臺灣博碩士論文加值系統

資料探勘是近幾年來非常受歡迎的研究方法之一，其應用的範圍可以包含各個領域，而本篇研究所使用的方法即是資料探勘中的集群分析，藉由集群理論的概念將欲研究的大量資料進行分類，把相似度高的樣本至於同一集群 (Cluster)中，不同集群間具有高度的差異性，藉此有效將資料進行群聚。我們便以此概念將台灣加權股價指數作為我們的實證研究，來找出其結構性改變的地方。
　　本文從台灣加權股價指數的波動，藉由Statistica統計軟體將指數經過集群分析K-means演算法，將資料分成三群，集群分析後所得到結果，若由最低的集群一轉至最高的集群三或由最高集群三轉折至最低集群一，之間沒有來回的轉折，就視為結構性改變；若僅在集群一與集群二或集群二與集群三之間波動，則我們視為過渡性結構改變。本篇研究結果發現台灣加權股價指數在1990至2004年間產生三次結構性改變，多次過渡性結構改變。並根據過去學者指出，結構改變的同時經常伴隨著重大事件影響股價產生結構性改變的因素，因此我們加以就國內政治、經濟、國際因素等重要事件來驗證我們的研究方法是否是一個理想的分析工具。
　　最後的分析結果在三次結構性改變都可以找出歷史性的重大事件，並找出相關文獻加以佐證；但在過渡性結構改變的時間上，所產生的事件我們將認定為其帶來的效應、影響等不足以造成結構改變。

The study of structural changes has become an interesting topic in time series study. This study applies clustering analysis to detect the structural changes in Taiwan Weighted Stock Index (TAIEX). We use the Statistica software to analysis the data. The stock index is first clustered into three groups by K-means algorithm. The most well-known and commonly used method of clustering is the K-means algorithm. Then the structural changes are recognized only when the index moves from the lowest clusters to the highest ones, and vice versa. The transient structural change means that the stock index moves between Cluster 1 and Cluster 2 or Cluster 2 and Cluster 3.
From 1990 to 2004, there were three structural changes and several transient structural changes in this time series. The obtained results give reason for thinking that they are very significant since they coincide with important facts and economic events. We find some important events during the structural change period. The K-means algorithm is good to find the structural changes.

第一章 序論 1
第二章 文獻回顧 3
第一節 結構改變 3
第二節 股價指數與總體經濟的關係 9
第三章 資料 15
第四章 研究方法 17
第一節 資料探勘 17
第二節 K-means 22
第三節 結構性改變定義 25
第五章 實證結果 28
第一節 結構改變 30
第二節 過渡性結構改變 34
第六章 結論 39

參考資料： 42
附錄一：統計結果 49
附錄二：英文摘要 51

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3. 網路資源：
[1]理財精算網，http://www.richmall.com.tw/newrich/richmall/richmall.asp
[2]臺灣的故事，http://www.gio.gov.tw/info/taiwan-story/economy/chome.htm
[3]臺灣證券交易所，http://www.tse.com.tw/ch/products/indices/tsec/taiex_2.php
[4]Yahoo!股市，http://tw.stock.yahoo.com/d/inv/w/2001/11/12/barits/5956.html
[5]德盛安聯投顧提供，http://www.gogofund.com/fund/fund_issue.asp?ID=32575