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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 黃志典(Jyh-Dean Hwang) | |
| dc.contributor.author | Po-Ju Huang | en |
| dc.contributor.author | 黃柏儒 | zh_TW |
| dc.date.accessioned | 2022-11-23T09:06:51Z | - |
| dc.date.available | 2021-09-02 | |
| dc.date.available | 2022-11-23T09:06:51Z | - |
| dc.date.copyright | 2021-09-02 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-08-31 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/79665 | - |
| dc.description.abstract | "本文探討新臺幣實質有效匯率指數的變動率及波動性是否會影響股價報酬率，藉由Fama-French擴充模型，並使用GARCH(1,1)模型估計匯率波動性，以臺灣567家上市公司自2008年至2020年的平衡型追蹤資料為樣本，進行實證分析。本文發現，匯率變動率與匯率波動性都對同期的股價報酬率有顯著的負向影響，推論匯率變動或匯率波動上升，可能會使企業的營運不確定性上升，因而使股價報酬率下跌。" | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-23T09:06:51Z (GMT). No. of bitstreams: 1 U0001-3108202122494900.pdf: 2114509 bytes, checksum: e4aaa22ca13aaf3dcc132e4b84ae52eb (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | 謝辭 i 摘要 ii ABSTRACT iii 目錄 iv 表目錄 v 圖目錄 v 第壹章 緒論 1 第一節 研究動機與對象 1 第二節 研究流程與架構 2 第貳章 文獻回顧 4 第一節 影響股價之財務指標 5 第二節 影響股價之匯率指標 8 第三節 匯率波動性的衡量方式 9 第參章 研究方法 11 第一節 變數定義與資料說明 11 第二節 GARCH模型 13 第三節 實證模型 13 第肆章 實證結果 15 第一節 敘述統計與變數分析 15 第二節 迴歸分析結果 20 第三節 模型穩定性說明 21 第伍章 結論與建議 25 第一節 研究結論 25 第二節 研究限制與建議 25 參考文獻 27 | |
| dc.language.iso | zh-TW | |
| dc.title | 匯率波動會影響股價報酬嗎？—基於Fama-French擴充模型之分析 | zh_TW |
| dc.title | Does Exchange Rate Volatility Affect Stock Returns? An Analysis Based on Augmented Fama-French Model | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 林世銘(Hsin-Tsai Liu),廖咸興(Chih-Yang Tseng) | |
| dc.subject.keyword | 匯率變動率,匯率波動性,股價報酬率,Fama-French擴充模型,GARCH(1,1)模型, | zh_TW |
| dc.subject.keyword | rate of change in exchange rate,exchange rate volatility,stock returns,augmented Fama-French model,GARCH(1,1) model, | en |
| dc.relation.page | 30 | |
| dc.identifier.doi | 10.6342/NTU202102922 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2021-09-01 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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