本研究以台灣上市之電子業公司為例，探討其股價報酬與匯率波動間的非線性關係，本研究採用Gonza′lez, Terasvirta and van Dijk (2004, 2005) 所發展的縱橫平滑移轉迴歸模型（Panel smooth transition regression model, PSTR），以匯率波動率為模型中的轉換變數，觀察台灣匯率的波動對台灣電子業之股價報酬是否存在平滑移轉效果，並進一步分析匯率波動對股價報酬之平滑移轉效果下，負債比、速動比率、每股盈餘與匯率變動率對股價報酬之影響變化。實證結果發現，匯率的波動對台灣大部分的電子業之股價報酬都存在顯著的平滑移轉效果，且大部份的公司其負債比、速動比率、每股盈餘與匯率變動率在各門檻間都能顯著的對股價報酬有著不同的影響。

This study adopts the empirical model of Gonza'lez, Terasvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the exchange rate variable. This research uses regression model to analyze the nonlinear impact of exchange rate on return among electric industry in Taiwan. And we make the debt ratio, quick ratio, earnings per share and the exchange rate volatility as independent variable.
Empirical results show that exchange rate volatility on most of stock returns of Taiwan's electronics industry has significant smooth transition effects, and most of the companies whose debt ratio, quick ratio, earnings per share and the exchange rate volatility significantly affects in stock returns between any threshold.

目錄
謝辭…………………………………………………………..………………………Ⅰ
中文摘要……………………………………………………………………………...II
英文摘要……………………………………………………………………………..III
目錄…………………………………………………………………………………..IV
表目錄………………………………………………………………………………...V
圖目錄………………………………………………………………………………..VI
第一章  緒論
第一節	研究背景與動機	1
第二節	研究目的	5
第三節	研究架構與流程	6

第二章  理論與相關文獻探討
第一節	匯率與股價之相關文獻	8
第二節	股價與負債比率相關文獻	10
第三節	股價與每股盈餘相關文獻	11
第四節	股價與速動比率相關文獻	13

第三章  研究方法
第一節	研究樣本及資料期間 ……………………………………………14
第二節  	縱橫單根檢定 	15
第三節  	縱橫平滑移轉迴歸模型	17
第四節    縱橫平滑移轉迴歸模型之設定...........................22

第四章  實證結果與分析
第一節	敘述統計	28
第二節	單根檢定	32
第三節	縱橫平滑移轉檢定	33

第五章  結論
結論與建議	66

參考文獻
一、中文部分	71
二、英文部分	71

表目錄
表3-1-1 樣本資料產業分布情況表	15
表4-1-1 各變數之基本統計量	28
表4-1-2 各產業股價報酬統計表	30
表4-1-3 各產業負債比統計表	31
表4-1-4 各產業速動比統計表	31
表4-1-5 各產業每股盈餘統計表	31
表4-2-1 各變數原始序列之單根檢定	32
表4-3-1 匯率變動率對各產業公司股價報酬之同質性檢定	34
表4-3-2 空間向量的位置參數之檢測	36
表4-3-3 匯率變動率對半導體產業公司股價報酬之區間個數檢定	39
表4-3-4 匯率變動率對電腦及周邊類公司股價報酬之區間個數檢定	40
表4-3-5 匯率變動率對光電產業公司股價報酬之區間個數檢定	40
表4-3-6 匯率變動率對通信網路產業公司股價報酬之區間個數檢定	40
表4-3-7 匯率變動率對電子零組件產業公司股價報酬之區間個數檢定	41
表4-3-8 匯率變動率對電子通路類公司股價報酬之區間個數檢定	41
表4-3-9 匯率變動率對資訊服務類公司股價報酬之區間個數檢定	41
表4-3-10 匯率變動率對其他電子公司股價報酬之區間個數檢定	41
表4-3-11匯率變動率對半導體產業股價報酬之縱橫平滑移轉模型估計結果	47
表4-3-12解釋變數在不同匯率變動率下對半導體股價報酬之影響	48
表4-3-13匯率變動率對電腦及周邊類公司股價報酬之縱橫平滑移轉模型估計結果	52
表4-3-14解釋變數在不同匯率變動率下對電腦及周邊類股價報酬之影響	53
表4-3-15匯率變動率對光電產業股價報酬之縱橫平滑移轉模型估計結果	55
表4-3-16解釋變數在不同匯率變動率下對光電產業股價報酬之影響	55
表4-3-17匯率變動率對通信網路產業股價報酬之縱橫平滑移轉模型估計結果	58
表4-3-18解釋變數在不同匯率變動率下對通信網路產業股價報酬之影響	58
表4-3-19匯率變動率對電子零組件產業股價報酬之縱橫平滑移轉模型估計結果	59
表4-3-20解釋變數在不同匯率變動率下對電子零組件產業股價報酬之影響	59
表4-3-21匯率變動率對電子通路產業股價報酬之縱橫平滑移轉模型估計結果	61
表4-3-22解釋變數在不同匯率變動率下對電子通路產業股價報酬之影響	61
表4-3-23匯率變動率對資訊服務類股價報酬之縱橫平滑移轉模型估計結果	62
表4-3-24解釋變數在不同匯率變動率下對資訊服務類股價報酬之影響	63
表4-3-25匯率變動率對其他電子類股價報酬之縱橫平滑移轉模型估計結果	65
表4-3-26解釋變數在不同匯率變動率下對其他電子類股價報酬之影響	65


圖目錄
圖1-3-1  研究流程圖	7
圖3-3-1  m = 1之轉換模型	20
圖3-3-2  m = 2之轉換模型	21

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