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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林建甫(Chien-Fu Lin) | |
| dc.contributor.author | Fang-Ching Lee | en |
| dc.contributor.author | 李芳菁 | zh_TW |
| dc.date.accessioned | 2021-06-15T04:21:16Z | - |
| dc.date.available | 2019-10-20 | |
| dc.date.copyright | 2009-10-23 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-10-20 | |
| dc.identifier.citation | 中文部分
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/45458 | - |
| dc.description.abstract | 本研究以台指現貨、台指期貨及摩台指期貨為實證研究標的，探討三者之價格發現功能，並觀察2008年10月6日期交稅的調降，是否對三個市場間的價格領先-落後關係產生變化。
本研究利用ADF單根檢定、Johansen共整合模型、誤差修正模型及Granger因果關係檢定觀察價格發現功能，得到結論如下：Johansen共整合模型顯示，台指現貨、台指期貨及摩台指期貨無論在期交稅調降前或調降後，兩兩市場間皆存在一共同長期趨勢。同時根據誤差修正模型及Granger因果關係檢定得知，期交稅的調降，有效提高投資人參與台灣期貨市場的意願，因而台指期貨在價格發現上領先摩台指期貨，對台指現貨的影響力也較期交稅調降前為強。 | zh_TW |
| dc.description.abstract | This paper investigates the price discovery between spot and futures markets for Taiwan Stock Index that traded on TAIFEX and SGX-DT. The cointegration test and Error correction model are used to examine the lead-lag relationships between these three markets. In addition, TAIFEX reduced transaction tax on October 6, 2008. We empirically test the differences between TAIFEX and SGX-DT for the sample period, both before and after the tax reduction.
The results show that among the price discovery role of TAIFEX futures improved significantly after the tax reduction on TAIFEX. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T04:21:16Z (GMT). No. of bitstreams: 1 ntu-98-P96323026-1.pdf: 1330549 bytes, checksum: f26e4e834350629003236a290236fc96 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 口試委員審定書 i
誌謝 ii 中文摘要 iii 英文摘要 iv 第一章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 3 1.3 研究對象 4 1.4 研究架構 7 第二章 理論與文獻回顧 9 2.1 持有成本理論 9 2.2 效率市場與價格發現功能 11 2.3 文獻回顧 13 第三章 研究方法 19 3.1 單根檢定 19 3.2 Johansen共整合檢定 22 3.3 誤差修正模型與Granger因果關係檢定 25 第四章 實證結果分析 26 4.1 資料來源 26 4.2 單根檢定 28 4.3 共整合檢定 30 4.4 均衡調整過程 33 4.5 Granger因果關係 38 第五章 結論與建議 40 5.1 研究結論 40 5.2 研究限制與建議 42 參考文獻 43 | |
| dc.language.iso | zh-TW | |
| dc.subject | Granger 因果關係 | zh_TW |
| dc.subject | 價格發現 | zh_TW |
| dc.subject | 共整合 | zh_TW |
| dc.subject | 誤差修正模型 | zh_TW |
| dc.subject | Granger Causality Test | en |
| dc.subject | Error correction model | en |
| dc.subject | cointegration | en |
| dc.subject | price discovery | en |
| dc.title | 以調降期交稅的效果分析台指期貨與摩台指期貨價格發現功能 | zh_TW |
| dc.title | The Analysis of Reducing tax on the Taiwan future market - the Price Discovery of TAIFEX market and SGX-DT market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 吳中書,聶建中,施光訓,盧陽正 | |
| dc.subject.keyword | 價格發現,共整合,誤差修正模型,Granger 因果關係, | zh_TW |
| dc.subject.keyword | price discovery,cointegration,Error correction model,Granger Causality Test, | en |
| dc.relation.page | 49 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-10-20 | |
| 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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