台灣股市泡沫與其影響因素之研究

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Title:	台灣股市泡沫與其影響因素之研究
Other Titles:	Study on Taiwan’s Stock Market Bubbles and Its Influencing Factors
Authors:	許銘任 HSU, MING-JEN
Contributors:	王翊全 WANG, YI-CHIUAN 經濟系
Keywords:	股價泡沫;GSADF檢定;AR-GARCH模型 Taiwan stock market;Bubble phenomenon;GSADF
Date:	2018
Issue Date:	2019-01-10T09:00:30Z (UTC)
Abstract:	本文應用Pavlidis et al. (2017) 所建構的理論模型結合 Phillips et al. (2015) 所提出的GSADF檢定法驗證台灣股市在1998年7月至2017年12月期間是否存在股價泡沬現象，其實證結果認定台灣股市在這段樣本期間發生過三次股價泡沫的跡象。本研究更進一步探討總體經濟變數對股價泡沫的影響，實證結果發現股價泡沫指標存在自我相關與異質變異的統計特性，而利率對於股價泡沫與其波動性存在顯著的負向效果，利率上升有助於抑制股價泡沫的形成；不考量通貨膨脹率的因素下，工業生產指數對於股價泡沬與其波動性則存在顯著的負向效果，意即產出的增加也會減少股價泡沫的膨脹速度。 This article uses the theoretical model constructed by Pavlidis et al. (2017) and combined with the GSADF test proposed by Phillips, Wu, and Yu (2015) to verify whether there are bubbles in the Taiwan stock market from July 1998 to December 2017. The empirical results confirm that there are three signs of bubbles in Taiwan stock market during this sample period. This study further explores the impact of the overall economic variables on the bubble. The empirical results show that there are statistical characteristics of the self-related and heterogeneous variations in the bubble index. The interest rate has a significant negative effect on the bubble and volatility. When interest rate increase, will inhibit the form of bubble. Without considering the inflation rate, the industrial production index has a significant negative effect on the bubble and volatility, which means that increase the output will also reduce the inflation rate of the bubble.
Appears in Collections:	[Department of Economics ] Master's Theses

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