English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51296/86402 (59%)
Visitors : 8170305      Online Users : 97
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/87187


    Title: 以製造業採購經理人指數為門檻探討總體變數對股價指數之關聯性分析 : 縱橫平滑移轉模型之應用
    Other Titles: The relationship between macroeconomic variables and stock index under purchasing managers' index as a threshold : application of panel smooth transition regression model
    Authors: 王楚元;Wang, Chu-Yuan
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;Nieh, Chieh-Chung
    Keywords: 採購經理人指數;通貨膨脹率;匯率;股價指數報酬率;縱橫平滑移轉模型;Purchasing Managers' Index;PMI;PSTR;Inflation Index;Exchange rate
    Date: 2012
    Issue Date: 2013-04-13 10:50:09 (UTC+8)
    Abstract: 本研究以採購經理人指數當作轉換變數,探討採購經理人指數對股價指數報酬率是否存在平滑移轉效果。在加入通貨膨脹率與匯率當作解釋變數,得知製造業採購經理人指數和股價指數報酬率間確實存在非線性關係,且為一平滑移轉模型。解釋變數影響方面,不論製造業採購經理人指數高於或低於轉換門檻值,匯率都與股價指數報酬率呈不顯著之相關性。而通貨膨脹率在門檻值前後分別與股價指數報酬率皆呈顯著負相關及正相關。
    In this study, we examine the asymmetrical nonlinear relationships and this paper employs the panel smooth transition regression model (PSTR) technique. We assume purchasing managers’ Index for transition variables in this model to investigate the smooth transition threshold effect between stock index returns.
    The results as follow: Wherther purchasing managers’ Index is before or after the transition threshold value, we can’t find a relationship between exchange rate and stock index returns. When purchasing managers’ Index is before the transition threshold value,we find a negative relationship between inflation index and stock index returns.When purchasing managers’ Index is after the transition threshold value,we find a positive relationship between inflation index and stock index returns.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML85View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback