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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 謝德宗(Der-Tzon Hsieh) | |
dc.contributor.author | Li-Ling Yang | en |
dc.contributor.author | 楊俐玲 | zh_TW |
dc.date.accessioned | 2021-05-19T17:55:04Z | - |
dc.date.available | 2022-02-08 | |
dc.date.available | 2021-05-19T17:55:04Z | - |
dc.date.copyright | 2017-02-08 | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016-10-05 | |
dc.identifier.citation | 1. 陳和順(1981),「台灣股價變動行為之研究」,淡江大學企業管理研究所碩士論
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/7828 | - |
dc.description.abstract | 本文係以道瓊運輸指數、道瓊工業指數及總體變數為研究對象,探討道瓊運輸指數和美國股價及總體變數的關聯性,選取的總體變數包括PMI製造業指數、新屋開工數字、零售銷售數字及失業率。
研究架構係採樣自2000年01月至2015年10月之月樣本資料,以單根檢定、向量自我迴歸模型(VAR)、Granger因果檢定、衝擊反應函數及預測誤差變異數進行實證分析,首先以單根檢定確認各變數取對數並經一階差分後為定態數列後,建立變數間向量自我迴歸模型觀察道瓊運輸指數與股價及總體變數落後期之相關性,由衝擊反應函數分別了解外生衝擊對道瓊運輸指數與股價的影響,並以Granger因果關係檢定變數間是否存在領先、落後、互相領先,或兩者無任何關係,最後以預測變異數誤差分解了解各變數之間的解釋能力。研究結果顯示:道瓊運輸指數對道瓊工業指數無解釋能力,道瓊工業指數對道瓊運輸指數解釋能力高,可解釋此二指數走勢同向且一致,道瓊運輸指數和道瓊工業指數並無「領先-落後」關係,有運輸需求的新屋開工數、PMI製造業指數及零售銷售數和道瓊運輸指數關聯性大,且領先道瓊運輸指數。 | zh_TW |
dc.description.abstract | This paper discusses the relationship between the Dow Jones transportation index、 the Dow Jones industrial average index and the macroeconomic variables, including retail sales, purchasing managers ' index, new house starts and unemployment rate in US. We use quantitative methods such as Unit Root Test,Vector Autoregression Model,Granger Causality Test, Impulse Response Analysis and Forecast error Variance Decomposition. This research collected monthly data ranging from January 2000 to October 2015. First, we use unit root test to ensure all the series used in regression analysis are stationary. Then, we create the vector autoregression(VAR) model to analyze how explanatory variables affect that the Dow Jones industrial average index and The Dow Jones transportation index ,and use impulse response function to figure out the response of the Dow Jones transportation index and the Dow Jones transportation index to the exogenous shock of another variables. Granger causality test is also used to determine whether a time series is useful in forecasting another. Eventually, use the Forecast Error Variance Decomposition to indicates that how much of the forecast error variance of each of the variables can be explained by exogenous shocks to the other variables. The conclusion of this research shows that the Dow Jones transportation index movements explain a rarely fraction of the forecast error variance in the Dow Jones Industrial Average Index. The Dow Jones Industrial Average Index movements explain a larger fraction of the forecast error variance in the Dow Jones transportation index than itself. This result can explain the trend of the two index are consistent. The Dow Jones transportation index Granger cause the Dow Jones Industrial Average Index is not significant. The variables with transportation demands, the new house starts, the retail sales and the PMI , are Granger cause and play important roles in affecting the Dow Jones transportation index. | en |
