臺灣博碩士論文加值系統

本研究樣本資料為西元2007年1月1日至2011年12月31日台灣加權股價指數及台灣50與台積電ADR的日資料，採用時間序列分析方法，經由所搜集的樣本資料進行逐日比對，包括共同營業日，當中也剔除兩國的非交易日，對應基期一致性而成有效樣本。
首先以ADF(Augmented Dickey-Fuller)進行各別單根檢定顯示，一階差分後皆無法拒絕存在單根的虛無假設，也就是說研究樣本時間序列資料結果已呈現定態變數。
Johansen共整合實證顯示，台灣加權股價指數、台灣50與台積電ADR三者間只有一組共整合向量存在，即指台灣加權股價指數、台灣50及台積電ADR有一長期均衡關係。
透過誤差修正模型中檢視出台灣加權股價指數與台灣50及台積電ADR的前後期變動之影響。另外台灣加權股價指數、台灣50及台積電ADR三個變數間Granger因果關係，說明台灣50(自變數) 顯著影響台灣加權股價指數(應變數)及台積電ADR(應變數)，僅具有單向影響的因果關係，最後檢視衝擊反應分析圖顯示台灣50的非預期衝擊對台積電ADR股價及台灣加權股價指數初期均有正向影響，台灣加權股價指數的非預期衝擊對台積電ADR股價及台灣50均有正向影響，所以，台灣加權股價指數與台灣50相互影響。

This study is to analyze the Changes of Taiwan Stock Market Index, Taiwan 50 index and Taiwan Semicond Mnfcg CoADR during the January 2007 through December 2011 by using Time Series Analysis. We compare all the samples which include business day and exclude non-trading day in two countries.
First, we use ADF to examine the Unit Root, and then First difference shows that it is can refuse the Null Hypotheses which means that Time series data has shown stationary. Besides, Johansen Conitegrated shows that there is only one group exists Contegrated vector in the Changes of Taiwan Stock Market Index, Taiwan 50 index and Taiwan Semicond Mnfcg CoADR. This study via use Error Correction Model to exam the pre and post effect of Taiwan Stock Market Index, Taiwan 50 index and Taiwan Semicond Mnfcg CoADR. Besides, this three variables point out that Taiwan 50 index has a significant impact on the Taiwan Stock Market Index and Taiwan Semicond Mnfcg CoADR , only one-way influence causality.
Finally, the Impulse Response Function shows that the unexpected impact of Taiwan 50 index has a positive impact on Taiwan Semicond Mnfcg CoADR and Taiwan Stock Market Index. Taiwan Stock Market Index also has a positive impact on Taiwan Semicond Mnfcg CoADR and Taiwan 50 index. Therefore, both of them are interaction.

中文摘要........................i
英文摘要.......................ii
誌謝..........................iv
目錄...........................v
表目錄........................vi
圖目錄.......................vii
第一章 緒論....................1
第一節 研究動機與背景...........1
第二節 研究目的................6
第三節 研究範圍................7
第四節 研究架構與流程...........8
第二章 文獻回顧................10
第一節 國外文獻................10
第二節 國內文獻................13
第三章 研究方法................15
第一節 單根檢定................16
第二節 共整合檢定..............18
第三節 誤差修正模型............20
第四節 因果關係檢定............22
第五節 衝擊反應分析............23
第四章 實證結果與分析..........24
第一節 資料來源與研究期間.......24
第二節 資料定態檢定............26
第三節 Johansen共整合檢定......32
第四節 誤差修正模型............34
第五節 Granger因果關係檢定.....38
第六節 衝擊反應分析............40
第五章 結論與建議 ..............43
第一節 研究結論................43
第二節 研究建議................45
參考文獻.......................47

一、英文部分

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二、中文部分
劉健欣 (1999)，「台灣股市與美國股市關連性之實證研究」，淡江大學管理
科學研究所碩士論文。

楊筆琇 (1999)，「台灣電子股指數與美國股價指數互動關係之實證研究」，成
功大學企業管理研究所碩士論文。

楊奕農(2009)，「時間序列分析」，雙葉出版社。

陳怡伶（2004），「台灣50ETF 與台灣加權股價指數現貨與台指期貨間的價格關聯性研究」。