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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93782


    Title: iPhone5上市後外資買賣超對蘋果及宏達電概念股股市變化影響之比較探討
    Other Titles: Comparison of the effect of net buy-sell position of foreign investor on the stock prices of Apple and HTC after IPO of iPhone5
    Authors: 蔡孟哲;Tsai, Meng-Tse
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;Nieh, Chieh-Chung
    Keywords: 概念股;外資買賣超;平滑移轉模型;concept of stock;Net Buy-Sell Position of Foreign Investor;Non-linear Model
    Date: 2013
    Issue Date: 2014-01-23 13:31:13 (UTC+8)
    Abstract: 本研究係以外資對概念股之買賣超金額做為門檻被解釋變數,其他控制變數為台灣股價加權指數、交叉龍頭股股價及外資對概念股之持股比例,透過iPhone5上市後,外資對iPhone5概念股之買賣超,探討對iPhone5概念股股價及宏達電概念股股價是否存在非線性之影響。
    在研究方法上本文先對樣本資料作單根檢定檢定資料是否為定態資料,本研究採用了LLC檢定、IPS檢定及ADF-Fisher檢定三種縱橫單根檢定,再採用Gonza''lez, Terasvirta and van Dijk(2004, 2005)提出的縱橫平滑移轉回歸模型(Smooth Transition AutoRegression),來探討在不同的轉換變數模型下,外資對概念股之買賣超金額、台灣股價加權指數、交叉龍頭股股價及外資對概念股之持股比例對iPhone5概念股及宏達電概念股非線性影響之探討。
    This study is based on the trading of foreign investors in stocks over the amount to be interpreted as a threshold variable, the other control variables are Taiwan Weighted Stock Index, crossover the leading stock price and shares of foreign ownership of the concept stock.Explore whether the effect is nonlinear between the concept stocks of iPhone5 and HTC by the trading over of iPhone5 stocks of foreign investors after the listing of iPhone5.

    First, on the research methods ,the sample data of the paper do the unit root test whether the steady state test data information , LLC tests ,IPS test and ADF-Fisher test used in this study, then using Smooth Transition AutoRegression proposed by Gonza''lez, Terasvirta and van Dijk , to explore foreign stocks trading on the amount over、Taiwan weighted Stock Index、crossover leading stocks and shares of foreign ownership of concept stocks of HTC and iPhone5 whether stocks of non-linear effects discussed in the difference of the conversion variable model.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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