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dc.contributor.author蔡佳樺en_US
dc.contributor.authorTsai, Chia-Huaen_US
dc.contributor.author周雨田en_US
dc.contributor.authorChou, Yeu-Tienen_US
dc.date.accessioned2014-12-12T01:32:06Z-
dc.date.available2014-12-12T01:32:06Z-
dc.date.issued2008en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT079637513en_US
dc.identifier.urihttp://hdl.handle.net/11536/43039-
dc.description.abstract本篇使用分量迴歸模型 (Quantile Regression) 來探討美國股市對台灣股票市場的外溢效果是否存在,美股以S&P 500為代表,台股則分別取台股加權指數和店頭市場加權指數為代表,並區分為close-to-open, open-to-close和close-to-close三階段報酬來探討,實證結果發現:1. 美股對台股在close-to-open報酬具有外溢效果,此外,透過分量迴歸我們發現1995年到1997年在漲跌幅大時才具有外溢效果。2. 美股對台股在close-to-close報酬亦具有外溢效果,除了在1995年到1997年,當股價達最大跌幅時,美股對台股不但不具有外溢效果,反而為負向的影響。3.本篇論文證實,美股對台股在open-to-close報酬確實具有過度反應效果,且除了1995年到1997年過度反應效果僅存在於股價漲跌幅極大外,金融海嘯時期,當股價達致最大跌幅則亦不具有過度反應效果。zh_TW
dc.description.abstractThis paper employs quantile regression model to investigate if the price change spillover effect exists from U.S. to Taiwan. We discuss three market segments of Taiwan stock which comprise close-to-open, open-to-close and close-to-close returns respectively. We find that: Firstly, the price change spillover effect exists from U.S. to the close-to-open returns of Taiwan stock market. Furthermore, the price change spillover effect exists when stock price goes up or down greatly from 1995 to 1997. Secondly, the price change spillover effect exists from U.S. to the close-to-close returns of Taiwan stock market. However, there is no price change spillover effect when price goes down greatly and there is even negative effect from U.S. to Taiwan from 1995 to 1997. Thirdly, the overreaction effect exists from U.S. to the open-to-close returns of Taiwan except from 1995 to 1997. The overreaction effect only exists when price goes up or down greatly from 1995 to 1997, and there is no overreaction effect when price goes down greatly in Financial Tsunami.en_US
dc.language.isoen_USen_US
dc.subject外溢效果zh_TW
dc.subject過度反應效果zh_TW
dc.subject普通最小平方法zh_TW
dc.subject最小絕對離差法zh_TW
dc.subjectSpillover effecten_US
dc.subjectOverreaction effecten_US
dc.subjectOrdinary least squares methoden_US
dc.subjectLeast absolute deviations methoden_US
dc.title美國對台灣股市外溢效果之分量迴歸分析zh_TW
dc.titleQuantile Regression Analysis of the Spillover Effect of US-Taiwan Stock Marketsen_US
dc.typeThesisen_US
dc.contributor.department經營管理研究所zh_TW
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