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研究生:彭瓊儀
研究生(外文):Chiung Yi Peng
論文名稱:預期與未預期利率及匯率之波動對不同公司規模股價報酬之影響-以台灣與日本為例
論文名稱(外文):The Impacts of Expected and Unexpected Volatilities of Interest Rates and Exchange Rates on the Stock Returns of Different Firm Sizes in Taiwan and Japan
指導教授:陳君達陳君達引用關係陳美玲陳美玲引用關係
指導教授(外文):Chun Da ChenMei Ling Chen
學位類別:碩士
校院名稱:大葉大學
系所名稱:國際企業管理學系碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:英文
論文頁數:99
中文關鍵詞:自我迴歸整合移動平均模型利率匯率股票市場結構性向量自我迴歸模型
外文關鍵詞:autoregressive integrated moving average model (ARIMA)interest rateexchange atestock marketstructural vector autogression (SVAR)
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本研究在探討預期與未預期利率及匯率之波動對不同公司規模股價報酬之影響,並比較台灣(低度已開發國家)與日本(高度已開發國家)兩國在不同利率水準及匯率制度之下所反應不同公司規模股價報酬之差異。研究期間自1998年至2006年採用高頻率之日資料,首先將利用自我迴歸整合移動平均模型(ARIMA)將利率及匯率區分成預期與未預期利率及匯率之變動,再運用結構性向量自我迴歸模型(SVAR)檢視變數間之短期動態關係。
從利率對台灣及日本股市影響,短期間,日本的預期與未預期利率變動對日本股票市場之衝擊程度比台灣股票市場之影響大;而台灣公司股票報酬受預期及未預期利率變動之衝擊影響較為持久。從匯率對台灣及日本股市影響,日本的預期匯率變動對日本股票市場之影響程度亦比台灣股票市場之衝擊來的大。在未預期匯率變動對股市報酬衝擊方面,日本公司股票報酬之反應比台灣反應大且具持久性。
This paper intends to investigate whether the expected and unexpected fluctuations of interest rate and exchange rate will generate different impacts on the daily stock returns of three different firm sizes in Taiwan and Japan and to compare whether there are different responses under two different interest rate levels and exchange rate systems between a well and a less
developed financial markets. The study period spans from 1998 to 2006 at daily data frequency. We first employ ARIMA model to
divide the IR and ER into the expected and unexpected of IR and ER. We then utilize the structural SVAR model to examine the dynamic relationships among above variables.
The empirical results show that unexpected IR shocks have larger impact on Taiwan than Japan stock market. In Taiwan stock market, the stock returns of large firms are strongest affected by ER, however, the stock returns of all firms are huge affected by ER in the Japan stock market. The fluctuating range in ER is relatively large in the Japan stock market, the explanation of phenomenon might be that the under the free floating exchange regime in Japan. Moreover, we find that there is less influence degree in the Japan stock market, as well as the response time is relatively long in the Taiwan stock market.
中文摘要 ..............................iii
英文摘要 .............................. iv
誌謝辭  ...................... ........ v
內容目錄 ...................... ........vi
List of Tables.......................... viii
List of Figures........................... x
Chapter 1 Introduction.......................1
  1.1  Background.........................1
  1.2  Motivations and Purposes.................3
  1.3  Data Description and Methodology............ 4
  1.4  Chapter Outline..................... 6
Chapter 2 Prior Empirical Studies................ 7
  2.1  Background of the Financial Markets in Taiwan and
Taiwan and Japan..................... 7
  2.2  Economic Variables and Stock Markets..........10
  2.3  The Impact of IR and ER on Stock Prices........15
2.4 Different Firm Sizes and Stock Returns......... 20
2.5 Expected/Unexpected Impact on Stock Returns.......22
Chapter 3 Data and Methodology.................. 27
  3.1  Data Descriptions.................... 27
  3.2  Methodology....................... 29
Chapter 4 Empirical Results................... 40
  4.1  Descriptions Statistics.................40
  4.2  Analysis of Interactions in the Short Run (SVAR).. 44
Chapter 5 Conclusions and Suggestions............. 61
  5.1  Conclusions....................... 61
  5.2  Suggestions....................... 63
References............................. 64
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