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研究生:蔣佩珊
研究生(外文):Pei-Shan Chiang
論文名稱:台灣股票流動性與經濟成長之關聯性
論文名稱(外文):THE RELATIONSHIP BETWEEN ECONOMIC GROWTH AND THE LIQUIDITY OF TAIWAN STOCK
指導教授:王絹淑
學位類別:碩士
校院名稱:銘傳大學
系所名稱:經濟學系碩士班
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:47
中文關鍵詞:股票流動性經濟成長率
外文關鍵詞:liquidity of stockGross Domestic Product growth
相關次數:
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  在財務研究中,理性的理論認為風險與報酬之間存在某種的抵換(trade-off)關係,投資人想要得到預期的報酬,就必須忍受相對的風險。Sharpe(1964)、Lintner(1965)與Mossin(1996)相繼提出資本資產定價模型(CAPM),其描述的是,在證券的供需達到均衡時,存在於證券的系統風險與預期報酬間的關係。
  雖然CAPM在理論及實務上受到普遍的支持,但是自80年代後期有些學者相繼發現一些CAPM無法解釋股票報酬橫斷面的情況,一般統稱為異常現象(anomalies),如:規模效應、淨值市價比效應、動能效應等。Liew and Vassalou(2000)認為規模效應、淨值市價比效應能解釋未來經濟成長。Liu(2006)認為流動性因子能夠流動性因子(LIQ)可以解釋掉規模效應及淨值市價比效應,所以可以利用流動性因子預測未來經濟成長的動向。本研究利用Liu(2006)構建流動性因子的方法來檢視台灣上市上櫃普通股票的流動性與經濟成長率之間的關聯性。實證結果發現台灣的流動性因子Granger影響經濟成長率,這表示台灣的流動性因子對於預測未來經濟成長動向有顯著的解釋能力,即可將台灣的流動性因子視為一個理性因子。
The rational theory thought that there is some trade-off relationship between return and risk. The investor, who wants to obtain the expected return, must bear with the relative risk. Sharpe (1964), Lintner (1965) with Mossin(1996) proposed the Capital Asset Pricing Model, it describes relationship between the systemic risk of securities and the anticipated return when the financial market is in the equilibrium.
Although CAPM is a popular method in the theoretical and practical scope, from the 1980''s later, some scholars one after another discovered some situations of stock return that CAPM is failed to explain is called anomalies, for example, size effect, book-to-market equity ratio effect, momentum effect and so on. Liew and Vassalou (2000) thought the size effect and book-to-market equity ratio effect contain significant information about the future Gross Domestic Product (GDP) growth. Liu (2006) thought liquidity premium have ability to explain size and book-to-market equity ratio effects. Therefore, the purpose of this paper is to examine whether liquidity premium could predict GDP growth. This research applies Liu’s method to construct the liquidity premium of ordinary stock in Taiwan, testing the relationship between liquidity premium and GDP growth. The empirical result indicates liquidity premium Granger Cause the GDP growth rate; this revealed that liquidity premium in Taiwan contains significant information about future GDP growth and also liquidity premium is a rational factor.
論文題目
中文摘要
英文摘要
謝辭
目次
圖目次
表目次
第一章  緒論
第一節  研究背景與動機
第二節  研究目的
第三節  研究架構
第二章  文獻回顧
第一節  系統風險的相關文獻
第二節  異常現象的相關文獻
第三節 HML、SMB、WML與未來經濟成長之關聯性
第四節  流動性擴充資產定價模型
第三章  實證方法
第一節  單根檢定
第二節  向量自我迴歸模型
第三節  Granger Causality檢定
第四節  衝擊反應分析
第五節  預測誤差變異數分解
第四章  實證結果
第一節  變數定義
第二節  單根檢定
第三節  向量自我迴歸模型
第四節  Granger Causality測試
第五節  衝擊反應分析
第六節  預測誤差變異數分解
第七節  小結
第五章  結論
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