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系統識別號 U0002-2201200822204500
中文論文名稱 大陸重大經濟政策實施前後對台股的影響
英文論文名稱 The Impacts to Taiwan Stock Market- Before and After China’s Major Economical Policies Implementation
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 96
學期 1
出版年 97
研究生中文姓名 柳靜瑜
研究生英文姓名 Ching-Yu Liu
學號 794490341
學位類別 碩士
語文別 中文
口試日期 2007-01-01
論文頁數 64頁
口試委員 指導教授-聶建中
指導教授-陳玉瓏
委員-林建甫
委員-莊孟翰
委員-姜世杰
委員-聶建中
委員-陳玉瓏
中文關鍵字 弱式效率市場  單根檢定  結構性轉變單根  縱橫單根 
英文關鍵字 Efficient Market  Unit Root test  Structural Change Unit Root test  Panel Unit Root test. 
學科別分類
中文摘要 本文利用匯率自盯住美元政策改為盯住一籃子貨幣的政策變更,觀察期間自2005年5月18日至2005年8月28日共90筆日資料,以及提高證券交易印花稅,觀察期間自2007年3月1日至2007年8月28日共126筆日資料,藉由檢定歷史指數為隨機漫步(接受單根)或是均數回歸(拒絕單根),判斷是否為弱式效率市場,探討當大陸重大經濟政策實施前後對台股的影響。本研究發現,若以Hadri單根檢定結果來看,股市走勢符合隨機漫步假說,無法運用歷史資料分析股市走勢,技術分析無法發揮效果,亦大陸重大經濟政策實施後對台股無顯著影響。





英文摘要 This study is to observe the impacts to Taiwan stock market before and after China’s major economical policies implementation. The observation period is from May 18, 2005 to August 28, 2005 and from March 1, 2007 to August 28, 2007. The study is to determine whether the market is weak form efficiency by testing if the historical index applied to Random Walk (Unit Root Test accepted) or Average Regression (Unit Root test declined).
The major findings of this study are as follows. As the result of Hadri Unit Root Test, the stock markets applied to Random Walk. However, we can’t use historical data to analyze the moving of the stock market. We can’t use Strategic Analysis to analyze the moving of the stock market, either. According to the result, the impacts to Taiwan stock market before and after China’s major economical policies implementation is not remarkable.
論文目次 目  錄
第一章 緒論..................................................................................................................1
第一節 研究動機............................................................................................1
第二節 研究目的............................................................................................7
第三節 研究架構............................................................................................8
第二章 文獻回顧..........................................................................................................7
第一節 理論基礎............................................................................................9
第二節 市場效率之相關文獻......................................................................10
第三節 匯率與股市之相關文獻..................................................................13
第四節 印花稅與股市之相關文獻..............................................................22
第三章 研究方法........................................................................................................25
第一節 傳統單根檢定..................................................................................26
第二節 考慮結構性變化的單根檢定..........................................................29
第三節 縱橫單根檢定..................................................................................31
第四章 實證結果與分析............................................................................................36
第一節 資料來源..........................................................................................37
第二節 傳統單根檢定的實證結果..............................................................38
第三節 結構性變動單根檢定方法的實證結果..........................................44
第四節 縱橫單根檢定的實證結果..............................................................49
第五章 結論................................................................................................................51
第一節 研究結論…………………………………..………………………53
第二節 研究建議…………………………………………………..………52
參考文獻......................................................................................................................53
附錄..............................................................................................................................58

圖 目 錄

圖1  2004年1月至2007年6月深圳證交所指數及交易印花稅率統計圖..…........1
圖2  2004年1月至2007年6月上海證交所指數及交易印花稅率統計圖………..2
圖3  研究流程圖......................................................................................................8
圖4  2005年5月18日至2005年9月23日水泥類股時間趨勢圖..............................58
圖5  2005年5月18日至2005年9月23日食品類股時間趨勢圖..............................58
圖6  2005年5月18日至2005年9月23日塑膠類股時間趨勢圖..............................59
圖7  2005年5月18日至2005年9月23日電子類股時間趨勢圖..............................59
圖8  2005年5月18日至2005年9月23日其他類股時間趨勢圖..............................60
圖9  2007年3月1日至2007年8月28日水泥類股時間趨勢圖................................60
圖10 2007年3月1日至2007年8月28日食品類股時間趨勢圖................................61
圖11 2007年3月1日至2007年8月28日塑膠類股時間趨勢圖................................61
圖12 2007年3月1日至2007年8月28日電子類股時間趨勢圖................................62
圖13 2007年3月1日至2007年8月28日其他類股時間趨勢圖................................62
表 目 錄

表1  市場效率相關文獻回顧表............................................................................12
表2  匯率與股價變動相關文獻回顧表................................................................17
表30 印花稅與股市之相關文獻回顧表................................................................23
表4.0 觀察事件名稱、實施日期及區間…….…..................................................37
表5.0 ADF、PP and KPSS unit root test
(匯率變動前後-有截距項及時間趨勢項)…………..................................40
表6 ADF、PP and KPSS unit root test
(匯率變動前後-無截距項有時間趨勢項)..................................................41
表7 ADF、PP and KPSS unit root test
(印花稅變動前後-有截距項及時間趨勢項)..............................................42
表8 ADF、PP and KPSS unit root test
(印花稅變動前後-無截距項有時間趨勢項)..............................................43
表9 Zvoit and Andrews panel unit root(匯率變動前後)...........................47
表10 ZA panel unit root(印花稅率變動前後).................................................48
表11 LLC、IPS、FISHER、HADRI panel unit root test…..................................50
表12 台商收成基金成份股一覽及近一年赴大陸投資金額.................................63
參考文獻 參考文獻
一、中文部份
1.王毓敏(1998),台灣地區股票市場與外匯市場間報酬與波動性外溢效果之研究,台北銀行月刊,第28卷第12期,頁159-171。
2.方文碩(2001),匯率貶值對股票市場的衝擊-雙變量GARCH模型,台灣金融財務季刊,第2輯第3期,頁99-117。
3.江智德(1998),國際資本市場互動關係之研究:GARCH模型之應用,國立台灣大學商學研究所碩士論文。
4.吳宗隆與徐清俊(2003),台股市場與外匯市場報酬與波動關聯性研究-雙變量GJR-GARCH(1,1)-M模型之應用,遠東學報,第20卷第4期,頁799-816。
5.杜惠君(2005),影響我國滬深股市波動性的因素分析,吉林大學經濟學碩士論文。
6.邱哲修、邱建良與蘇英谷(2001),台灣匯率波動對股價報酬之影響,企銀季刊,第24輯第4期,頁131-147。
7.胥愛琦、吳清豐(2003),台灣股價報酬與匯率變動之波動性外溢效果-雙變量EGARCH模型的應用,台灣金融財務季刊,第4輯第3期,頁87-103。
8.俞佳芬(2006),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,淡江大學財務金融學系碩士論文。
9.陳榮昌(2002),匯率與股價報酬間外溢效果之多國分析,國立雲林科技大學財務金融研究所碩士論文。
10.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。
11.聶建中、李文傳及洪榆雲(2004),金融風暴前後對先進國家之股匯市連動關係變化影響,中華管理學報,2004年第2期,頁19~35。
12.譚加勁(2004),證券交易印花稅率率下降對我國A股市場波動性影響的實證分析,暨南大學金融學碩士論文。
13.劉祥熹與李崇主(2000),台灣地區外資、匯率與股價關聯性之研究-VAR與VECM之應用,證券市場發展季刊,2000年第3期,頁1-41。


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