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題 名 | 臺灣股票市場類股間資訊傳遞結構之研究=Intra-Market Transmission in Taiwan Stock Market |
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作 者 | 張宮熊; 吳欽杉; 林財源; | 書刊名 | 中山管理評論 |
卷 期 | 6:2 民87.夏 |
頁 次 | 頁441-458 |
分類號 | 563.53 |
關鍵詞 | 臺灣股票市場; 效率市場; 資訊傳遞結構; 矩陣自我迴歸模式; Taiwan stock market; Efficient stock market; Information transmission mechanism; VAR; |
語 文 | 中文(Chinese) |
中文摘要 | 本文利用矩陣自我迴歸模式探討臺灣股票市場資訊傳遞結構。經由聯合檢定瞭解訊息傳遞的時差,結果發現在0.05的顯著水準下,不能拒絕六個營業日對十二個營業日無差異的虛無假設;亦即市場內的短期變異訊息在一個營業週期內傳遞至市場內其他類股,在六個營業日後所發生的訊息回饋量相當微小。經由實證分析發現,造紙股能在一個營業日自我殘餘訊息調整效率最佳,達62.70%。造紙與塑化股在一個營業日內對其他類股的訊息回饋比率較高;食品與機電股則在三到六個營業日內對其他類股的訊息回饋比率較高。另外進行模擬結果與檢定相符,臺灣股票市場並不符合效率市場的假說。 |
英文摘要 | This paper investigate the intra-market information transmission mechanism in Taiwan stock market by estimating a eight industry specific indices VAR model. The result presents that a substantial amount of innovations is transmitted among eight indices. Generally, it's little feedback to the stock market returns from returns lagged more than 6 days. We trace out the dynamic responses of each of 8 indices to shocks in a particular index using the simulated responses of the estimated VAR model. It denotes that many of the responses are completed in about six days after a shock. The pattern of impulse responses emerging from the VAR model seems to be inconsistent with the notion of informationally efficient stock market. |
本系統中英文摘要資訊取自各篇刊載內容。