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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳旭昇 | |
| dc.contributor.author | Pin-Hsiu Yang | en |
| dc.contributor.author | 楊品修 | zh_TW |
| dc.date.accessioned | 2021-05-16T16:28:28Z | - |
| dc.date.available | 2014-01-14 | |
| dc.date.available | 2021-05-16T16:28:28Z | - |
| dc.date.copyright | 2013-01-14 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-01-08 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/6406 | - |
| dc.description.abstract | 本文使用2000:M1至2012:M6之月資料，並運用多種時間序列計量方法，以驗證油價、美元、美股指數及台股指數之間的互動關聯性。本研究主要找出與台股指數間有相互影響的變數。為反映美股與台股的長期投資價值，改以還原息值的報酬指數來代替傳統的原始股價指數。同時，為貼近台灣企業的真實油價成本，乃依照30%杜拜原油和70%布蘭特原油的浮動計價機制，另行編製台灣油價指數，以替代其他原油價格。經過分析後，台灣油價指數、美元指數以及那斯達克報酬指數，為研究台股指數應選取之最佳變數。本文的研究結果可提供投資人決策或作為台股指數相關學術研究之參考。 | zh_TW |
| dc.description.abstract | This paper uses monthly data from 2000:M1 to 2012:M6 to utilize various quantitative methods of time series, in order to verify the interactive relationship among oil price, US dollars, American stock price index, and Taiwan weighted stock price index (TAIEX). We focus this research on some variables which are influential mutually with TAIEX. In order to reflect the long-term investment value between US stock and TAIEX, traditional stock price indexes are substituted by the stock price return indexes which include dividends. Meanwhile, we make the Taiwan oil price index instead of the other crude oil prices according to present floating oil price mechanism, which involve 30% Dubai crude oil price and 70% Brent crude oil price. Thus, it could approach genuine oil price cost for Taiwan businesses. Through the analysis of correlation, we consider the Taiwan oil price index, US dollar index, and NASDAQ composite return index as the best variables about TAIEX research. The result of research for this paper could offer the reference of investors for their trade decision or scholars for TAIEX empirical research. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-16T16:28:28Z (GMT). No. of bitstreams: 1 ntu-102-P99323004-1.pdf: 503008 bytes, checksum: 51bdb71089d18adde3aa337afbf05a8d (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | 目錄
第1章 前言 1 第2章 實證模型 6 2-1 單根檢定 6 2-2 向量自我迴歸模型（VAR） 9 第3章 資料敘述 13 第4章 實證結果 15 4-1 相關係數分析 15 4-2 單根檢定 15 4-3 向量自我迴歸模型（VAR） 16 Granger因果關係檢定 17 衝擊反應函數 18 預測誤差變異數分解 19 第5章 結語 21 參考文獻 24 附圖與附表 27 | |
| dc.language.iso | zh-TW | |
| dc.title | 油價、美元、美股指數與台股指數之互動關係研究 | zh_TW |
| dc.title | A Research of the Interactive Relationship Among Oil Price, US Dollars, American Stock Price Index and Taiwan Weighted Stock Price Index | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張勝凱,周有熙 | |
| dc.subject.keyword | 單根檢定,向量自我迴歸模型,Granger因果關係檢定,衝擊反應分析,預測誤差變異數分解, | zh_TW |
| dc.subject.keyword | unit root test,vector autoregression model,Granger causality test,impulse response analysis,forecast error variance decomposition, | en |
| dc.relation.page | 41 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2013-01-08 | |
| 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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