(3.238.7.202) 您好!臺灣時間:2021/02/26 15:03
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:林彥植
研究生(外文):Yan-Jhij Lin
論文名稱:外資進場對台灣買超及股票市場的影響
論文名稱(外文):The Relationship between Foreign purchases and Taiwan Stock Market Index-An Application of Bivariate GARCH-in-Mean Model
指導教授:邱魏頌正邱魏頌正引用關係
指導教授(外文):Song - Zan Chiou-Wei
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:國際企業系
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:2010
畢業學年度:98
語文別:中文
論文頁數:35
中文關鍵詞:外資買超雙變量GARCH-M模型VAR不確定性
外文關鍵詞:foreign purchasepurchase expansionVAR -GARCH in Mean modeluncertainty
相關次數:
  • 被引用被引用:0
  • 點閱點閱:351
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本論文參考Radhames and Andre (2009)之作法,於1996年至2009年台灣股市以股價報酬和外資進場互相解釋,並納入會影響兩者的控制變數,如無風險利率、通貨膨脹、長短期利差,以避免股價報酬和外資進場被這些因素干擾。藉由這些互動項運用雙變量VAR-GARCH-M模型,本研究得以驗證股價報酬波動及其外資進場的不確定性對台灣股價報酬的影響,並據以評估外資買進是否刺激股價報酬的效果。
實證結果分析顯示,外資買單增加以本國貨幣表示的股價報酬收益有顯著正向關聯,但效果不大,而外資買單下引發的波動,正面衝擊股價報酬,並成股價波動,隨著時間落後下有呈現正相關效果。
This study adopts the work of Radhames and Andre (2009), we measure informed interaction of stock returns and foreign purchase spanning the period from 1996 to 2009. Moreover, some variables, such as inflation, risk-free rate and the spread between long and short-term interest rates are taken into account because the literature indicates they may affect stock returns. Bivariate VAR-GARCH-M model are used to test the hypotheses.
To do so, it’s including uncertainty factors to examine the direction of causality between stock returns and foreign purchase expansion, as well as the impacts of uncertainty on both variables. As the result foreign purchase uncertainly was found to be positive and statistically significant. A significant impact of uncertainty on stock return is also identified.
Contents
Chapter 1 Introduction 1
1.1 Background and Motivation 1
1.2 Organization 4
Chapter 2 Literature Review 5
2.1 Theoretical framework 5
Chapter 3 Sample and Descriptive statistics 8
3.1 Econometric Formulation 8
3.2 Data 11
3.3 Methodology 14
Chapter 4 Empirical analysis 17
Chapter 5 Conclusion 27
5.1 Conclusion 27
5.2 Contribution and Suggestion 27
Reference 29
Reference
Bollerslev, T.,1990, “Modelling the coherence in short-run nominal exchange rates:a multivariate generalized ARCH model”. Review of Economics and Statistics, 72: 498–505.
Berndt, E., Hall, B., Hall, R., and Hausman, J.,1974, “ Estimation and inference in nonlinear structural models”. Annals of Economic and Social Measurement, 3: 653–665.
Chen,C.F., Chiou-Wei, S.Z., 2009, “Tourism expansion, tourism uncertainty and economic growth: New evidence from Taiwan and Korea”. Tourism Management, 30: 812-818.
Dickey, D.and Fuller, W., 1979, “ Distribution of the estimators for autoregressive time series with a unit root”. Journal of the American Statistical Association, 74: 427–431.
Engle, R. E., and Granger, C. W. J.,1987, “ Cointegration and error-correction: representation,estimation, and testing”. Econometrica, 55: 251–276
Elliott, G., Rothenberg, T., Stock, J., 1996, “ Efficient tests for an autoregressive unit root”. Econometrica, 64: 813–836.
Fama, E., 1981, “ Stock returns, real activity, inflation and money”. American Economic Review, 71: 545–565.
Fama, E.and French, K., 1993, “ Common risk factors in the returns on stocks and bonds”. Journal of Financial Economics, 33,(1): 3–56.
Froot, K., O’Connell, P.G.and Seasholes, M., 2001, “ The portfolio flows of international investors”. Journal of Financial Economics, 59: 151–193.
Engle, R. E., and Granger, C. W. J. 1987 . “Cointegration and error-correction: representation, estimation, and testing”. Econometrica, 55, 251-276.
Granger, C.W.J., 1986., “ Development in the study of co-integrated economic variables”. Oxford Bulletin of Economics and Statistics, 48, 226.
Granger, C.W.J., 1988, “Causality, cointegration, and control”. Journal of Economic Dynamics and Control, 12: 551-559.
Hamilton, J.D., 1983, “ Oil and the macroeconomy since World War II”. Journal of Political Economy, 91, (2): 228–248.
Hartmann, D.and Pierdzioch, C., 2007, “International equity flows and the predictability of U.S. stock returns”. Journal of Forecasting 26: 583–599.
Hondroyiannis, G.and Papapetrou, E., 2001, “ Macroeconomic influences on the stock market”. Journal of Economics and Finance 25: 33–49.
