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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/86972

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:	[Department of International Business] Theses

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