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中文論文名稱 景氣指標對股票報酬影響之研究-縱橫平滑移轉迴歸模型之應用
英文論文名稱 A Study of the Effect of the Business Indicators on Stock Returns-Approach by Panel Smooth Transition Regression Model
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 99
學期 2
出版年 100
研究生中文姓名 蘇孟睿
研究生英文姓名 Meng-Jui Su
學號 698530713
學位類別 碩士
語文別 中文
口試日期 2011-05-09
論文頁數 80頁
口試委員 指導教授-聶建中
共同指導教授-陳達新
委員-盧陽正
委員-姚蕙芸
委員-謝明瑞
中文關鍵字 景氣指標  股票報酬  縱橫平滑移轉迴歸模型 
英文關鍵字 Business Indicators  Stock Returns  Panel Smooth Transition Regression Model 
學科別分類 學科別社會科學商學
中文摘要 股票市場是經濟發展的重要指標,一國經濟體質的好壞,對於股票市場會造成相當程度的影響,本研究利用 Gonza'les, Teräsvirta and van Dijk (2004, 2005)發展的縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR),以景氣指標做為模型中的轉換變數,觀察景氣指標對股價報酬是否存在平滑移轉效果,並進一步分析景氣指標對股價報酬之平滑移轉效果下,營收、負債比、公司規模與股票成交量對股價報酬之影響變化。研究發現若希望將股價報酬提高,則當景氣領先指標超過89.21時,應提升營收、減少負債比、縮減公司規模與提高股市成交量,低於89.21時,應擴大公司規模與提升股市成交量;當景氣同時指標超過104.1時,應減少公司負債比、縮減公司規模提升股市成交量,低於104.1時,應擴大公司規模;當景氣落後指標超過104.8時,應減少負債比、擴大公司規模與提升股市成交量,低於104.8時,應縮減公司規模與提高股市成交量;當景氣對策信號小於17.64時,應減少公司負債、擴大公司規模與提高股市成交量,大於17.64時,應增加公司營收、增加公司負債比、縮減公司規模與提升股市成交量。本研究另將產業分類,針對各產業研究景氣指標對各產業股價報酬之影響。期望本研究能提供公司經理人調整經營決策,提高經營績效,並提供投資大眾不同的投資依據,提升投資報酬。
英文摘要 This study is to investigate the panel smooth transition effect associated with Business Indicators and stock return on the empirical data of listed company in Taiwan Stock Exchange. Utilizing the panel smooth transition regression model developed by Gonza'les, Teräsvirta and van Dijk(2004, 2005)test whether Business Indicators can cause the panel smooth transition effect on stock return.
The results show that there is a significant positive effect of size and turnover on stock return during the lowest region where Composite Leading Index is less than 89.21. The positive effect of earning and turnover and significant negative effect of debit and size on stock return when Composite Leading Index is larger than 89.21. The positive effect of size on stock return during the lowest region where Composite Coincident Index is less than 104.1. The positive effect of turnover and negative effect of debit and size on stock return when Composite Leading Index is larger than 104.1. The positive effect of turnover and negative effect of size on stock return during the lowest region where Composite Lagging Index is less than 104.8. The positive effect of size and turnover and negative effect of debit on stock return when Composite Lagging Index is larger than 104.8. The positive effect of size and turnover and significant negative effect of debit on stock return during the lowest region where Monitoring Indicators is less than 17.64. The positive effect of earning, debit and turnover and negative effect of size on stock return when Monitoring Indicators is larger than 17.64.
Therefore, suggesting that we can reference more information about the Business Indicators and financial side, investors can refer to this conclusion to control their own investment portfolio and develop appropriate investment strategies.
論文目次 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 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構與流程 4
第二章 理論與相關文獻探討 6
第一節 景氣指標的介紹 6
第二節 股價報酬之相關文獻 8
第三章 研究方法 12
第一節 縱橫單根檢定 12
第二節 縱橫平滑移轉迴歸模型 14
第三節 縱橫平滑移轉迴歸模型之設定 19
第四章 實證結果與分析 26
第一節 研究資料 26
第二節 單根檢定 36
第三節 景氣指標對上市公司股價報酬之縱橫平滑移轉檢定 38
第四節 景氣指標對各產業股價報酬之縱橫平滑移轉檢定 62
第五章 結論與建議 65
參考文獻 69
一、中文部分 69
二、英文部分 70
附錄一 景氣指標對各產業股票報酬模型整理表 74

表目錄
表4-1-1 樣本資料產業分布情況表 27
表4-1-2 各景氣指標統計表 28
表4-1-3 各產業股價報酬統計表 31
表4-1-4 各產業季營收統計表 32
表4-1-5 各產業負債比統計表 33
表4-1-6 各產業公司規模變動統計表 34
表4-1-7 各產業股市成交量統計表 35
表4-2-1 各變數原始序列之單根檢定 37
表4-2-2 公司規模一階差分之單根檢定 37
表4-3-1 景氣指標對上市公司股價報酬之同質性檢定 39
表4-3-2 景氣領先指標對上市公司股價報酬之區間個數檢定 41
表4-3-3 景氣同時指標對上市公司股價報酬之區間個數檢定 41
表4-3-4 景氣落後指標對上市公司股價報酬之區間個數檢定 42
表4-3-5 景氣對策信號對上市公司股價報酬之區間個數檢定 42
表4-3-6 景氣領先指標對股價報酬之縱橫平滑移轉迴歸模型估計結果 46
表4-3-7 景氣領先指標對股價報酬影響模型各變數對股價報酬之影響 46
表4-3-8 景氣同時指標對股價報酬之縱橫平滑移轉迴歸模型估計結果 50
表4-3-9 景氣同時指標對股價報酬影響模型各變數對股價報酬之影響 50
表4-3-10景氣落後指標對股價報酬之縱橫平滑移轉迴歸模型估計結果 54
表4-3-11景氣落後指標對股價報酬影響模型各變數對股價報酬之影響 54
表4-3-12景氣領先指標對股價報酬之縱橫平滑移轉迴歸模型估計結果 59
表4-3-13景氣領先指標對股價報酬影響模型各變數對股價報酬之影響 60

圖目錄
圖1-3-1 研究流程圖 5
圖3-2-1 m = 1之轉換模型 17
圖3-2-2 m = 2之轉換模型 18
圖4-3-1 領先指標對股價報酬之轉換函數(門檻值為89.21) 47
圖4-3-2 領先指標對股價報酬之轉換函數(門檻值為96.57) 47
圖4-3-3 同時指標對股價報酬之轉換函數(門檻值為104.10) 51
圖4-3-4 落後指標對股價報酬之轉換函數(門檻值為104.80) 55
圖4-3-5 政策指標對股價報酬之轉換函數(門檻值為10.01) 60
圖4-3-6 對策信號對股價報酬之轉換函數(門檻值為17.64) 61
圖4-3-7 對策信號對股價報酬之轉換函數(門檻值為21.18) 61
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行政院經濟建設委員會,2004-2010,「景氣指標查詢系統」,http://index.cepd.gov.tw/,Retrieved on 2011/02/10
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