臺灣博碩士論文加值系統

本研究採用AR(P)-ARCH/GARCH模型，檢測台股觀光類股之各別月份營收成長率變動之季節性異常現象，其「月份效應」是否反應觀光產業營收會受景氣(淡旺季)的影響。實證結果發現，顯示觀光類股在暑假及歲末期間都呈現正成長的「月份效應」，主題樂園及旅遊業為7月至8月份、飯店業為10月至12月份、餐飲業為12月份。但納稅及暑假期間也有呈現負成長的「月份效應」，主題樂園及旅遊業為4月至5月份、飯店業為7月至8月份、餐飲業為8月份，所以實證發現節慶假期的月份對觀光產業營收會有絕對影響。

This paper aims to examine the income anomalies of the tourism stocks in Taiwan stock market, to search the anomaly of seasonlity. By applying the AR(P)-ARCH/GARCH models, it is aimed to discover the influence of “month effect” on the income of the tourism industry. The results show that the “month effect” has the positive influence on the income of the tourism industry during summer vacation and the end of the year. Theme parks and tourism in July and August, hotels are effected positively from October to December, and food and beverage in December. However, the ”month effect” also has the negative impact during in the taxing season and summer vacation. Theme parks and tourism in April and May, hotels in July and August, and food and beverage in August.The results suggest that festival and vacation have great influence on the income of the tourism industry.

目 錄
中文摘要 ----------------------------------------------------------------------------- i
英文摘要 ----------------------------------------------------------------------------- ii
誌謝 ----------------------------------------------------------------------------- iii
目錄 ----------------------------------------------------------------------------- iv
表目錄 ----------------------------------------------------------------------------- vi
圖目錄 ----------------------------------------------------------------------------- vii
符號說明 ----------------------------------------------------------------------------- viii
一、 緒論----------------------------------------------------------------------- 1
1.1 研究背景與動機-------------------------------------------------------- 1
1.2 研究目的----------------------------------------------------------------- 3
1.3 研究問題----------------------------------------------------------------- 3
1.4 研究架構----------------------------------------------------------------- 4
1.5 觀光類各股經營業務概況-------------------------------------------- 6
二、 理論基礎與文獻探討-------------------------------------------------- 7
2.1 效率市場假說----------------------------------------------------------- 7
2.2 停駐資金假說----------------------------------------------------------- 8
2.3 稅賦損失銷售假說----------------------------------------------------- 9
2.4 會計資訊假說----------------------------------------------------------- 10
2.5 風險與報酬率之關係具有季節性----------------------------------- 10
三、 研究方法----------------------------------------------------------------- 12
3.1 研究期間及資料-------------------------------------------------------- 12
3.2 先將類股每月營收取對數一階差分-------------------------------- 12
3.3 ADF單根檢定----------------------------------------------------------- 13
3.4 Granger 因果關係檢定------------------------------------------------ 15
3.5 判斷變數的ARMA型態---------------------------------------------- 17
3.6 估計ARCH/GARCH模型---------------------------------------------- 19
3.7 選定模型中加入虛擬變數-------------------------------------------- 21
3.8 進行模型診斷----------------------------------------------------------- 23
3.8.1 殘差的自我相關檢定(Q統計量) ------------------------------------ 23
3.8.2 殘差的JB常態性檢定------------------------------------------------- 23
3.8.3 Q2 統計量(殘差平方的檢定) ---------------------------------------- 24
3.8.4 ARCH-LM檢定--------------------------------------------------------- 25
四、 實證結果與分析-------------------------------------------------------- 26
4.1 JB常態性檢定實證結果---------------------------------------------- 26
4.2 ADF單根檢定實證結果----------------------------------------------- 31
4.3 Granger 因果關係檢定實證結果------------------------------------ 40
4.4 判斷變數的ARMA型態實證結果----------------------------------- 43
4.4.1 利用自我相關判斷變數的AR(P) ----------------------------------- 43
4.4.2 檢查迴歸的殘差是否自我相關及ARCH型態的異資變異------- 44
4.5 加入月份虛擬變數估計ARCH/GARCH模型檢定實證結果------ 45
4.6 殘差的自我相關檢定(Q 統計量) 實證結果--------------------- 49
4.7 殘差的JB常態性檢定實證結果------------------------------------- 50
4.8 殘差平方的檢定(Q2 統計量) 實證結果--------------------------- 55
4.9 ARCH-LM檢定實證結果--------------------------------------------- 56
4.10 加入季節虛擬變數估計ARCH/GARCH模型檢定實證結果------------ 57
五、 結論與建議------------------------------------------------------------- 59
參考文獻 ----------------------------------------------------------------------------- 62
附錄一 台股上市櫃觀光類各股的單根檢定(2000/01~2007/12)---------- 64
附錄二 台股上市櫃觀光類各股Granger因果關係檢定------------------- 71
附錄三 台股上市櫃觀光類各股的自我相關檢定(2000/01~2007/12) --- 73
附錄四 台股上市櫃觀光類各股估計AR(p)-OLS/ARCH/GARCH模型- 80
附錄五 台股上市櫃觀光類各股(Q統計量)殘差的自我相關檢定------ 87
附錄六 台股上市櫃觀光類各股(Q2 統計量) )殘差平方的自我相關檢- 94
附錄七 台股上市櫃觀光類各股ARCH-LM test檢定---------------------- 101
附錄八 台股上市櫃觀光類各股AR(p)- ARCH/GARCH「季節效應」---- 107
自傳 ----------------------------------------------------------------------------- 114

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