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系統識別號 U0002-0606200611111300
中文論文名稱 亞洲新興市場股價指數效率性檢定—運用考慮多重結構性轉變點之縱橫單根檢定法
英文論文名稱 The efficiency test of stock price indexes in Asian emerging markets:. applying the panel unit root test with multiple structural breaks.
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 94
學期 2
出版年 95
研究生中文姓名 俞佳芬
研究生英文姓名 Chia-Fen Yu
學號 693490376
學位類別 碩士
語文別 中文
口試日期 2006-05-11
論文頁數 59頁
口試委員 指導教授-聶建中
共同指導教授-何宗武
委員-沈中華
委員-韋伯韜
委員-林建甫
中文關鍵字 隨機漫步假說  縱橫單根  多重結構性變化 
英文關鍵字 Random Walk Hypothesis  Panel unit root  Multiple Structural Breaks 
學科別分類 學科別社會科學商學
中文摘要 本研究主要是應用隨機漫步假說來探討亞洲新興國家的股票市場是否具有效率,可視為弱式效率的檢定。研究對象選取包括印尼、日本、韓國、馬來西亞、菲律賓、新加坡、台灣、泰國、香港等9個新興國家1990年1月-2006年1月共193筆月資料進行單根檢定分析。在應用只考慮單筆時間序列的單根檢定法ADF、PP、KPSS等單根檢定方法,及Zvoit and Andrews (1992)與Lumsdaine and Papell (1997)二種考慮結構性轉變的單根檢定結果,及Levin-Lin test、IPS test 與Fisher test等panel單根檢定結果來看,發現大部分的國家股價指數不論是含時間趨勢的模型或是不含時間趨勢的模型皆呈現出非定態結果,亦即是亞洲新興股票市場為有效率之市場。
由於以上方法皆存在一些問題,因此本研究主要重點在藉著組合橫斷面與縱斷面的資料增加樣本數,使檢定力提升並考慮多個結構性轉變點,最後再加上使用拔靴分配解決橫斷面相依的問題。最後,根據考慮多重結構性變化的Carrion-i-Silvestre, del Barrio and López-Bazo (2005)縱橫單根檢定法的實證結果再一次證實我們的結論-亞洲新興股票市場為有效率之市場。
英文摘要 This paper applies random walk hypothesis to investigate whether stock-price indexes of nine Asia emerging markets can be characterized as random walk (unit root) or mean reversion processes. A more powerful test which allows for the presence of multiple structural breaks in the underlying series developed by Carrion-i-Silvestre, del Barrio and López-Bazo (2005) is employed. Results provide strong support for the random walk hypothesis.
論文目次 目錄
第一章 緒論.......................................................................................................................1
第一節 研究動機與目的....................................................................................................1
第二節 研究架構與流程....................................................................................................6
第二章 文獻回顧...............................................................................................................7
第一節 市場效率…............................................................................................................7
第二節 單根方法…............................................................................................................9
第三章 研究方法.............................................................................................................11
第一節 普通單根檢定......................................................................................................12
第二節 考慮結構性變化之普通單根檢定......................................................................16
第三節 縱橫單根檢定......................................................................................................19
第四節 考慮結構性轉變之縱橫單根檢定......................................................................23
第四章 實證結果與分析.................................................................................................26
第一節 資料來源與處理..................................................................................................26
第二節 傳統單根檢定之實證結果..................................................................................28
第三節 結構性變動單根檢定方法之實證結果…..........................................................30
第四節 縱橫單根檢定結果..............................................................................................36
第五節 縱橫單根考慮多重結構性變化檢定結果..........................................................38
第五章 結論.....................................................................................................................42
參考文獻.....................................................44
表次
表4-1:亞洲九國股價指數名稱、期間、筆數及資料來源...............................................27
表4-2:ADF、PP以及KPSS單根檢定...............................................................................49
表4-3.1:Zvoit and Andrews (1992) test results.................................................................50
表4-3.2:Lumsdaine and Papell (1997) test results............................................................51
表4-4:Panel unit root...................................52
表4-5:亞洲各國相關係數表............................................................................................53
表4-6:Panel unit root with structure breaks.....................................................................54
圖次
圖1-1:研究流程圖.........................................6
圖4-1:香港-恆生指數時間趨勢圖.................................................................................55
圖4-2:印尼-雅加達綜合股價指數時間趨勢圖.............................................................55
圖4-3:馬來西亞-吉隆坡綜合股價指數時間趨勢圖.....................................................56
圖4-4:韓國-韓國綜合股價指數時間趨勢圖…..............................................................56
圖4-5:菲律賓-馬尼拉綜合股價指數時間趨勢圖.........................................................57
圖4-6:泰國-曼谷SET股價指數時間趨勢圖…...............................................................57
圖4-7:新加坡-新加坡海峽時報指數時間趨勢圖..........................................................58
圖4-8:台灣-台灣加權股價指數時間趨勢圖.................................................................58
圖4-9:日本-東京日經225指數時間趨勢圖.....................................................................59


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蔡啟明(1995),「利用變異數比率檢定台灣股票市場效率性之研究」,國立交通大學科技管理研究所碩士論文。
聶建中(2004),「考量結構性變化之美國總體經濟與購併行為之互動」,管理評論,23,91-115。
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