大陸重大經濟政策實施前後對臺股的影響

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Title:	大陸重大經濟政策實施前後對臺股的影響
Other Titles:	The impacts to Taiwan stock market : before and after China's major economical policies implementation
Authors:	柳靜瑜;Liu, Ching-yu
Contributors:	淡江大學財務金融學系碩士在職專班聶建中;Nieh, Chien-chung;陳玉瓏;Chen, Yu-lung
Keywords:	弱式效率市場;單根檢定;結構性轉變單根;縱橫單根;Efficient Market;Unit root test;Structural Change Unit Root test;Panel Unit Root Test.
Date:	2008
Issue Date:	2010-01-11 01:01:02 (UTC+8)
Abstract:	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。 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.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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