臺灣博碩士論文加值系統

本文章為探討台灣加權股價指數與台塑企業股票股價與現金股利之間的關係。內容以股票股價評價模式為基礎模型，檢示股價與股利兩者是否存在長期的共整合，當不具共整合時，便是存在理性泡沫（Rational Bubbles），反之則不存在理性泡沫。使用時間數列的恆定性單根檢定(Unit Root Test)，包括ADF, P-P and KPSS檢定法，共整合檢定(Cointegration Test)；使用Johansen共整合檢定法計量方法。由於變數可能出現非線性過程，所以我們亦以KSS單根檢定法來檢定資料之定態特徵。在Johansen共整合檢定法下其誤差項亦可能出現非線性情況，而影響其檢定結果，因為Bierens(1997)無母數共整合檢定可以解決誤差項非線性的問題因此我們亦使用其來檢定變數長期共整合關係。使用無母數共整合檢定方法後發現，股價與股利具有共整合關係，且藉由非線性檢定確定其短期調整項具非線性特性。最後討論股票報酬率特性，以非線性的平滑轉換迴歸模型(Smooth Transition Regression Model, STR)來分析股票報酬率與短期誤差修正項的非線性關係。

This study investigates the presence of relation between stock prices and dividends for Taiwan stock market. Using stock present value model to survey the cointegrating relation. If they do not exist cointegration, they will have rational bubbles. Rational bubbles imply no long-run relationship between stock prices and dividends. We adopt unit root test of time series to test the stationarity, including ADF, P-P, KPSS and KSS method. Bierens(1997) indicated that the conventional Johansen cointegration framework presents a mis-specification problem when the true nature of the adjustment process is nonlinear and the speed of adjustment varies with the magnitude of the disequilibrium. Stock price valuation models assume that（log）stock returns are determined by a linear relationship between integrated（log）dividends and （log）prices, and that any deviation from this fundamental equilibrium would be short-lived. Since we find there is long-run relation between stock price and dividends, therefore, we can exercise Smooth Transition Regression Model to estimate their relationship.

第一章 緒論…………………………………………………………….….1
第一節 研究動機及目的 ………………………………………1
第二節 研究流程與步驟……………………………………….2
第三節 本文架構……………………………………………….3
第二章 文獻回顧…………………………………………………………....4
第一節 國外相關文獻回顧…………………………………….4
第二節 國內相關文獻回顧…………………………………….6
第三章 研究方法……………………………………………………………..7
第一節 理論背景……………………………………………….7
第二節 恆定性檢定…………………………………………….9
第三節 共整合檢定…………………………………………….13
第四節 非線性模型…………………………………………….18
第四章 實證結果與分析…………………………………………………....23
第一節 資料來源、研究期間與處理方式…………………….23
第二節 原始資料概述………………………………………….25
第三節 實證結果與分析……………………………………….28
第五章 結論與建議………………………………………………….……...41
第一節 結論…………………………………………………….41
第二節 建議…………………………………………………….42
參考文獻………………………………………………………………….....44

一、中文參考文獻
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何志儒(1993)，「台灣地區上市公司規模與股利宣告效應關係之研究」，東吳大學會計學研究所碩士論文。

王雪花(1994)，「股票股利與股價關聯性之研究」，國立大學會計研究所未出版論文。

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林毅明(2000)，「台灣公司股利政策與股價之關聯性」，中正大學企業管理研究所碩士論文。
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