臺灣博碩士論文加值系統

摘 要
為了克服傳統CCAPM檢定模型中未先行檢定市場為完全整合之假設與易遭受聯合假設檢定之問題，本文擬以參數型熵理論評價模型為基礎，再應用Kullback-Leibler資訊準則下漸近卡方分配以檢定國內金融市場之整合程度，並據此結果進一步檢定CCAPM。在實證資料方面，本研究採用集中市場之類股指數資料與消費資料。
根據市場內部整合實證結果顯示集中市場，金融電子市場與傳統產業市場皆為一完全整合的金融市場。更進一步的CCAPM檢定結果顯示無論是在集中市場，金融電子市場或傳統產業市場中，若某一經濟體系相對為風險愛好與風險中立者，無法棄卻CCAPM成立的虛無假設。若某一經濟體系相對為風險規避者，則當風險規避程度較低時，無法棄卻CCAPM成立的虛無假設，但當風險規避程度較高時，則可棄卻CCAPM。隨著使用之消費資料之不同，實證結果亦顯示CCAPM較易適用於多元化民間消費種類之經濟體系中。
若更進一步比較集中市場與金融電子及傳統產業市場之檢定結果，我們可發現相對於整體集中市場，CCAPM較不適用於金融電子及傳統產業市場之經濟體系。究其原因可能為金融電子及傳統產業市場所包含之風險性資產較整體集中市場為少，較不易達到風險分散之效果。

An Entropic Test of Consumption-based Capital Asset Pricing Model:
The Case of Power Utility Function
Keywords: entropy, CCAPM, pricing, KLIC, integration, power utility function
The purpose of this study is to propose an alternative test of consumption-based capital asset pricing model (CCAPM) under the entropy pricing framework. The advantage of the proposed test is that it provides the preliminary test for the implicit assumption that all the assets used in an econometric analysis should be in a perfectly integrated market. After passing the integration test, we conduct the entropic CCAPM test for the power utility function. The quarterly stock indices and consumption data are employed in this study. There are two measures of the consumption data, i.e., nondurables and nondurables and services.
The empirical results show that in the relatively risk loving and risk neutral economy, the CCAPM could not be rejected. Under the relatively risk averse economy, the CCAPM could not be rejected when the degree of relative risk aversion is low. However, the CCAPM would be rejected when the degree of relative risk aversion is high. On the other hand, the CCAPM relatively holds in the economy that includes more risky assets.

目 錄
第壹章 緒論
第一節 研究背景與動機…………………………………………….1
第二節 研究問題與目的…………………………………………….2
第三節 研究設計與步驟…………………………………………….2
第四節 本文架構……………………………………………………2
第貳章 文獻探討
第一節 消費基礎制資本資產訂價模……………………………..5
第二節 熵理論 …………………………………………………..14
第參章 研究方法
第一節 基本線性評價法則………………………………………18
第二節 極大熵原則……………………………………………….21
第三節 市場完全整合之定義…………………………………….24
第四節 Kullback-Leibler 資訊準則基礎下市場整合檢定………27
第五節 Kullback-Leibler 資訊準則基礎下CCAPM檢定………..30
第六節 冪次效用函數的檢定步驟………………………………..35
第肆章 實證結果分析
第一節 資料說明…………………………………………………..37
第二節 金融市場整合實證結果分析………………………………..39
第三節 集中市場消費基礎制資本資產訂價模型實證結果分析…….40
第四節 金融電子市場消費基礎制資本資產訂價模型實證結果分析45
第五節 傳統產業市場消費基礎制資本資產訂價模型實證結析…….49
第伍章結論…………………………………………………………………..54
參考文獻…………………………………………………………………......56
圖目錄
圖1-1研究設計與步驟流程圖……………………………………..3
表目錄
表4-1集中市場類股指數…………………………………………………38
表4-2季節性未調整的消費分類資料……………………………………39
表4-3 金融市場整合性檢定統計值…………………...…………………40
表4-4 集中市場CCAPM統計檢定值:非耐久性消費財………………..42
表4-5 集中市場CCAPM統計檢定值:非耐久性消費財與勞務………..44
表4-6 金融電子市場CCAPM統計檢定值:非耐久性消費財…………..46
表4-7 金融電子市場CCAPM統計檢定值:非耐久性消費財與勞務…..48
表4-8 傳統產業市場CCAPM統計檢定值:非耐久性消費財…………..50
表4-9 傳統產業市場CCAPM統計檢定值:非耐久性消費財與勞務…...52

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