dc.description.provenance | Made available in DSpace on 2021-05-19T17:55:04Z (GMT). No. of bitstreams: 1 ntu-105-P01323015-1.pdf: 1565869 bytes, checksum: bccead2c269e435dc3be6707ec0d69c0 (MD5) Previous issue date: 2016 | en |
dc.description.tableofcontents | 口試委員審定書………………………………………………………………….. .i
謝辭………………………………………………………………………………....ii 中文摘要…………………………………………………………………………....iii 英文摘要……………………………………………………………………………iv 目錄…………………………………………………………………………………v 圖目錄………………………………………………………………………………vii 表目錄………………………………………………………………………………viii 第一章 導論…………………………………………..………………………....1. 1-1 研究背景與動機…………………................................................................1. 1-2 研究對象及範圍…………………………………………………………....4. 1-3 研究流程…………………………………………………………………....4. 第二章 文獻探討與回顧………………………………………………………..6. 第三章 研究資料與實證方法…………………………………………………...11. 3-1 研究資料敘述……………………………………………………………....11. 3-2 單根檢定…………………………………………………………………....18. 3-3 向量自我迴歸模型………………………………………………………....21. 3-4 Granger因果關係檢定……………………………………………….……..23. 3-5 衝擊反應函數……………………………………………………………....24. 3-6 預測誤差變異數分解……………………………………………………....25. 第四章 實證結果 ……………………………………………………………….27. 4-1 相關係數分析………………………………………………………….…...27. 4-2 向量自我迴歸模型………………………………………………………...29. 4-3 Granger因果關係檢定……………………………………………………..35. 4-4 衝擊反應函數……………………………………………………………...39. 4-5 預測誤差變異數分解..…………………………………………………….41. 第五章 結論與建議……..……………………………………………………......45. 5-1 結論…..…………………………………………………………………… 45. 5-2 研究建議…..…………………………………………………………….... 47. 參考文獻…………………………………………………………………………... 48. 圖目錄 圖1-1 道瓊工業指數(INDU)與道瓊運輸指數(TRAN)股價變動趨勢) ………….2. 圖1-2 研究流程…………………………………………………………………....5. 圖3-1 各變數原始走勢及處理後(取對數及差分)走勢圖………………...…….15. 圖4-1 Granger 因果檢定結果關係圖(箭頭表示Granger cause方向) …………..38. 圖4-2 總體變數變動產生的衝擊反應(Tran為內生變數) ……………………...39. 圖4-3 總體變數變動產生的衝擊反應(INDU為內生變數) …………………….40. 表目錄 表1-1 主要國家景氣領先指標構成項目…………………………………………..3. 表3-1 道瓊工業指數及道瓊運輸指數各股名稱及佔指數權重………………...14. 表3-2 樣本變數名稱及代號對照表……………………………………………...15. 表3-3 各變數之單根檢定結果—ADF檢定……………………………………...20. 表3-4 各變數之單根檢定結果—PP檢定………………………………………...21. 表4-1 變數相關係數表(原始值) …………………………………………………28. 表4-2 變數相關係數表(經差分及取對數) ……………………………………....28. 表4-3 以VAR模型運用各種資訊評選準則選取最適落後期………………….29. 表4-4 各變數落後5期之VAR模型估計值……………………………………......32. 表4-5 Granger 因果關係實證結果……………………………………………......37. 表4-6 各變數間Granger 因果檢定結果彙整表………………………………......38. 表4-7 預測變異數誤差分解……………………………………………………...43. | |
dc.language.iso | zh-TW | |
dc.title | 道瓊運輸指數、工業指數與總體經濟變數關係之研究 | zh_TW |
dc.title | The Dow Jones Transportation Index, Industrial Index and Macroeconomic Variables-An Empirical Evidence | en |
dc.type | Thesis | |
dc.date.schoolyear | 105-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 林惠玲(Hui-Lin Lin),李顯峰(Hsien-Feng Lee),陳正倉(Cheng-Tsang Chen) | |
dc.subject.keyword | 向量自我迴歸模型,Granger因果關係檢定,衝擊反應函數,預測變異數誤差分解, | zh_TW |
dc.subject.keyword | Vector Autoregression Model,Granger Causality Test,Impulse Response Analysis,Forecast error Variance Decomposition, | en |
dc.relation.page | 50 | |
dc.identifier.doi | 10.6342/NTU201603649 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2016-10-06 | |
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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