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研究生:張馨文
研究生(外文):Hsin-Wen Chang
論文名稱:股票價格之崩盤與複雜理論:以美國小公司為例
論文名稱(外文):Stock Price Crash and Complex Theorem : The Case of US Small Firms
指導教授:許保忠許保忠引用關係
指導教授(外文):Paochung Hsu
學位類別:碩士
校院名稱:靜宜大學
系所名稱:財務金融研究所
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:2010
畢業學年度:98
語文別:中文
論文頁數:83
中文關鍵詞:群聚行為正向回饋複雜理論股價崩盤
外文關鍵詞:Herdingpositive feedbackCrashcomplex Theorem
相關次數:
  • 被引用被引用:1
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本研究運用複雜理論的內容及方法,討論個別公司在崩盤前股價是否存在泡沫化現象,且其變化過程中是否具對數週期特徵;即符合複雜系統中,作用體間跨層級交互作用產生從眾行為及正向回饋,導致股價呈現泡沫化快速變動上升,當系統觸及臨界點時,崩盤發生的可能性隨之而至。
本研究採樣了紐約証交所上市的個別公司為分析對象,發現在88家公司中77家公司存在崩盤發生,其中總共有195次的事件發生,崩盤前價格變動存在對數週期特徵者共42件,亦即,紐約證券交易所之小型個別公司崩盤事件中,超過2成的機率其崩盤導因於泡沫化股價結構失衡特性所致。研究證實符合複雜理論特性提出的預測模型,可提供交易者避免損害發生的投資參考。
Many studies apply different methods to find out why stock markets crash. The methods which included basic analysis、technical analysis and other traditional methods. In present study, we want to understand if investors’ behavior could cause the crash of stock market.
The purpose of this paper is to examine whether the feature of a stock price crash of individual firm can be found by employing the concepts and methods from complex theory. We sample a data set consisting of 88 NYSE listed firms. The study period is from November 4, 1999 to November 4, 2009. We find that 21.54 percent of the crashes in our sample have log-periodic signatures. According to complex theory, the empirical results indicate that positive feedbacks, herding are causes of individual firms’ crash.
謝誌 Ⅰ
摘要 Ⅱ
ABSTRACT 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 1
第二節 研究目的 4
第二章 文獻探討 6
第一節 雜訊交易理論 6
第二節 複雜理論的介紹 7
第三節 崩盤研究之相關文獻 12
第三章 研究方法 16
第一節 研究範圍 16
第二節 實證模型 17
第三節 實證步驟 28
第四章 實證結果 31
第五章 結論 33
參考文獻 34
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