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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 林建甫(Chien-Fu Lin) | |
dc.contributor.author | Chi-Che Tsai | en |
dc.contributor.author | 蔡季哲 | zh_TW |
dc.date.accessioned | 2021-06-16T09:29:00Z | - |
dc.date.available | 2017-06-12 | |
dc.date.copyright | 2017-06-12 | |
dc.date.issued | 2017 | |
dc.date.submitted | 2017-03-28 | |
dc.identifier.citation | 中文部分
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/59587 | - |
dc.description.abstract | 本研究探討總體經濟變數與台灣加權指數之關聯性,使用單根檢定、共整合檢定、向量自我迴歸模型、誤差修正模型、衝擊反應函數、預測誤差變異分解以及因果關係檢定等方法來研究時間序列之變數,研究期間為2000年1月至2016年12月之月資料,每筆資料共204個觀察值。實證結果發現總體經濟變數與加權指數皆為I(1),長期下,具有共整合均衡關係,總體經濟變數對加權指數之衝擊反應函數與預測誤差變異分解影響相當小,並且Granger Causality顯示總體經濟變數與加權指數間亦無顯著之因果關係,表示加權指數有random walk之性質,市場上的訊息早已反應在股票市場上,使用總體經濟變數來解釋加權指數之效果不佳,也可能因為總體經濟變數的資料通常為月資料,對於分秒變動的加權指數不甚敏感。此外,工業生產指數方面,其因果關係顯著落後加權指數,衝擊反應函數與預測誤差變異分解受加權指數與匯率影響劇烈,顯示台灣具有開放經濟體之特質,也證實加權指數為領先指標,用加權指數與匯率來解釋和預測實質產出有相當之解釋力。 | zh_TW |
dc.description.abstract | This research studies the correlation between Taiwan macroeconomic variables and the stock market index, using unit root test, cointegration test, VAR, VECM, impulse response function, forecast error variance decomposition, and Granger causality test, etc. Period of monthly data is from January 2000 to December 2016. Each variable comprises 204 observations. The empirical results show that Taiwan macroeconomic variables and the stock market index are I (1) with a long-term equilibrium relationship. According to impulse response function and forecast error variance decomposition, response of stock index to macroeconomic variables is very weak. Furthermore, VEC Granger Causality shows that there is no significant causal relationship between stock market index and Taiwan macroeconomic variables, indicating that stock index is like random walk. Stock market reflects all information immediately. Estimating stock market index with macroeconomic variables isn’t effective because monthly data of macroeconomic variables, comparing to stock index that continues changing, is not sensitive. In addition, industrial production index (IPI) is significant Granger caused by stock index. In terms of impulse response function and forecast error variance decomposition, IPI is also significant affected by stock index indicating that Taiwan has the characteristics of an open economy and stock index is a leading indicator. Using stock index to estimate IPI with stock index is effective. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T09:29:00Z (GMT). No. of bitstreams: 1 ntu-106-R04323046-1.pdf: 966908 bytes, checksum: 6da1e391ba7a21e33b04e5fdbbad176f (MD5) Previous issue date: 2017 | en |
dc.description.tableofcontents | 目錄
誌謝...i 中文摘要...ii 英文摘要...iii 目錄...iv 圖目錄...vi 表目錄...vii 第一章 緒論...1 第一節 研究動機...1 第二節 研究目的...2 第三節 論文架構...2 第二章 文獻回顧...4 第一節 股票市場研究...4 第二節 各國實證文獻...4 第三節 台灣實證文獻...6 第三章 研究方法...7 第一節 單根檢定...7 第二節 向量自我迴歸模型...9 第三節 共整合檢定...10 第四節 誤差修正模型...13 第五節 衝擊反應函數...13 第六節 預測誤差變異分解...14 第七節 Granger因果關係檢定...16 第四章 實證結果分析...18 第一節 資料來源與分析...18 第二節 單根檢定結果...21 第三節 向量自我迴歸模型之最適遞延期實證結果...23 第四節 Johansen共整合檢定實證結果...24 第五節 向量誤差修正模型實證結果...26 第六節 衝擊反應函數結果實證結果...28 第七節 預測誤差變異分解實證結果...32 第八節 Granger因果關係檢定實證結果...34 第五章 結論與建議...37 第一節 結論...37 第二節 研究限制及建議...38 參考文獻...39 | |
dc.language.iso | zh-TW | |
dc.title | 台灣總體經濟變數與加權股價指數關係之實證研究 | zh_TW |
dc.title | Empirical Relationship between Taiwan Macroeconomic Variables and Stock Market Index | en |
dc.type | Thesis | |
dc.date.schoolyear | 105-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 吳中書(Chung-Shu Wu),林金龍(Jin-Lung Lin),郭平欣(Ping-Sing Kuo) | |
dc.subject.keyword | 總體經濟變數,加權股價指數,單根檢定,向量自我迴歸模型,衝擊反應函數,預測誤差變異分解,因果關係檢定, | zh_TW |
dc.subject.keyword | Taiwan Macroeconomic Variable,Stock Market Index,Unit Root Test,VAR,Impulse Response Function,Forecast Error Variance Decomposition,Granger Causality Test, | en |
dc.relation.page | 42 | |
dc.identifier.doi | 10.6342/NTU201700724 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2017-03-29 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
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