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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31728


    Title: 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
    Other Titles: The efficiency test of stock price indexes in Asian emerging markets : applying the panel unit root test with multiple structural breaks
    Authors: 俞佳芬;Yu, Chia-fen
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;Neih, Chien-chung
    Keywords: 隨機漫步假說;縱橫單根;多重結構性變化;Random Walk Hypothesis;Panel unit root;Multiple Structural Breaks
    Date: 2006
    Issue Date: 2010-01-11 01:11:04 (UTC+8)
    Abstract: 本研究主要是應用隨機漫步假說來探討亞洲新興國家的股票市場是否具有效率,可視為弱式效率的檢定。研究對象選取包括印尼、日本、韓國、馬來西亞、菲律賓、新加坡、台灣、泰國、香港等9個新興國家1990年1月-2006年1月共193筆月資料進行單根檢定分析。在應用只考慮單筆時間序列的單根檢定法ADF、PP、KPSS等單根檢定方法,及Zvoit and Andrews (1992)與Lumsdaine and Papell (1997)二種考慮結構性轉變的單根檢定結果,及Levin-Lin test、IPS test 與Fisher test等panel單根檢定結果來看,發現大部分的國家股價指數不論是含時間趨勢的模型或是不含時間趨勢的模型皆呈現出非定態結果,亦即是亞洲新興股票市場為有效率之市場。
    由於以上方法皆存在一些問題,因此本研究主要重點在藉著組合橫斷面與縱斷面的資料增加樣本數,使檢定力提升並考慮多個結構性轉變點,最後再加上使用拔靴分配解決橫斷面相依的問題。最後,根據考慮多重結構性變化的Carrion-i-Silvestre, del Barrio and López-Bazo (2005)縱橫單根檢定法的實證結果再一次證實我們的結論-亞洲新興股票市場為有效率之市場。
    This paper applies random walk hypothesis to investigate whether stock-price indexes of nine Asia emerging markets can be characterized as random walk (unit root) or mean reversion processes. A more powerful test which allows for the presence of multiple structural breaks in the underlying series developed by Carrion-i-Silvestre, del Barrio and López-Bazo (2005) is employed. Results provide strong support for the random walk hypothesis.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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