臺灣博碩士論文加值系統

在油價、原物料高漲的時代，全球金融風暴使航空產業面臨前所未有衝擊，過去風險估計方法於這次景氣衰退中受到嚴重挑戰，本文有別以往探討航空業波動關連性研究，利用條件異質變異模型探討國際航空公司在股票市場中日報酬波動的相互關係，並納入1997年亞洲金融風暴、2001年美國911恐怖攻擊、2003年亞洲SARS風暴和2007年全球金融風暴等國際重大事件，同時在報酬變異數方程式下架構總資產、流動比率、負債權益比和市價對帳面價值比變數，依序從事件及財務面出發，觀察不同層面對航空公司股價報酬波動的影響。實證結果發現航空報酬序列有顯著ARMA（1,1）－GARCH（1,1）效果，不同事件對各航空所處國家有顯著地域性波動衝擊，例如亞洲各國航空在亞洲金融風暴中具增加股價報酬波動效果，全球金融風暴範圍則顯著干擾世界各航空公司報酬波動；而流動比率與負債權益比對航空報酬分別有正向和反向影響波動的結果，可能因素在於樣本公司流動負債長期大於流動資產，且具負股東權益總額所致。另外市價帳面價值比對航空公司的報酬波動為反向，表當公司存在高市價帳面價值比時，報酬波動相對是較於穩定的狀態。由此可得知國際重大事件與航空公司營運上的財務比率對於航空公司股價報酬波動上，皆可能產生風險性影響。

The World financial crisis has made a significant impact in the recent years, challenging past risk model in the current business recession. This research uses the Generalized Autoregressive Conditional Heterskedasticity (GARCH) to investigate the relationship between the various global crisis (World Financial Crisis 2007, SARS 2003, Terrorist Attacks 2001 and Asian financial crisis 1997) and the airlines stock returns volatility, adding total assets, current ratio, debt/equity ratio and price/book ratio to the variance equations in the GARCH models. The result shows an outstanding ARMA(1,1)-GARCH(1,1) performance in the current returns, indicating that different crisis events produce different impact on the aviation industries depending on their regions. For example, the Asian Financial Crisis had caused an increase in returns volatility in Asian airlines. However, the World financial crisis produces a positive impact in the global aviation industries. The current ratio and debt/equity ratio have positive and negative effects respectively. The difference in the impact might be due to sample size airlines’ current liabilities being greater than current assets in the long run, and a negative common equity. In addition, price/book ratio have reverse effects on airlines returns volatility, indicating that returns volatility stabilizes when airlines price/book ratio are high. In conclusion, global crisis and financial ratios will have an impact on risk volatility on airlines returns.

目錄
中文提要...............................................i
英文提要..............................................ii
誌謝.................................................iii
目錄..................................................iv
表目錄.................................................v
圖目錄................................................vi
壹、緒論...............................................1
一、研究背景..........................................1
二、研究動機與目的....................................5
三、本文架構..........................................7
貳、文獻回顧...........................................8
一、航空公司營運績效分析回顧..........................8
二、財務報表變數對於公司企業股價上的影響..............9
三、航空公司間的相對報酬率測度........................9
四、波動性相關研究...................................10
五、波動性模型對於國際航空股票績效上的結合應用.......13
六、重大事件對於國際航空股票表現的衝擊...............14
參、研究方法..........................................19
一、變數處理.........................................19
二、單根檢定.........................................22
三、ARCH效果檢定.....................................23
