臺灣博碩士論文加值系統

本文探討台灣股票市場1991年6月至2005年2月股價與股利之關係，我們使用線性、非線性及縱橫資料分析法作全面性測試。實證結果顯示股價與股利長期下存在非線性之關係，並同時發現報酬隨時間變動的股利現值模型更能有效描述台灣股票市場股價之行為；相對於傳統線性共整合模型，股價與股利時間數列關係更適合以非線性模型描述，而動能門檻自我迴歸模型能夠捕捉台灣股票市場非線性動態之調整，並同時支持股價行為是建立在基本面。我們更進一步利用縱橫資料單根檢定與共整合檢定來測試股價與股利之長期關係及股利現值模型，結果同樣顯示股價與股利存在顯著之共整合關係；最後，實證結果支持台灣股票市場股價行為建立在股利價值及不存在理性泡沫現象。

This study investigates the relationship between stock prices and dividends in Taiwan stock market during the June 1991 to February 2005 period. We employ linear, nonlinear and panel techniques which provide a much stronger test to examine the relationship between stock prices and dividends. Our results suggest that there is a long-run nonlinear relationship between stock prices and dividends. We found that present value model is more suitable with time-varying expected returns provides an empirically valid description of Taiwan stock price behavior in the long-run, while short-run deviations of actual stock prices from present value prices are driven by rational bubbles. Compared to conventional cointegration approach this technique produces more convincing evidence of the time series properties of the dividend and price, the momentum threshold autoregressive (MTAR) method is flexible enough to capture non-linear adjustment patterns and support the existence of stock price increases relative to fundamentals in Taiwan stock market. Furthermore, we employ the newly developed panel unit root test and cointegration technique to determine the long-run relation between stock prices and dividends and to test the present-value model which provides a much stronger test using time series data. The results indicate that there is also a significant cointegration relationship between stock prices and dividends. These finding support the existence of stock price increases relative to fundamentals and rational bubbles were nonexistent in the Taiwan stock market.

Contents
Abstract.......................................................................................................i
Contents………………………………………………………………….iii
Chapter 1 Introduction……………………………………………………1
Chapter 2 Literatures Review…………………………………………….5
Chapter 3 Theoretical Background……………………………….…...11
3.1 Present Value Model……………………………………………...11
3.2 The Presence of Rational Bubbles………………………………..13
3.3 Tests for the Rational Bubbles……………………………………13
Chapter 4 Methodology………………...……………………………….15
4.1 Unit Root Tests………………………………………...…………15
4.1.1 Univariate Tests………………………………………….……15
4.1.1.1 Augmented Dickey-Fuller (ADF test)…………...….……15
4.1.1.2 Phillips and Perron (PP test)……………………...………16
4.1.1.3 Kwiatowsk, Phillips, Schmidt and Shin’s Test (KPSS test)………………………………………..…………….17
4.1.1.4 Kapetanios, Shin and Snell’s Test (KSS test)…………….18
4.1.1.5 Leybourne, Newbold and Vougas’s Test (LNV test)……..19
4.1.1.6 Momentum Threshold Autoregressive (M-TAR) unit-root tests………………………………………………………21
4.1.2 Panel Unit Root Tests…………………………………………23
4.1.2.1 Levin, Lin and Chu (L-L-C) Panel Unit Root Test….....…24
4.1.2.2 Im, Pesaran and Shin (IPS) Panel Unit Root Test……..…25
4.1.2.3 Maddala and Wu (MW) Panel Unit Root Test…………...26
4.1.2.4 Hadri Panel Unit Root Test………………………………26
4.2 Cointegration Tests……………………………………………….28
4.2.1 Univariate Cointegration Test………………….…………….28
4.2.1.1 The Engle–Granger Cointegration Test………….……….28
4.2.1.2 The Harris and Inder Cointegration Test……………...….29
4.2.1.3 The Johansen and Juselius Cointegration Test………...…29
4.2.1.4 Bierens’ Nonparametric Cointegration Test……...………31
4.1.2.5 Kapetanios, Shin and Snell (KSS) Cointegration tests...…33
4.1.2.6 Momentum Threshold Autoregressive (M-TAR) unit-root tests……………………………………………………….33
4.2.2 Panel Cointegration Test…………………………….……….34
4.2.2.1 Kao (1999) Homogeneous Panel Cointegration Tests with the null of non-cointegration………………………..……35
4.2.2.2 Pedroni (1997, 1999) Heterogeneity Panel Cointegration Tests for the null of non-cointegration with multiple variables………………………………….………………36
4.2.3 Estimation of Panel Cointegrated Regression………………...39
4.3 Linear and Nonlinear Models…………………………………….41
4.3.1 Vector Error Correction Model………………………………41
4.3.2 Threshold Vector Error Correction Model………….………..42
4.3.3 Panel Vector Error Correction Model………………………..42
Chapter 5 Empirical Results…………………………………………….44
5.1 Data……………………………………….………………………44
5.2 Univariate Unit Root Tests……………………………………….44
5.3 Panel Unit Root Tests…………………………………………….46
5.4 Univariate Cointegration Test…………………………………….47
5.5 Panel Cointegration Test………………………………………….50
5.6 Error Correction Models…………………………………………52
Chapter 6 Conclusions…………………………………………...……...54
Reference………………………………………………..………………57
Statistical Tables…………………………………………………...……64

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