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Student Number 984308022
Author Pei-Yun Wang(王佩韻)
Author's Email Address No Public.
Statistics This thesis had been viewed 723 times. Download 702 times.
Department Executive Master of Finance Management
Year 2010
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title 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
Date of Defense 2011-06-09
Page Count 67
Keyword
  • Financial Distress Prediction Model
  • Recursive Regression
  • The Theory of Rational Bubbles
  • Time Series Model
  • Unit Root Test
  • Abstract 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.
    Table of Content 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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    Advisor
  • Jin-Huei Yeh(葉錦徽)
  • Files
  • 984308022.pdf
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    Date of Submission 2011-07-20

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