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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94757


    Title: 運用半參數平滑係數分量廻歸法探討產業與股市大盤間資訊傳遞速度
    Using Semiparametric Smooth Coefficient Quantile Regression Model to Analyze the Information Diffusion between Industries and Stock Markets
    Authors: 楊國偉
    Yang, Kuo-Wei
    Contributors: 黃台心
    楊國偉
    Yang, Kuo-Wei
    Keywords: 效率市場
    行為財務學
    半參數平滑係數分量廻歸模型
    資訊緩慢擴散
    Date: 2009
    Issue Date: 2016-05-09 11:46:56 (UTC+8)
    Abstract: 傳統財務理論認為市場具有效率，在投資者具有理性且追求最大效用的假設下，股價應能迅速且完全的反應所有資訊，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。
    本文使用半參數平滑係數分量廻歸模型，利用1988至2007最近20年的月資料，檢視G7各國在不同大盤表現分量上，不同產業股價超額報酬率，是否造成總體經濟指標對大盤未來超額報酬率的邊際影響有所不同？藉以了解各國在不同股市報酬率分量上的資訊傳遞速度與彼此間的差異。此外，利用半參數平滑係數分量廻歸模型，亦可觀察產業超額報酬率如何直接影響未來大盤超額報酬率，不但較傳統最小平方法（ordinary least squares, OLS）更富有彈性，也能觀察在不同分量上的變化情形。
    本文發現美國各產業超額報酬率，對未來大盤超額報酬率的直接或間接影響，在不同大盤表現分量上呈現很大差異，未來大盤超額報酬率皆明顯隨著產業超額報酬率的改變而變動；至於其他六國，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。
    In this paper, we use semiparametric smooth coefficient quantile regression model to analyze the information diffusion between industries and stock markets. Under different quantile of stock market performances, we examine whether the returns of industry portfolios cause macroeconomic indicator to affect the future stock market performance marginally using data on monthly returns to G7 industry portfolios for the years between 1988 and 2007. We find that the returns of industry portfolios in USA affect the future stock market performance directly or indirectly which display much variously. Moreover, the other counties of G7 also have the same situation. Hence, these findings indicate that investors are unable to understand the influence of industry shocks on macroeconomic activities and information diffuses across investors in different markets only gradually.
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    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. 陳建良（2007），「台灣公私部門工資差異的擬真分解-分量迴歸分析」，經濟論文，35：4，473-520。
    4. 陳建良、管中閔（2006），「台灣工資函數與工資性別歧視的分量迴歸分析」，中央研究院經濟研究所經濟論文，34，435-468。
    5. 莊家彰（2003），「分量迴歸在報酬率和成交量關係的應用-以台灣股匯市為例」，國立台北商業技術學院學報，第六期，121-139。
    6. 曾雅茹（2004），「股票報酬與財務比率、總體經濟因素之關聯性：分量迴歸法之研究」，中國文化大學經濟學研究所碩士論文。
    Description: 碩士
    國立政治大學
    金融研究所
    94352009
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094352009
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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