Johansen, S., 1988, “Statistical analysis of cointegration vectors”. Journal of Economics and Dynamic Control ,12: 231–254.
Johansen, S., 1991, “ Estimation and hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models”. Econometrica, 59: 1551–1580.
Johansen, S.and Juselius, K., 1990, “Maximumlikelihood estimation and inference on cointegration—with applications to the demand for money”. Oxford Bulletin of Economics and Statistics, 52 (2): 169–210.
John Y. C.and Sanford J. G., 1993. “ Trading volume and serial correlation in stock returns”. The Quarterly Journal of economics, Volume 108, No 4: 905-939.
Kevin B.G and Mark J.P., 2000, “ The effects of real and nominal uncertainty on inflation and output growth: some GARCH-M evidence”. Journal of Applied econometrics, 15: 45-48.
Kevin B.G and Mark J.P., 1996, “Inflation, inflation uncertainty, and relative price dispersion: Evidence from bivariate GARCH-M models”. Journal of Monetary Economics, 38: 391-405.
Kwiatkowski, D., Phillips, P., Schmidt, P.and Shin, Y., 1992, “ Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic series have a unit root ?” Journal of Econometrics ,54: 159–178.
Ljung, T., and Box, G., 1979, “ On a measure of lack of fit in time series models”. Biometrika,66: 66–72.
Malliaris, A. G. and Urrutia, J. L., 1992, “The International Crash of October 1987: Causality Tests”, Journal of Financial & Quantitative Analysis, 27(3):.353-364.
Nelson, C.and Plosser, C., 1982, “ Trends and random walks in macroeconomics time series: some evidence and implications”. Journal of Monetary Economics, 10: 139–162.
Nelson, D. B., 1991, “Conditional hetroskedasticity in asset returns: a new approach”. Econometrica, 59(2): 347–370.
Ng, S., Perron, P., 1995, “ Unit root test in ARMA models with data dependent methods for the selection of the truncation lag”. Journal of the American Statistical Association, 90: 268–281.
Osterwald-Lenum, M., 1992, “A Note with Quantiles of the Asymptotic Distribution if the Maximum Likelihood Cointegration Rank Test Statistics,” Oxford Bulletin of Economics and Statistics, 54: 461–72.
Pesaran, M.H. and Shin, Y., 1999, “ An autoregressive distributed lag modeling approach to cointegration analysis. In: Strom, S.(Ed.), Econometrics and Economic Theory in the Twentieth Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, Cambridge.
Radhames A. L. and Andre V. M., 2009, “ Do foreign purchases of U.S. stocks help the U.S. stock market?” Journal of International Financial Markets Institution& Money, 19: 969-986.
Sharpe, W.F., 1963, “ A simplified model for portfolio analysis”, Management Science ,9 (2): 277–293.
Tsay, R. S., 2002, “Analysis of Financial Time Series”. John Wiley & Sons, Inc, USA.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關論文
 
1. 陳玉敏、李月萍(2005)•老年人之整體照護•護理雜誌,51(3),7-10。
2. 胡蓮珍、曾淑梅、袁素娟(2003) .中部某醫學中心護理人員工作滿意度及其相關因素探討.中山醫學雜誌,14(2) ,315-325。
3. 湯玉英(1994)• 如何降低護理人員的離職率.護理雜誌,41(2),83-87。
4. 陳梅麗、林小玲、連金延、余先敏、蔡欣玲(2000)醫學中心護理人員工作壓力離職意願與離職行為之相關性研究榮總護理17(3)206-268。
5. 李世代(2000) .長期照護體系之建構:長期照護需求推估之探討.社區發展季刊,92,66-83。
6. 陳玉敏、邱美汝(2002)•老人照護之目標•慈濟護理雜誌,1(3),34-39。
7. 陳惠姿(2008)老人及長期照護人力培育護理雜誌55(4)11-16。
8. 張秋麗、鄒海月、任新菊(1999) .護理人員之愛之病照護知識、態度及行為趨向之探討.護理研究,7(2),104-115。
9. 楊桂鳳、劉銀隆、于漱(2004)•老年的形象:世代間的比較•醫護科技學刊,6(4),371-384。
10. 熊秉荃、戴玉慈、徐亞瑛、陳月枝、黃久美(1992)老人長期療養機構護理人員及佐理員之角色與功能護理雜誌39(4)49-55。
11. 劉慧俐、黃偉訓、張君端(2002).長期照護人力資源運用網路培訓之初探.長期照護雜誌,5(2),25-37。
12. 劉立凡(2003)•由文獻查證與證實的角度看一份短式老年知識問卷之 應用•立德學報,1(1),112-129。
13. 鍾春櫻(1997).護專生對老人態度、行為意向和影響因素之研究.大仁學報,15,76-91。
14. 魏玲玲(1995).護生老化知識及對老人態度之調查.護理研究,3(2),171-180。
 
系統版面圖檔 系統版面圖檔