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研究生:劉靜玟
研究生(外文):LIU, CHING-WEN
論文名稱:經濟政策不確定性對中國股市之影響
論文名稱(外文):The Effects of Economic Policy Uncertainty on China's Stock Market
指導教授:賴奕豪賴奕豪引用關係
指導教授(外文):LAI, YI-HAO
口試委員:劉文祺林宗漢賴奕豪
口試委員(外文):LIU, WEN-CHILIN, ZONG-HANLAI, YI-HAO
口試日期:2017-12-09
學位類別:碩士
校院名稱:大葉大學
系所名稱:管理學院碩士在職專班
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2018
畢業學年度:106
語文別:中文
論文頁數:26
中文關鍵詞:中國股市經濟政策不確定性經濟政策不確定性指數迴歸分析
外文關鍵詞:Chinese Stock MarketsEconomic Policy UncertaintyEconomic Policy Uncertainty IndexRegression Analysis
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以往經濟政策不確定性的觀念,只有文字性敘述,沒有量化研究支持,本研究根據斯坦福大學和芝加哥大學的Scott R. Baker、Nicholas Bloom和Steven J.Davis三位學者對經濟政策不確定性一系列量化分析,建構的經濟政策不確定性指數,探討經濟政策不確定性對中國股市影響。
本研究以中國股市為主要研究對象,以2008年4月至2017年8月間上海及深圳證券交易所之A股、B股為研究樣本,運用迴歸分析方法,探究中國及美國EPU指數的月變動率對中國上海和深圳證券交易所A、B股股價的月報酬的關聯性。
經實證結果顯示,中國股票市場與經濟政策不確定性兩者之間具有顯著的負向關聯性,中國經濟政策不確定性的資訊對A股投資者較有影響力,而A、B股同時受美國經濟政策不確定性的衝擊,進而推測出B股投資者對美國EPU的訊息較具敏感性。

In the past, the concept of economic policy uncertainty, only presented by textual narratives, without quantitative research supports, the study is based on series quantitative analysis of economic policy uncertainties made by three scholars of Stanford University and the University of Chicago Scott R. Baker, Nicholas Bloom and Steven J. Davis. They created economic policy uncertainty index to explore the effects of economic policy uncertainty on the Chinese stock market.
The study took Chinese stock markets as the main research object, using the index of A-shares and B-shares of Shanghai and Shenzhen Stock Exchanges from April 2008 to August 2017 as research samples. The study, which using the method of regression analysis, explored the correlations between the monthly changes ratios of EPU(Economic Policy Uncertainty) index in China and in the US, and the monthly remuneration ratios of the A and B shares of Shanghai and Shenzhen Stock Exchanges in China.
The empirical results evidenced significant negative correlations between the Chinese EPU and Stock Markets. The information of Chinese EPU is more influential to A-shares of Shanghai and Shenzhen Stock Exchanges Markets investors, while the A-shares and B-shares of Shanghai and Shenzhen Stock Exchanges Markets were impacted by the American EPU simultaneously, hence the B-shares investors of Shanghai and Shenzhen Stock Exchanges Markets are more sensitive to the information of the American EPU to be speculated.

封面內頁
簽名頁
中文摘要                      iii
英文摘要                      iv
誌謝                        v
目錄                        vi
表目錄                      viii

第一章 緒論
第一節 研究背景與動機            1
第二節 研究目的               2
第三節 研究架構與流程            3
第二章 文獻回顧
第一節 經濟政策不確定性指數介紹      4
第二節 中國大陸股票市場介紹        6
第三節 經濟政策不確定對股票市場之影響   9
第三章 研究方法                 12
第四章 實證結果與分析
第一節 樣本選取與資料來源         15
第二節 敘述性統計分析           15
第三節 中國股市迴歸分析檢定        17
第五章 結論與建議
第一節 結論                21
第二節 建議                22
參考文獻                      23

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朱浩民(2010),中國金融制度與市場,智勝文化事業有限公司。
李良(2014),美國量化貨幣寛鬆政策對中國股市的溢出效研究,江西財經大學碩士論文。
徐于茜(2013),大陸股票市場波動多重結構性改變之研究,正修科技大學財務金融研究所碩士論文。
賴橋瑩(2013),投資人類別、金融海嘯與價格效率-以中國股市為例,台北大學金融與合作經營學系碩士論文。

英文部分:
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