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研究生:黃日昇
研究生(外文):Jih-Sheng Huang
論文名稱:電子類股上、中、下游間報酬與籌碼面之關聯性研究
論文名稱(外文):The Interrelationships among Stocks Return of the Upper, Middle, Lower Stream of the Electronics Shares and Trader Behavior
指導教授:楊踐為楊踐為引用關係
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:88
中文關鍵詞:向量自我迴歸模型衝擊反應因果關係檢定
外文關鍵詞:Vector Autoregression modelGranger causality testImpulse response
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本研究探討股票市場中投資人投資比例較高的電子類股為主,由於電子產業上、中、下游彼此之間的關係十分密切,又因為電子產業的複雜與變化快速,法人挾其豐沛的專業能力與研究團隊,故與一般散戶可能存在極大的資訊不對稱。故本文將研究變數區分為報酬率、成交量、融資餘額、融券餘額、外資買賣超、投信買賣超與自營商買賣超;資料來源為2006年7月17日至2008年9月18日之每日收盤資料,並將研究期間作一多頭與空頭時期之劃分;利用向量自我迴歸模型(VAR)探討上述七變數間存在著何種相互關係。
經由本研究實証結果,在因果關係檢定中得知報酬率為一較具領先地位的變數;另外在衝擊反應分析中,當多頭時期不分上、中、下游階段,報酬率增加會導致融券餘額減少;在空頭時期,報酬率增加則導致融券餘額增加;而無論多頭或空頭時期,融券餘額增加將使報酬率產生一先正向後負向之反應。另一方面在多頭時期融資餘額的增加,也使報酬率有一先正向後負向的反應;但在空頭時期,則使報酬率有正向的反應。故建議投資人可視此結論為買賣操作之參考,最後也得知各變數在不同時期與產業不同階段之劃分下,會有不一致之結果呈現。
This study investigates the stock market investors to invest a higher proportion of stock-based electronics, the electronics industry as a result of the upper, middle and lower stream of the relationship between each other very closely, and also because the complexity of the electronics industry and changes fast, relying on its rich corporate professional competence and the research team, so in general there may be a great information asymmetry. Therefore, this article will look into variable rate of return, volume, long balance, short balance, foreign buy-and-sell, trust buy-and-sell, dealer buy-and-sell. Source for July 17, 2006 to September 18, 2008 of the daily closing data, the study period do for a long period and short division; use VAR model (Vector Autoregression model) of the above seven variables among which there are mutual relations.
By the empirical results of this study, from Granger causality test fond that the rate of return did the leading variables; and from impulse response fond that in the long period of time, regardless of the upstream, midstream and downstream stages, increased rate of return would result in reduced short balance; in the short period, increased rate of return would lead to increased short balance; and whether long or short period, increased the short balance would lead the rate of return being generated a first positive reaction to the negative. On the other hand, in the long period of time, increased the long balance, would also lead the rate of return being generated a first positive reaction to the negative; in the short period of time, increased the long balance then lead return to make a positive response. It is suggested that investors could refer to this conclusion for the investment of operations, the final was also informed that the variables at different times and at different stages of the division of industry, the results will show inconsistencies.
中文摘要...............................................................i
英文摘要...............................................................ii
誌謝...................................................................iii
目錄...................................................................iv
表目錄.................................................................v
圖目錄.................................................................vi
第一章 緒論............................................................1
第一節 研究動機與背景..............................................1
第二節 研究目的....................................................5
第三節 研究範圍....................................................6
第四節 研究期間....................................................7
第五節 研究流程....................................................9
第二章 文獻回顧.......................................................10
第一節 成交量與報酬相關文獻.......................................10
第二節 信用交易與報酬相關文獻.....................................12
第三節 機構投資人與報酬相關文獻...................................13
第四節 產業上、中、下游間與報酬相關文獻...........................15
第三章 研究方法.......................................................17
第一節 單根檢定.................................................. 17
第二節 Granger 因果關係檢定.......................................19
第三節 向量自我迴歸模型.......................................... 20
第四節 最適落後期數選取...........................................21
第五節 衝擊反應分析...............................................22
第六節 變異數分解................................................ 24
第四章 實証結果與分析................................................ 26
第一節 資料來源與說明.............................................26
第二節 單根檢定.................................................. 27
第三節 Granger 因果關係檢定...................................... 32
第四節 變異數分解分析.............................................35
第五結 衝擊反應分析...............................................47
第五章 結論與建議.....................................................66
第一節 研究結論...................................................66
第二節 研究限制與建議.............................................68
附錄...................................................................69
參考文獻...............................................................86
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