本文利用Gonza′lez, Teräsvirta and van Dijk (2004, 2005)所發展的縱橫平滑移轉迴歸模型，以GDP成長率比率為模型中的轉換變數，觀察台灣GDP成長率對台灣電子業之資產報酬率及股價是否存在平滑移轉效果，並進一步探討後發現在不同的GDP成長區間下，解釋變數匯率、負債比率、營收成長率對電子業之資產報酬率及股價存在不同的效果，研究顯示如下在GDP成長率小於-0.1065%的情況下，公司經營層面上可以在景氣走壞的情況透過貶值、降低負債比率、增加營收成長率來提升資產報酬率在；GDP成長率大於-0.1065%的情況下公司經營層面上同樣可以透過降低負債比率、增加營收成長率來提升資產報酬率，但匯率將會失去作用。在GDP成長率小於-0.0867%的情況下發生升值、增加負債比率、降低營收成長率將會使投資人持有個股之股價攀升；在GDP成長率大於-0.0867%的情況下，發生貶值、降低負債比率、增加營收成長率將會使投資人持有個股之股價攀升。

This study adopts the empirical model of Gonza'lez, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the GDP variable. This research use Regression Model to analyze the nonlinear impact of GDP on return among electric industry in Taiwan.
The results show that there are significant positive effect of exchange rate and sales revenues and significant negative effect of debt ratio on ROA during the lower region where GDP is less than -0.1065%. When GDP is larger than 0.1065%, there still are significant positive effect of sales revenues and significant negative effect of debt ratio on ROA during the upper region. But the exchange rate is not significant.
	 There are significant positive effect of debt ratio and significant negative effect of exchange rate and sales revenue on stock price during the lower region where GDP is less than -0.0867%. When GDP is larger than 0.0867%, there are significant positive effect of exchange rate and sales revenues and significant negative effect of debt ratio on stock price during the upper region.

目錄
誌謝辭	I
摘要	II
ABSTRACT	III
目錄	IV
表目錄	V
圖目錄	VI
第一章 緒論	1
第一節 研究動機	1
第二節 研究目的	5
第三節 研究架構	6
第四節 研究流程	7
第二章 文獻探討	8
第一節 相關文獻回顧	8
第三章 研究方法	14
第一節 研究樣本及資料期間	14
第二節 研究方法與模型介紹	18
第三節 縱橫平滑移轉迴歸模型	21
第四節 縱橫平滑移轉迴歸模型之設定	25
第五節 結果預測分析	31
第四章 實證結果及分析	33
第一節 敘述統計	33
第二節 單根檢定	39
第三節 縱橫平滑移轉實證	40
第五章  結論及建議	52
第一節 結論	52
第二節 研究建議	54
參考文獻	55

表目錄
表3.1.1  電子業次產業分類及股票代碼	15
表3.5.1  解釋變數在不同景氣效果下對資產報酬率及股價之預測影響	32
表4.1.2  各產業之負債比率敘述統計	37
表4.1.3  各產業之營收成長率敘述統計	37
表4.1.4  各產業之資產報酬率敘述統計	38
表4.1.5  各產業之股價敘述統計	38
表4.2.1  單根檢定	39
表4.3.1  資產報酬率之門檻變數落後期之選取	41
表4.3.2  股價之門檻變數落後期之選取	41
表4.3.3  景氣效果對資產報酬率之同質性檢定	42
表4.3.4  景氣效果對股價之同質性檢定	43
表4.3.5  景氣效果對資產報酬率之門檻個數檢定	43
表4.3.6  景氣效果對股價之門檻個數檢定	44
表4.3.7  景氣效果對資產報酬率之實證結果	45
表4.3.8  解釋變數在不同景氣效果下對資產報酬率之影響	48
表4.3.9  景氣效果對股價之實證結果	48
表4.3.10 解釋變數在不同景氣效果下對股價之影響	51

圖目錄
圖 3.3.1　m=1之轉換模型	24
圖 3.3.2　m=2之轉換模型	25
圖 4.3.1 景氣效果對資產報酬之轉換函數	45
圖 4.3.2 景氣效果對股價之轉換函數	49

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