四、GARCH條件異質變異模型............................24
肆、實證結果..........................................29
一、資料來源.........................................29
二、各航空股價報酬資料穩定性檢定.....................35
三、各航空股價報酬序列ARCH/GARCH效果檢定.............36
四、重大事件對於國際航空日股價報酬波動性分析.........38
五、財務報表因素對國際航空季股價報酬波動性分析.......43
伍、結論與建議........................................47
一、結論.............................................47
二、建議.............................................49
參考文獻..............................................50

參考文獻
壹、 中文部分
1. 王正裕（2001），「台股指數期貨交易對現貨市場波動性之影響-不對稱效果之研究」，國立成功大學國際企業所碩士論文。
2. 王玉婷（2002），「中國大陸普通股與美國存託憑證間之報酬波動性與外溢效果研究」，中原大學企業管理研究所碩士論文。
3. 方敏（2008），「發展廉價航空的政策突破與戰略選擇」，首都經濟貿易大學學報，4期，頁70-74。
4. 王淑君（2000），「台灣股市波動因子之探討-GARCH模型之應用」，國立台灣大學農業經濟所碩士論文。
5. 伍忠賢（2002），「資產定價模式無用論-論貝他係數的迷思」，貨幣觀測與信用評等月刊，34期，頁146-150。
6. 李命志、洪瑞成、劉洪鈞（2007），「厚尾GARCH模型之波動性預測能力比較」，輔仁管理評論，14卷，2期，頁47-71。
7. 李彥賢、姜淑美、邱建良（2006），「亞洲金融風暴對台灣股匯市影響：跳躍－擴散模型應用」，朝陽商管評論，5卷，1期，頁1-22。
8. 林佑俊（2006），「國籍民用航空公司績效評估」，國立中央大學企業管理研究所碩士論文。
9. 林楚雄（2005），「個股波動不對稱性之實證研究：以台灣股票市場爲例」，中山管理評論，13卷，3期，頁811-836。
10. 邱建良、吳佩珊、姜淑美、林佩蓉（2004），「與時變動系統性風險之研究：台灣股票多頭與空頭市場之實證」，華岡經濟論叢，3卷，2期，頁45-68。
11. 柏婉貞、黃柏農（2007），「台股指數貨與現貨市場日內報酬波動與交易量非線性行為之研究」，經濟研究，43卷，2期，頁181-208。
12. 姚介泰（1994），「航空公司財務比率與獲利能力之關聯性分析」，國立台灣大學財務金融學研究所碩士論文。
13. 徐楓（2006），「股票價格預測的GARCH模型」，統計與決策，18期，頁107-109。
14. 倪衍森、陳冠宇（2005），「負債成本與財務變數之關連性研究-以台灣上市傳統產業為例」，企業管理學報，64期，頁53-78。
15. 鄭文英、林心瀅（2005），「考量景氣因素下企業經營績效與股價報酬率關聯性之研究-以上市櫃光電產業為例」，第三屆管理思維與實務學術研討會論文集，頁1-19。
16. 潘聖峰（2006），「總體經濟訊息宣告與異常交易量衝擊對台灣股市報酬波動性之影響」，朝陽科技大學財務金融系碩士論文。
17. 蘇榮斌、黃孟祥（2008），「風險值之預測：以台灣、韓國、新加坡及馬來西亞等國家股票市場為例」，中華技術學院學報，39期，頁181-198。
貳、 英文部分
1. Akgiray, V. (1989), “Conditional heteroscedasticity in the Series of Stock Return Evidence and Forecasts,” Journal of Business, 62, 55-86.
2. Bildirici, M. and O. O. Ersin (2009), “Improving forecasts of GARCH family models with the artificial neural networks: An application to the daily returns in Istanbul Stock Exchange,” Expert Systems with Applications, 36, 7355-7362.
3. Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroscedasticity,” Journal of Econometrics, 31, 307-27.
4. Bollerslev, T. (1987), “A Conditional Heteroskedastic Time Series Model for Speculative Price and Rate of Return,” Review of Economics and Statistics, 9, 542-547.
5. Bollerslev, T., R. Engle and D. B. Nelson (1983), “ARCH models,” Z. Griliches and M. D. Intriligator, eds. Handbook of Econometrics, 2, Chapter 49.
6. Borenstein, S. and M. B. Zimmerman (1988), “Market Incentives for Safe Commercial Airline Operation,” American Economic Review, 78(5), 913-935.
7. Braun, P., D. Nelson and A. Sunier (1995), “Good News, Bad News, Volatility, and Betas,” Journal of Finance, 50, 1575-1603.
8. Brooks, R. D., R.W. Faff, Y. K. Ho and M. D. McKenzie (1997), “U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach,” Review of Quantitative Finance and Accounting, 14, 17-44.
9. Brooks, R. D., R. W. Faff and M. D. McKenzie (2002), “Time Varying Country Risk: An Assessment of Alternative Modelling Techniques,” The European Journal of Finance, 8, 249-274.
