Business Finance and Accounting,
    195-215.
    5、Ripley, D. M.,(1973),"Systematic Elements in the Linkage of
    National Stock Market Indices," The Review of Economic and
    Statistics, 356-361.
    6、Schollhammer, H., and Sand, O.(1985), "The Interdependence
    Among the Stock Markets of Major European Countries and the
    United States:An Empirical Investigation of
    Interrelationships Among National Stock Price Movements,"
    Management International Review, 17-26.
    7、杜元隆,(民81), "國際股票市場股價指數關係之實證研究", 國
    立台灣大學財務金融學研究所碩士論文.
    8、李毓珣,(民79), "國際股市股價指數關係之實証研究", 國立台
    灣大學商學研究所碩士論文.
    9、吳柏林,(民84), "時間數列分析導論", 華泰書局, 台北.
    10、林茂文,(民81), "時間數列分析與預測", 華泰書局, 台北.
    11、陳東明,(民80),"台股市場價量關係之實証研究", 國立台灣大
    學商學研究所碩士論文.
    12、陳立國,(民82), "台股價量關係之研究", 國立台灣大學財務金
    融學研究所碩士論文.
    13、楊茲敦,(民85), "台灣股價指數預測線之應用-ARIMA模型", 私
    立淡江大學數學研究所碩士論文.
    14、趙坤芳,(民84), "SAS統計圖形", 儒林書局, 台北.
    15、鄭天澤、時巧煒,(民84), "來華觀光旅客需求預測模式比較分
    析", 國立政治大學統計研究所技術報告.
    16、謝淑如,(民82), "連續性ARIMA轉移函數與季節性ARIMA轉移
    函數之運用及其整合", 國立政治大學統計研究所碩士論文.
    Description: 碩士
    國立政治大學
    統計學系
    86354009
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001565
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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