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姓名 王佩韻(Pei-Yun Wang)  查詢紙本館藏   畢業系所 財務金融學系在職專班
論文名稱 運用檢定資產價格泡沫模型建構動態財務危機預警之驗證
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摘要(中) 自 1990 年以來,全球各地發生多起風險管理不當、掏空資產、財報不實、炒作、操縱公司股票,而且造成重大影響的案例,這幾起地雷股事件均嚴重危及金融體質及投資信心,因此若能建構一個能事前或即時偵測的動態財務危機預警模型相形重要。本文以台灣股市中曾經發生的著名地雷股案例,分為「炒作股票」、「掏空、財報不實」公司,選取 15 個案例,及「一般」、「有題材」公司,選取 12 個案例,在不考慮基本面因素,而以個股股價為基礎,以價格泡沫形成的理論為架構,利用資產發生泡沫時在資產價格上所反應的動態性質所建構的改良式單根檢定及遞迴迴歸法,驗證股價是否因投機炒作造成股價緩步墊漲,形成如價格泡沫一般的輕微發散的動態過程趨勢。研究顯示,實證結果與實際發生情形符合,檢驗出投機炒作所造成的股價緩步墊漲與破滅時點,與該公司事件發生時點吻合,因而歸結出:以遞迴迴歸模型檢驗股票投機炒作的有效性,值得投資大眾與監理單位做參考。
摘要(英) How to construct an early warning system for financial distress or crises has always been an important issue for both the academics as well as in practice for the industry and governmental supervision. In the essay, we propose to employ the newly-developed econometric test for testing price bubbles in financial assets as a tool for detecting the early stage of speculative manipulations in equities. By using solely the informatioin form the price dynamics without any financial variables in ratios, the test has been shown to be informative in characterizing a locall upward trending increments in the price series. Thus we believe it shares some potential in identifying the existence of speculative manipulation of stock prices. For comparisons, we also examine the efftiveness of this approach by exploiting three other types of firms in the Taiwan Stock Exchange. Our results confirmed our conjectures and suggest that this method could be further considered by supervisors for disclosing relevant warning information about some equities.
關鍵字(中) ★ 改良式單根檢定
★ 財務危機預警模型
★ 理性泡沫理論
★ 時間序列模型
關鍵字(英) ★ The Theory of Rational Bubbles
★ Financial Distress Prediction Model
★ Recursive Regression
★ Time Series Model
★ Unit Root Test
論文目次 中文摘要                       i
英文摘要                       ii
誌謝                         iii
目錄                         iv
圖目錄                        vii
表目錄                        viii
一、 緒論                     1
1-1 研究背景與動機                1
1-2 研究目的                   2
1-3 研究架構與流程                4
二、 文獻回顧                   5
2-1 以財務資訊或加入非財務指標所發展的各種財務危機預警     模型                     5
2-1-1   趨勢分析                   5
2-1-2   單變量分析法                 5
2-1-3   多變量區別分析法               6
2-1-4   線性機率模型                 7
2-1-5   Logit 迴歸模型(羅吉斯迴歸模型)        8
2-1-6   Probit 模型                  9
2-1-7   多變量 CUSUM 模型               9
2-1-8   EWMA 模型                    9
2-1-9   因素分析法                  10
2-1-10   存活分析 - Cox 模型              10
2-1-11   類神經網路模型                10
2-1-12   模糊邏輯理論                 11
2-1-13   基因演算法 11
2-2 以股價資料為變數來建構的財務危機預警模式 16
2-3 其他                     16
三、 理論架構與研究方法              18
3-1 理性泡沫理論                 18
3-2 時間序列模型                 20
3-3 泡沫檢定過程                 21
四、 實證結果分析                 25
4-1 研究樣本選取與資料來源            25
4-2 以「炒作股票」方式為主之地雷公司案例     26
4-2-1  台鳳 (1206)                  26
4-2-2   國揚實業 (2505)                28
4-2-3   佳必琪 (6197)                 29
4-2-4   佳大世界 (2033)                31
4-2-5   宏達科技 (豐達) (3004)           32
4-2-6  唐鋒 (4609)                 33
4-2-7   永兆精密(銘旺科技) (2429)           34
4-2-8 世峰 (5442)               35
4-2-9   萬泰科 (6190) 37
4-3   以「掏空、財報不實」為主之地雷公司案例     38
4-3-1   太電 (1602)                  38
4-3-2   東隆五金 (8705) 40
4-3-3 宏福建設 (8719)                41
4-3-4 雅新 (2418)               42
4-3-5 歌林 (1606)               44
4-3-6 陞技電腦 (欣煜科技) (2407) 45
4-4 一般公司股票案例 46
4-4-1 台積電 (2330) 46
4-4-2 廣達電腦 (2382) 47
4-4-3 台塑 (1301) 48
4-4-4 中華電信 (2412) 50
4-4-5 中鋼 (2002) 51
4-4-6 台泥 (1101) 52
4-5 有題材股票案例 53
4-5-1 玉晶光電 (3406) 53
4-5-2 潤泰全球 (2915) 54
4-5-3 晶華 (2707) 55
4-5-4 綠能科技 (3519) 56
4-5-5 宏達電 (2498) 57
4-5-6 台肥 (1722) 59
五、 結論與建議 61
5-1 結論 61
5-2 研究建議 62
參考文獻 64
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指導教授 葉錦徽(Jin-Huei Yeh) 審核日期 2011-7-20
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