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題名：運用向量誤差修正模型探討臺灣各產業與股市大盤間資訊傳遞速度
書刊名：管理與系統
作者：黃台心／鍾銘泰／楊淳如
作者(外文)：Huang, Tai-hsin／Chung, Ming-tai／Yang, Chun-ju
出版日期：2015
卷期：22:1
頁次：頁1-31
主題關鍵詞：資訊傳遞速度；向量誤差修正模型；因果關係檢定；Information diffusion；Vector error correction model；Causality test
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:117
  • 點閱點閱:57
本文以1988年6月至2007年12月之台灣大盤與各產業股價指數月資料，驗證以下兩種假說：（1）產業股價報酬率是否直接影響大盤未來報酬率；（2）產業股價報酬率是否透過總體經濟指標，影響大盤未來報酬率。藉以驗證資訊緩慢擴散現象是否存在於台灣股票市場，實證研究方法採用誤差修正模型，結果發現部分產業報酬率，對未來大盤超額報酬率具有直接或間接影響；投資人無法即時解讀產業資訊對未來總體經濟的影響，導致產業資訊於產業與大盤間緩慢擴散。
The purpose of this study is to investigate the causal relationship among the returns of industries, stock market index, and macroeconomics variables, using an error correction model. The data consist of monthly returns for all stocks listed on the Taiwan Stock Exchange (TWSE) market from June 1988 to December 2007, compiled from the Datastream database. Evidence is found that information appear to diffuse slowly from some industries to the stock market as the lagged returns of these industries are able to predict the return of the stock market. In addition, the predictive ability of an industry's return is strongly correlated with its capability of forecasting the macroeconomic indicator that reflects a nation's economic conditions.
期刊論文
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研究報告
1.Menzly, L.、Ozbas, O.(2006)。Cross-Iindustry Momentum。University of Southern California。  new window
學位論文
1.王名韡(2008)。由產業是否領先大盤探討臺股市場的資訊傳遞速度(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Haugen, R. A.(2002)。The Inefficient Stock Market: What Pays Off and Why。New Jersey：Prentice Hall。  new window
圖書論文
1.Barberis, N.、Thaler, R.(2003)。A Survey of Behavioral Finance。Handbook of the Economics of Finance: Financial Markets and Asset Pricing。North-Holland：Elsevier Science。  new window
 
 
 
 
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