臺灣博碩士論文加值系統

本研究利用時間序列的各種方法，深入探討購併行為與五個總體經濟變數（國內生產毛額、股價、利率、通貨膨脹以及失業率）之互動關係。實証結果發現，短期內，總體經濟環境的變化會影響企業是否從事購併行為，此外，購併的數量除了會影響本身購併數量的變化外，也會影響NYSE股價指數以及失業率；長期間，總體經濟變數與購併數量間存在著均衡共移的關係。此外本文由衝擊反應分析發現、除了購併件數本身外，購併家數對於通貨膨脹的衝擊，反應較明顯，就總體變數而言，失業率以及國內生產毛額受到購併件數的衝擊後均發生持續性和長期性的影響；由誤差變異數分解發現：當購併數量產生變異時，本身以及通貨膨脹對購併家數變異的解釋能力較高，就購併件數解釋總體經濟環境的變異能力而言，購併件數只有在解釋失業率的變異時具有較高的解釋力；最後由因果關係檢定所得到的結果為，購併件數與股價指數以及購併件數與通貨膨脹均具有雙向回饋(feedback)的關係，換句話說，總體經濟環境的變化可作為未來是否會出現購併風潮的一個指標；而購併數量的變化也可視為領先景氣變動的一個參考值。

Abstract
In the previous literature, the five macroeconomic fundamentals－GDP, stock price, interest rate, inflation, and the unemployment rate perhaps show substantial impacts on the number of merger and acquisitions (M&A). Thus we employ various time series methodologies to investigate the dynamic relationship among M&A and these five variables. From the cointegration and the VECM test, a long-run equilibrium relationship with two cointegrating vectors is found in the presence of a restricted linear trend. The five macro variables considered in this paper are also found to have the short run impacts on the number of M&A; the stock prices and unemployment rate are also affected by the number of M&A. From the Granger causality test, feedback phenomenon exists between the pairs of M&A and stock price, and between the pairs of M&A and inflation. The analysis of the impulse response shows that, with the exception of M&A itself, the shock of inflation has relatively higher impacts on M&A. On the other hand, the shock of M&A shows a positive effect on the GDP and a negative effect on the unemployment rate. The final finding from the variance decomposition is that the only significant explaining power of the M&A to the forecast error variances of those macro fundamentals exists in explaining the variance of the unemployment rate.

第壹章 緒論------------------------------------------------------------------------------1
第一節 研究背景----------------------------------------------------------------------1
第二節 研究動機----------------------------------------------------------------------6
第三節 研究目的----------------------------------------------------------------------8
第貳章 文獻回顧-----------------------------------------------------------------------9
第一節 美國購併概述---------------------------------------------------------------9
第二節 美國有官購併之主要法律規範-----------------------------------------14
第三節 購併實證相關文獻探討---------------------------------------------------19
第參章 研究方法------------------------------------------------------------------------24
第一節 定態與非定態----------------------------------------------------------------26
第二節 單根檢定-----------------------------------------------------------------------28
第三節 共整合檢定--------------------------------------------------------------------35
第四節 向量自我迴歸模型----------------------------------------------------------47
第五節 衝擊反應分析-----------------------------------------------------------------51
第六節 預測誤差變異數分解------------------------------------------------------53
第七節 因果關係檢定-----------------------------------------------------------------54
第肆章 實證結果分析-------------------------------------------------------------------56
第一節 資料選取與來源--------------------------------------------------------------56
第二節 模型------------------------------------------------------------------------------59
第三節 單根檢定結果分析-----------------------------------------------------------60
第四節 共整合檢定與VECM檢定---------------------------------------------------61
第五節 因果關係檢定------------------------------------------------------------------65
第六節 衝擊反應分析------------------------------------------------------------------67
第七節 變異數分解 --------------------------------------------------------------------71
第伍章 結論--------------------------------------------------------------------------------76
參考文獻-------------------------------------------------------------------------------------77
附錄一----------------------------------------------------------------------------------------84
附錄二-----------------------------------------------------------------------------------------90

國內文獻
王文宇，民國87年8月，「世界主要國家併購相關法律規定之比較」，經濟情勢暨評論季刊，第4卷第2期。
陳錦堂、沈仰斌，民國87年8月，「購併動機之理論與實証：以美國與亞洲之購併歷史為例」，經濟情勢暨評論季刊，第4卷第2期。
張秀雲，民國87年6月，「美國企業購併、股價及工業生產指數之共積與因果關係檢定」，國立政治大學國際貿易研究所未出版碩士論文。
鄭旭凱，民國82年6月，「企業購併與總體經濟波動之研究：非恆定性間數列計量方法之應用」，國立政治大學國際貿易研究所未出版碩士論文。
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