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系統識別號 U0026-2306201312330100
論文名稱(中文) 美國量化寬鬆政策對台灣金融及電子股股價指數之影響
論文名稱(英文) The Impact of Quantitative Easing in the U.S. on the Financial and Eletronics Stock Indexes in Taiwan
校院名稱 成功大學
系所名稱(中) 企業管理學系專班
系所名稱(英) Department of Business Administration (on the job class)
學年度 101
學期 2
出版年 102
研究生(中文) 黃菁芸
研究生(英文) Ching-Yun Huang
學號 R47001042
學位類別 碩士
語文別 英文
論文頁數 48頁
口試委員 指導教授-康信鴻
口試委員-莊雙喜
口試委員-鄭美幸
口試委員-薛舜仁
口試委員-傅英芬
中文關鍵字 量化寬鬆  股價指數  總體經濟  計量經濟分析 
英文關鍵字 Quantitative easing  Stock index  Macroeconomics  Econometric analysis 
學科別分類
中文摘要 本研究主要在探討美國量化寬鬆政策對台灣金融股及電子股之股票加權指數的影響。研究中使用計量經濟學的統計方式(迴歸、共線性檢定、顯著性檢定、自我相關檢定)檢視台灣總體經濟數據月資料及金融股及電子股2005年1月至2013年1月的關係,並加入金融海嘯、美國量化寬鬆貨幣政策、日本量化寬鬆貨幣政策三個虛擬變數,研究結果顯示美國量化寬鬆政策之實施對台灣金融股及電子股之金融指數並無顯著正面的影響,但在交叉項影響的檢定中發現,2008年第一次美國量化寬鬆政策之實施在金融海嘯期間對台灣金融股及電子股之股價指數有顯著的正相關。而相較於美國量化寬鬆貨幣政策,美國道瓊工業指數對台灣金融股及電子股之股價指數都具有正面顯著的影響。
英文摘要 This research aims to discover what impact the US quantitative easing made on the financial and electronics stock indexes in Taiwan. A series of econometric analysis methods are employed (OLS, Klein’s Method, Nested hypothesis test, and Durbin- Watson test) to examine the monthly macroeconomic statistics from January 2005 to January 2013. The results show that the implementation of the US quantitative easing did not have significant positive effects on the financial and electronics stock indexes. Yet, the result acquired from an examination of the interaction terms suggests that QE1 brought a significant positive effect during the financial tsunami in 2008. Compared with QEs, DJIA is a more positive factor that had influenced the two stock indexes significantly.
論文目次 CHAPTER 1 INTRODUCTION 1
1.1. RESEARCH BACKGROUND 1
1.2. RESEARCH MOTIVATION 3
1.3. THE DIRECTION OF RESEARCH 5
1.4. RESEARCH PROCESS 6
CHAPTER 2 LITERATURE REVIEW 7
2.1 THE THEORY OF MONETARY POLICY TRANSMISSION MECHANISM 7
2.2 THE IMPACT OF INTERNATIONAL FINANCE ON STOCK MARKETS 9
2.3 MACROECONOMIC VARIABLES AND STOCK MARKETS 9
2.4 CONCLUSION DRAWN FROM LITERATURE REVIEW 12
2.5 RESEARCH HYPOTHESES 13
CHAPTER 3 RESEARCH DESIGN 16
3.1 DEFINITION AND DATA SOURCE OF VARIABLES 16
3.2 RESEARCH METHODOLOGY 21
CHAPTER 4 EMPIRICAL ANALYSIS AND RESULTS 24
4.1 INITIAL REGRESSION MODEL 24
4.2 MULTICOLLINEARITY TEST 27
4.3 SIGNIFICANCE TEST 28
4.4 AUTOCORRELATION TEST 30
4.5 FINAL REGRESSION MODEL 31
4.6 THE CONSISTENCY OF EMPIRICAL SIGNS AND EXPECTED SIGNS 34
4.7 THE INTERACTION TERMS IN THE FINANCIAL AND ELECTRONIC STOCK INDEX MODELS 38
CHAPTER 5 CONCLUSION AND SUGGESTION 44
5.1 RESEARCH CONCLUSION 44
5.2 MANAGERIAL AND INVESTMENT IMPLICATION 45
5.3 SUGGESTION 46
REFERENCE 48
參考文獻 1.Ben S. Bernanke and Mark Gertler (1995), “Inside the Boack Box: The Credit Channel of Monetary Policy Transmission,” Journal of Economic Perspectives, 9, No.4, p27
2.Central Bank of the Republic of China, 2013, “Quantitative Easing in the U.S.A. and Japan”, News Reference. (in Chinese)
3.Chang I-Fen (張懿芬) (2004), “The Macroeconomic Determinants of Stock Price Volatility: Evidence From Taiwan, South Korea, Singapore and Hong Kong,” Unpublished master dissertation, Nanuha University. (in Chinese)
4.Damodar N. Gujarati & Dawn C. Porter (2010), Essentials of Econometrics, (4th edition), New York: Mc Graw-Hill.
5.Dominick Salvatore (2011), International Economics, (10th edition), Singapore: John Wiley & Sons.
6.Ho-Yin Yue and King-Tai Leung (2011), “The Effects of Quantitative Easing on Inflation Rate: A Possible Explanation on the Phenomenon,” European Journal of Economics, Finance and Administrative Sciences, 41, Euro Journals. Inc.
7.Kenneth N. Kuttner and Patricia C. Mosser (2002), “The Monetary Transmission Mechanism: Some Answers and Further Questions,” FRBNY Economic Policy Review, pp15-26.
8.Lee rung-chian (李榮謙) (2007), The Principles of Money, Banking and Financial Market, (1st edition), Taipei: Tung-hua Publish. (in Chinese)
9.McCandless, G, T., Jr., and W.E. Webber (1995), “Some Monetary Facts,” Federal Reserve Bank of Minneapolis: Quarterly Review, 19, No.3, summer, pp2-11.
10.Yutaka Kurihara (2006), “The Relationship between Exchange Rate and Stock Prices during the Quantitative Easing Policy in Japan,” International Journal of Business, 11, No.4, pp376-386.
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