臺灣博碩士論文加值系統

本研究主旨在探討，即使基本面沒有傳達新的訊息，金融指數也會經由投資人資金成本差異的影響產生巨幅波動，也就是探討投資人資金成本差異是否可有效解釋金融指數的波動性。以AR（1）-GARCH（1,1）模型作為股價指數的基準模型，估算金融類股指數的波動性。實證結果發現不論在簡單迴歸或是複迴歸的模型，只要模型納入投資人資金成本差異為解釋變數，該模型就會存在序列相關的現象，即使考慮Granger因果關係，仍無法去除序列相關的現象。因此，本研究認為尋找更合適的替代變數，並且有效的衡量小額投資人的資金成本，是後續研究者可深入探究的重要課題。

The main purpose of this study is to investigate whether investor's differential cost of funds can affect the volatility of stock prices even if fundamental factors stay put. In other words, it examines whether investor's differential cost of funds can explain the volatility of financial index. AR（1）-GARCH（1,1） Model was adopted to estimate the volatility of financial index. The empirical results indicate that as long as empirical models contain investor's differential cost of funds as an explanatory dependent variable, it would result in serial correlation. Even taking Granger causality correlation into consideration, the models still have the problem of serial correlation. The results seem to suggest the latter researchers seek more appropriate proxy variables to assess individual investor's cost of funds.

目 錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻探討 4
第一節 流動性交易與資產價格波動 5
第二節 雜訊交易者與資產價格波動 6
第三節 保證金制度與資產價格波動 6
第四節 資金成本與資產價格波動 8
第五節 探討股價波動性的相關文獻 11
第三章 研究設計 13
第一節 研究流程 13
第二節 單根檢定 14
第三節 ARCH效應 17
第四節 GARCH模型 18
第五節 因果關係之檢定 22
第四章 實證結果與分析 24
第一節 資料來源與處理 24
第二節 基本分析 26
第三節 單根檢定 29
第四節 ARCH效應檢定 32
第五節 GARCH模型估計金融類指波動性 33
第六節 金融指數波動與單季每股盈餘的迴歸分析 36
第七節 金融指數波動與投資人資金成本的迴歸分析 37
第八節 Granger因果檢定 40
第九節 考慮領先落後關係下的迴歸分析 45
第五章 結論與建議 47
第一節 結論 47
第二節 後續研究的建議 49
參考文獻 50

表 次
表4.1-1變數定義 24
表4.2-1原始資料的基本統計特性 27
表4.3-1金融類股指數【SP】的單根檢定 29
表4.3-2單季每股盈餘【EPS】的單根檢定 29
表4.3-3資金成本差異【DCF】的單根檢定 30
表4.3-4金融類股指數【TSP】的單根檢定 30
表4.3-5資金成本差異【TDCF】的單根檢定 30
表4.4-1殘差項序列相關之檢定 32
表4.5-1 AR(1)-GARCH(1,1)模型估計結果 34
表4.6-1單季每股盈餘【EPS】對金融類指波動的迴歸分析結果 36
表4.7-1資金成本差異【TDCF】對金融指數波動的迴歸分析結果 37
表4.7-2單季每股盈餘、資金成本差異對金融指數波動迴歸分析結果 38
表4.8-1金融指數波動性與單季每股盈餘【EPS】的Granger檢定 42
表4.8-2 金融指數波動性與投資人資金成本差異【TDCF】的Granger檢定 44
表4.9-1考慮領先落後關係下的迴歸分析 45

圖 次
圖1.3-1研究架構圖 3
圖3.1-1研究流程圖 13
圖4.2-1金融類股指數的走勢 26
圖4.2-2金融類股單季每股盈餘的走勢 26
圖4.2-3投資人資金成本差異的走勢 27
圖4.8-1金融指數波動與單季每股盈餘的交叉相關函數 40
圖4.8-2金融指數波動性與投資人資金成本差異的相關函數 41

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