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研究生:蘇信瑋
研究生(外文):Hsin-Wei Su
論文名稱:台灣上市公司之訊息傳遞研究
論文名稱(外文):The information transmission effect among Taiwanese listed firms
指導教授:楊踐為楊踐為引用關係
指導教授(外文):Jien-Wei Yang
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:2013
畢業學年度:101
語文別:中文
論文頁數:101
中文關鍵詞:投資組合規模成交量向量自我迴歸模型
外文關鍵詞:investment portfoliomarket valueTrading Dollar VolumeVector Autoregressive Model
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本文利用向量自我迴歸模型,以大規模、中規模及小規模三個投資組合為研究對象,探討其個別投資組合本身每月大成交量、中成交量與小成交量等變數的動態關聯性,並比較變數間的關係在不同投資組合中的同異性。經由Granger因果關係檢定中發現,大成交量、中成交量與小成交量等變數只有在大規模投資組合中發現有因果關係。向量自我迴歸分析來看,大規模投資組合,中成交量對股票報酬的反應領先小成交量;中規模投資組合,小成交量對股票報酬的反應領先中成交量;小規模投資組合,三者之間互相獨立。以變異數分解來看,三投資組合中幾乎是大成交量有絕對的解釋程度,其次是輪到自身變數被變異數分解時則由自身解釋程度次之。衝擊反應分析則發現,大規模投資組合和小規模投資組合之反應效果均於七期內達到收斂,所以皆為短期效果,不具持續性,但是中規模投資組合之反應效果均於十天內達到收斂,故為長期效果,具有持續性。
This paper uses the Vector Autoregressive(VAR)to investigate the relations among big market value, middle market value, small market value and and compare the relationships among variables in the different portfolios. Found via the Granger causality test, large volume, middle volume and small volume variables only have a causal relationship is found in the large-scale investment portfolio. In the Vector autoregression analysis, middle volume of stock returns reaction leading small volume in the big market value investment portfolio ; small volume of stock returns reaction leading middle volume in the middle market value investment portfolio; in the small market value investment portfolio, three independent of each other. In the Variance decomposition, three portfolio is almost absolute degree of interpretation of the big volume, followed by own variables variance decomposition by itself explain the extent of the second turn.

In the impulse response analysis, big market value investment portfolio and small market value investment portfolio reaction effect during the period of seven to achieve convergence, so are the short-term effect is not persistent, but the response effect of middle market value investment portfolio convergence is reached within 10 period of convergence is reached, the long-term effects with persistent. So the long-term effects with persistent.
目錄
中文摘要.....................................................................i
英文摘要....................................................................ii
誌謝.......................................................................iii
目錄............... .......................................................iv
表目錄........ ..............................................................v
圖目錄..... ................................................................vi
第壹章 緒論.......... .......................................................1
第一節 研究背景與動機..........................................................1
第二節 研究目的...............................................................3
第三節 論文架構...............................................................4
第貳章 文獻回顧................................................................5
第一節 公司規模相關文獻........................................................5
第二節 成交量(成交值)相關文獻.................................................18
第参章 研究方法..............................................................31
第一節 定態與單根檢定.........................................................31
第二節 共整合檢定............................................................33
第三節 最適落後期數的選取.....................................................36
第四節 Granger 因果相關檢定..................................................37
第五節 向量自我迴歸模型.......................................................39
第六節 衝擊反應分析...........................................................41
第七節 預測誤差變異數分解......................................................42
第肆章 實證結果與分析..........................................................44
第一節 資料來源與敘述統計分析...................................................44
第二節 單根檢定..............................................................49
第三節 共整合檢定.............................................................51
第四節 Granger因果關係檢定....................................................53
第五節 向量自我迴歸(VAR)因果關係................................................60
第六節 變異數分解的影響程度.....................................................67
第七節 衝擊反應分析...........................................................77
第伍章 結論與建議..............................................................84
第一節 研究結論. .............................................................84
第二節 研究限制及建議..........................................................86
參考文獻......................................................................88
參考文獻

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