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    Title: 兩岸股價指數對電子業中國概念股受中國景氣變動之非線性探討
    Other Titles: Non-linear analysis for interaction between China-concept-electronic sector stocks index and stock indices of Taiwan and China under business fluctuation
    Authors: 康華芸;Kang, Hua-Yun
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;謝劍平
    Keywords: 電子類中國概念股;股價指數;平滑移轉模型;China-concept-Electronic Sector Stocks Index;Stock Indic;Smooth Transition Model
    Date: 2014
    Issue Date: 2015-05-04 09:43:03 (UTC+8)
    Abstract: 本研究針對台灣電子業類股之中國概念股公司為研究標的,透過非線性方法之平滑移轉模型,並以大陸GDP成長率為門檻變數,探討台灣加權股價指數、上海綜合股價指數與人民幣兌台幣之匯率對電子類中概股之影響,研究期間自2000年第一季至2013年第四季,共56筆季資料。
    研究結果如下:
    1. 當中國經濟成長率小於門檻值時,台灣加權股價指數與中國經濟成長率對電子類中概股為負相關,上海綜合股價指數與人民幣兌新台幣匯率為正相關;
    2. 而當中國經濟成長率大於門檻值時,中國經濟成長率、台灣加權股價指數與上海綜合股價指數對電子類中概股為正相關,而人民幣兌新台幣為負相關。
    The purpose of this study is to investigate the impact of exchange rate, TAIEX and Shanghai Stock Exchange Composite Index on the china-concept-electronic sector stocks index by using Smooth Transition Model of nonlinear method, and we use china GDP growth rats as a threshold variable. The research period was from the first quarter of 2000 to the fourth quarter of 2013 and totally 56 quarterly data were calculated. The empirical results are described as follows:
    1. When China GDP growth rate is less than the threshold value, TAIEX and China GDP growth rate for china-concept-electronic sector stocks index showed negative effects, but the impact of Shanghai Stock Exchange Composite Index and exchange rate to positive to influence.
    2. When China GDP growth rate is greater than the threshold value, TAIEX, Shanghai Stock Exchange Composite Index and China GDP growth rate for china-concept-electronic sector stocks index showed positive effects , while exchange rate has negative effects.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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