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題 名 | 臺灣加權股價指數與融資、融券餘額之研究--向量誤差修正模型之應用=A Study on Relationship Among Taiwan's Weighted Stock Index, Outstanding Balance of Margin Loan and Outstanding Balance of Stock Loan--Using Vector Error Correction Model |
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作 者 | 林世維; 唐麗英; | 書刊名 | 管理與系統 |
卷 期 | 4:2 1997.07[民86.07] |
頁 次 | 頁147-165 |
分類號 | 563.54 |
關鍵詞 | 向量誤差修正模型; 共積; 弱外生性; 融資與融券餘額; Vector error correction model; VECM; Cointegration; Weak exogeneity; Outstanding balance of margin loan and stock loan; |
語 文 | 中文(Chinese) |
中文摘要 | 本文以向量誤差修正模型分析臺灣股市加權股價指數與融資餘額、融券餘額之間 的關係,避免了以往研究可能存在之假性迴歸或模型設定錯誤的問題。結果顯示、1.無論股 市是處於上漲或不跌階段,股價指數、融資餘額與融券餘額三者之間的均存在正向的長期均 衡關係;2. 就股市處於上漲階段而言,融資餘額成長率或融券餘額成長率均無因果關係; 就股市處於下跌階段而言,融卷餘額成長率與股票報酬之間具有負向的因果關係。 |
英文摘要 | This paper applies Vector Error Correction Model(VECM)to analyze the relationship among weighted stock index, outsanding balance of margin loan and outstanding balance of stock loan for the Taiwan stock market. By using VECM, problem with the spurious regression model or the misspecification of the model can be avoided. This study reveals that: 1 ) No matter the stock market is uptrend or downtrend, there exists a positive long-run relationship among stock index,oustanding balance of margin loan and stock loan;and 2 ) in the case of uptrend model, there is no causality between outstanding balance of margin loan ( or outstanding balance of stock loan ) and stock index;in downtrend model, there exists negative causality between outstanding balance of stock loan and st ock index. |
本系統中英文摘要資訊取自各篇刊載內容。