以檢定資產價格泡沫之時間序列分析作為投機炒作之預警----以營建股及金融股為例

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題名:	以檢定資產價格泡沫之時間序列分析作為投機炒作之預警----以營建股及金融股為例
作者:	劉啟文;Chi-Wen Liu
貢獻者:	財務金融學系碩士在職專班
關鍵詞:	行為財務學;過度自信;過度反應;反應不足;價格泡沫;投機炒作;price bubbles;speculative manipulation;over-reacting;over confidence;Behavior finance;transparency;information disclosure
日期:	2011-07-20
上傳時間:	2012-01-05 15:08:15 (UTC+8)
摘要:	在股市中投資人的投資行為一直為財務學者所重視的研究課題。在理性均衡的市場中追求利潤極大化的同時，所伴隨承擔的風險必隨之增加，目前的行為財務學已經由投資人在股市中所出現的過度自信、過度反應及反應不足的現象來解釋許多理性模型所不能解釋的異象 (anomalies)。如何有效告訴投資人其投資風險已過高，不宜繼續購買或持有，一直以來都是學者努力研究的對象。雖證交所會將股市過熱或有重大財務疑慮的股票列為警示股，然一般投資大眾或難以一窺其內含意義，且列為警示股是否真的有過熱或不宜投資，抑是列入警示股的時機是否過晚，以至於無法及時讓投資人了解、進而採取適切的財務決策。本文利用財務計量中最新針對檢定資產價格是否存在價格泡沫所發展出的理論，以簡單的圖形就可檢定出股價是否有潛在的投機炒作現象發生。是以我們就營建及金融股為實證研究之對象，驗證該方法的有效性，並探究近來許多關於民國百年不同金融資產可能的大泡沫的說法。我們發現此法之理論完整而圖形簡單易於判斷，未來應可作為投資人與金融監理單位進行投資預警的參考。 How to strike an optimal balance between the return-risk trade-off has been the most important financial decision among investors. While investors are assumed to be rational in the classical Finance/Economics setup, some recent evidence has documented different psychological biases arisen from their investment decisions. The widely recognized behavioral pricing anomalies due to over confidence, over reaction, … etc. in financial markets have left the room for several listed companies to undertake certain speculative manipulations, famous ones are such as the previous Enron or World Dot Com. How to protect the innocent individual that are with limited information has became an important corporate governance issue that has prompted calls for greater transparency and disclosure on companies around the globe. The Market Observation Pose System (MOPS) from the Taiwan Stock Exchange Corporation is a platform built to enhance the information disclosure and transparency doe equity trading in the local market as a way for outside monitoring from market forces to prevent from the abnormal/illegal manipulations from companies, in particular those who is experiencing financial distress. This study uses the recently developed econometric recipe for detecting price bubbles for identification of speculative manipulation of stock price for a specific firm. Using four different groups of listed/delisted companies, the test, thanks to its nice statistical properties, is shown to be easy to implement and informative in finding firms that are speculatively manipulated or with growth potentials in the future. In order to enable investors to better protect their interest, promote corporate transparency, assist companies in reducing cost of capital, and help regulators better monitor the market, we believe this new method and the disclosed empirical findings can be widely applied as a part of the early-warning system in the MOPS by TSE.
顯示於類別:	[財務金融學系碩士在職專班] 博碩士論文

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