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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86972


    Title: 外資買賣短期市場衝擊與長期績效之研究
    Authors: 田慧琦
    Contributors: 郭炳伸
    林修葳

    田慧琦
    Keywords: 外資買賣
    長期績效
    Date: 1996
    Issue Date: 2016-04-28 09:19:39 (UTC+8)
    Abstract: 本研究主要討論外資買賣對市場短期衝擊及外資長期績效的評估。在短期市場衝擊部分,利用VAR模型檢定外資買賣超對股市報酬率的影響,並以GARCH模型,檢定外資買賣超波動是否顯著影響股市波動。在評估外資投資表現方面,本文不僅就外資額著增減所投資個股持股比率時,觀察買入與賣出個股前、後的平均累積報酬率變動情形,對應外資可能的投資期長衡量其擇股及擇時能力,同時,亦針對外資投資對象的規模加以區分,檢測外資的投資表現是否因個股規模而異。
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    84351019
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002389
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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