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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/32017

    Title: 總體經濟對臺灣地區上市(櫃)家數影響之探討─平滑移轉自我迴歸模型之應用
    Other Titles: The study on the impact of macroeconomic environment to IPOs volumes-application of smooth transition autoregressive model
    Authors: 盧韻如;Lu, Yun-ju
    Contributors: 淡江大學國際貿易學系國際企業學碩士班
    聶建中;Neih, Chien-chung
    Keywords: 上市(櫃);平滑移轉自我迴歸;Initial public offerings;smooth transition autoregressive model
    Date: 2008
    Issue Date: 2010-01-11 01:32:50 (UTC+8)
    Abstract: 本文使用台灣加權股價指數、重貼現率及國內生產毛額作為代表市場環境之變數,並採取非線性之平滑移轉自我迴歸模型以探討歷年來IPOs家數與市場環境之關連性。過去實證研究多以線性之模型作為研究方法,然而時間序列資料在長期可能存在結構性的轉變而不被傳統線性模型所涵蓋,故本文嘗試以非線性之平滑移轉自我迴歸方法,來探討上述幾項國內總體經濟變數對IPOs家數之影響,並了解是否存在異質平滑移轉之現象。
    This article adopted Taiwan stock index, discount rate and GDP as representative variables of market environment. It also used nonlinear smooth autoregressive model to research connections between IPOs volumes and market environment over the years. Over the past, what has been used often was looking into linear model as the research template; it is however, that time series data in the long term could cause possible structural transformation without being covered by traditional linear model. Therefore, this article will focused on using nonlinear smooth autoregressive model to attest the effect of the above variables toward IPOs volumes and at the same time testifying whether there is the existence of heterogeneity smooth transition phenomena.
    The final result turned out to be that there is the existence of structural transformation within our IPOs volumes. Among those three variables mentioned above, only GDP and discount rate cause major effect toward IPOs volumes. Under the condition of using GDP as transition variables, the lag of GDP and discount rate did contribute diverse structural transformation.
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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