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研究生:張大千
研究生(外文):CHANG, TA-CHIEN
論文名稱:台灣二月效果的跨期風險收益關係
論文名稱(外文):Intertemporal Risk-Return Relationship of February Effect in Taiwan
指導教授:吳淑貞吳淑貞引用關係
指導教授(外文):Wu, Shue-Jen
口試委員:張榮顯蔡豐澤
口試委員(外文):Chang, Jung-HsienTsai, Feng-Tse
口試日期:2020-06-09
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:國際企業學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:49
中文關鍵詞:月份效果總體經濟變數CAPM
外文關鍵詞:month effectmacroeconomic variablesCAPM
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本研究探討十二個月份中台灣股市大盤報酬率與風險的抵換關係,發現在二月份面對高風險時可獲得高報酬;其後分別以兩項國內總體經濟變數以及三項國際總體經濟變數做迴歸分析,用於判斷該關聯性是否受到總體經濟變數的影響,再同時以國內外總體經濟變數判斷該關聯性是否受到總體經濟變數的影響,結果顯示在二月份不論單以國內總體變數或同時以國內外總體變數對台股大盤報酬率做迴歸分析,皆可得到顯著的預測結果,即台灣大盤股市二月份面對高風險可獲得高報酬的結論。
This study explore trade-off relationship between risk and return in the Taiwan stock market on twelve months. We find that high returns can be obtained when facing high risks in February. Then two domestic macroeconomic variables and three international macroeconomic variables were used for regression analysis to determine whether the correlation was affected by the overall economic variables. The result indicate that whether single macroeconomic variable or both of domestic macroeconomic variables and international macroeconomic variables used for regression analysis, significant prediction results can be obtained. The conclusion that Taiwan stock market can obtain high returns in the face of high risks in February.
目次
摘要 Ⅰ
Abstract Ⅱ
目次 Ⅲ
表目次 Ⅳ
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與架構 3
第二章 文獻回顧 5
第一節 股票市場風險與報酬 5
第二節 股票市場風險與報酬延伸 7
第三節 月份效果 10
第四節 國內總體變數與股票市場報酬率 12
第五節 國際總體變數與股票市場報酬率 14
第三章 研究方法 16
第一節 研究樣本與資料來源 16
第二節 實證模型 18
第四章 實證結果 20
第一節 敘述統計 20
第二節 實證研究 24
第五章 結論與建議 42
第一節 結論 42
第二節 研究限制與建議 44
國內參考文獻 45
國外參考文獻 46


中文參考文獻
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2.張偉玲 (2018),股票風險與報酬分析-台灣實證,國立暨南國際大學國際企業學系碩士論文
3.蕭慧玲、黃勁豪 (2002),台灣股票市場波動性與總體經濟波動性之研究,東海管理評論,4(1),27-54
4.李偉銘、吳淑貞、黃啟泰 (2015),總體經濟變數對台灣股市之大盤及類股熊市預測表現之探討,經濟研究,51(2),171-224
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英文參考文獻
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