臺灣博碩士論文加值系統

本篇論文的主要目的是檢視在牛市和熊市下，股票市場的價格是否會呈現不同行為，探討台灣的股票市場是否存在均值復歸的現象。在文中使用由Pagan and Sossounov(2003)提出修正後的Bry and Boschan (1971)演算法，來找出市場週期循環的轉折點，以便於定義在股票市場中牛市和熊市的階段。本研究採用1971年1月至2010年4月台灣證券交易所加權股價指數(TAIEX)的月綜合指數資料。實證結果發現，在大部分的階段中都不能拒絕單根的虛無假設，顯示股票市場價格大致上是呈現隨機漫步的現象。即以長期的觀點來看，不管在牛市或熊市的階段下，股票市場的價格還是不存在均值復歸的現象。

The purpose of this study is to test whether mean reversion in stock market prices presents a different behavior in bull and bear markets. We date the Taiwan’s bull and bear periods using Pagan and Sossounov(2003) following the algorithm developed by Bry and Boschan (1971) to find out the turning-point of business cycle. We examine Taiwan stock market index(TAIEX) covering a monthly period from January 1971 to April 2010 in bull and bear phases. Our results indicate we can’t reject unit root hypothesis in most phases, that means stock price mainly correspond to the phenomenon of random walk. In the view of long term, stock market prices in Taiwan don’t have mean reversion whether phases in bull or bear markets.

中文摘要 II
英文摘要 III
目錄 IV
表目錄 V
圖目錄 V
第壹章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 2
第三節 研究架構與流程 3
第貳章 文獻回顧 5
第一節 自我相關分析 6
第二節 變異數比率法 8
第三節 單根檢定(unit root test) 9
第四節 緩長記憶(long memory) 11
第五節 小結 14
第参章 研究方法 15
第一節 定義牛市與熊市 15
第二節 單根檢定 17
第三節 緩長記憶模型 20
第肆章 實證研究分析 23
第一節 資料整理與統計分析 23
第二節 分辨牛市和熊市階段 26
第三節 均值復歸的檢定 28
第伍章 結論與研究限制 32
第一節 結論 32
第二節 研究限制 33
參考文獻 34

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