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題名:效率市場假說與多元化投資組合存在長期利潤之再研究:以美國及其主要外國直接投資夥伴之股市為例
作者:陳聰賢
作者(外文):Tsung-Hsien Chen
校院名稱:雲林科技大學
系所名稱:管理研究所博士班
指導教授:李春安
張倉耀
學位類別:博士
出版日期:2011
主題關鍵詞:外國直接投資均數復歸效率市場假說門檻單根檢定秩共整合檢定股票市場Efficient Market HypothesisMean ReversionStock PricesForeign Direct InvestmentRank Tests for CointegrationThreshold Unit Root Test
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本文首先採用Caner and Hansen (2001)之門檻(threshold)單根檢定,以美國及其主要外國直接投資(簡稱FDI) 夥伴之股市週資料為樣本,探討效率市場假說(Efficient Market Hypothesis),接著,採用Breitung (2001)之秩(rank)共整合檢定,探討上述國家股市間是否存在非線性共整合關係。
實證結果顯示,美國及其主要FDI之股市皆無法拒絕門檻單根檢定之有單根虛無假設,即I(1),結果充分證明美國及其主要FDI之股市皆符合效率市場假設。
而Johansen線性共整合檢定,顯示僅二個國家間(即美國與英國)之股市存在共整合,其他國家之間則不存在共整合關係,而秩(rank)共整合檢定結果顯示,這五個國家股市間存在顯著共整合關係,本文結果對策略決策者和投資者具相同策略意含。
This dissertation first employs weekly data of stock markets to revisit the issue of the Efficient Market Hypothesis of the USA and its major foreign direct investment (hereafter, FDI) partners’ stock market, using threshold unit root test developed by Caner and Hansen (2001). Then we revisit the issue of the non-linear cointegration of the USA and its major FDI partners’ stock markets, using the Rank tests for cointegration by Breitung (2001).
The empirical results from our threshold unit root test indicate that the null hypothesis of unit root, I(1), in stock prices cannot be rejected for any of the USA and its major FDI partners. Our results highlight the fact that the efficient market hypothesis is valid in the stock markets of the USA and its major FDI partners.
While the results of the Johansen’s linear cointegration test show that cointegration relations only exists between two countries (i.e., the UK and the USA), no cointegration relations found exists among the other markets. The results of the Rank test for cointegration show that there exist strong cointegration relations among the stock markets of the five regions. Our results have policy implications for both policy makers and investors alike.
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