10. Choudhry, T. (2005), “Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms,” Pacific-Basin Finance Journal, 13, 93-118.
11. Choudhry, T. and H. Wu (2007), “Time-Varying Beta and Forecasting UK Company Stock Returns: Garch Models vs Kalman Filter Method,” Working Paper Series, 1-48.
12. Chuang, I. Y., Y. C. Chiu and C. E. Wang (2008), “The performance of Asian airlines in the recent financial turmoil based on VaR and modified Sharpe ratio,” Journal of Air Transport Management, 14(5), 257-262.
13. Chuang, I. Y., J. R. Lu and C. F. Chen (2006), “Estimating the systematic risk of airlines: A methodological comparison,” Journal of Air Transport Management, 12, 103-105.
14. Day, T. and C. M. Lewis (1992), “Stock market volatility and the information content of stock index options,” Journal of Econometrics, 52, 267-287.
15. Dickey, D. A. and W. A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, 49, 1057-1072.
16. Drakos, K. (2004), “Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks,” European Journal of Political Economy, 20(2), 435-446.
17. Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation,” Econometrica, 50, 987–1008
18. Engle, R. F., V. K. Ng, and M. Rothschild (1990), “Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills,” Journal of Econometrics, 45, 213-237.
19. Fama, E., and K. French (1992), “The cross-section of expected stock returns,” The Journal of Finance, 47, 427–65.
20. Feng, C. M. and R. T. Wang (2000), “Performance Evaluation for Airlines Including the Consideration of Financial Ratios,” Journal of Air Transport Management, 6, 133-142.
21. Fornari, F. and A. Mele (1997), “Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets,” Journal of Applied Econometrics, 12(1), 49-65.
22. Glosten, L. R., R. Jagannathan and D. Runkle (1993), “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,” Journal of Finance, 48(5), 1779-1801.
23. Granger, C. W. J. and P. Newbold (1974), “Spurious Regressions in Econometrics,” Journal of Econometrics, 2, 111-20.
24. Hung, J.H. and Y. C. Liu (2005), “An examination of factors influencing airline beta values,” Journal of Air Transport Management, 11(4), 291-296.
25. Koutmos, G. (1998), “Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets,” Journal of Econometrics and Business, 50, 277-290.
26. Koutmos, G.. and J. Knif (2002), “Time Variation and Asymmetry in Systematic Risk: Evidence from the Finnish Stock Exchange,” Journal of Multinational Financial Management, 12, 261-271.
27. Kung, L. M. and S. W. Yu (2008), “Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem,” European Journal of Operational Research, 186, 1184-1200.
28. Lee, J. S. and S. C. Jang (2007), “The systematic-risk determinants of the US airline industry,” Tourism Management, 28, 434-442.
29. Mear, R. and M. Firth (1988), “Risk perceptions of financial analysts and the use of market and accounting data,” Accounting and Business Research, 18(72), 335-340.
30. Miller S. M. and W. S. Fang (2002), “Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis,” Working Papers, 31, University of Connecticut.
31. Nelson, D. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59(2), 347-370.
32. Phillips, P. C. B. and P. Perron (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika, 75(2), 335-346.
33. Piotroski, J. D. (2000), “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers,” Journal of Accounting Research, 38, 1-38.
34. Reimers, H. E. (1992), “Comparions of Tests for Multivariate Cointegration,” Statistics Paper, 33, 335-346.
35. Said, S. E. and D. A. Dickey (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order,” Biometrika, 71, 599-607.
36. Sharpe, W. F. (1964), “Capital Asset Price: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance, 19, 425-442.
37. Wang, Y. J. (2008), “Applying FMCDM to evaluate financial performance of domestic airlines in Taiwan,” Expert Systems with Applications, 34, 1837-1845.
38. Wang, Y. S. (2009), “The impact of crisis events and macroeconomic activity on Taiwan''s international inbound tourism demand,” Tourism Management, 30(1), 75-82.
39. Zakoian, J. (1994), “Threshold Heteroskedastic Model,” Journal of Economic Dynamics and Control, 18, 931-955.