本研究分為兩個部分，第一個部分為探討1990年來英美等國央行貨幣政策操作改革方向，期望貨幣市場的金融同業隔夜拆款利率，沿著隔夜拆款目標利率微幅波動。 英國央行原採零準備率制度，不易估測貨幣市場資金，其隔夜拆款利率波動幅度較美國為劇，為有效控制操作目標， 2006年5月起實施「自願準備金制度」，有利英國央行進行公開市場操作，達成穩定利率的效果。 第二部分參考Nadja(2006)一文，探討我國央行貨幣政策操作對短期利率之影響，係以隔夜拆款利率與目標利率的利差為利率函數模型之因變數，其中以重貼現率為目標利率，並以超額準備為主要的操作變數。 本文以最小平方估計法（OLS）實證結果發現，央行貨幣政策操作有效地影響隔夜拆款利率；惟2003年起央行不以重貼現率為隔夜拆款利率的底限，貨幣政策操作對隔夜拆款利率與重貼現率之間的利率變動並無顯著性的影響，亦即央行已放棄重貼現率為隔夜拆款利率之目標利率，而係積極地進行之公開市場操作，穩定短期利率。

有別於國內現有相關研究文獻，本研究首度將台灣50股價指數報酬率及區分多頭市場、空頭市場後之每日台灣加權股價指數報酬率、台灣50股價指數報酬率分別與相對應之每日外資買賣超金額納入研究，並以2002年1月至2008年12月底止之這一段時間為研究期間，從其間所經歷之數個多頭、空頭起伏波段，以瞭解外資之累積性淨買超或淨賣超行為對台灣股價指數報酬率所產生之影響，藉由實證數據探知外資於我國股市是否有洞燭先機，居證券市場領先者之能力，抑或僅是市場之追隨者。 經以因果關係檢定發現，就研究期間內所有樣本資料而言，在台灣加權股價指數方面，台灣加權股價指數報酬率與外資買賣超金額間呈具反饋互為因果之關係，但在落後期數加長後，加權股價指數報酬率對於外資買賣超金額仍維持相當顯著之影響關係，而外資買賣超金額對於加權股價指數報酬率影響之顯著性則有減弱現象。在台灣50股價指數部分，檢定結果則與台灣加權股價指數報酬率之情形有別，台灣50股價指數報酬率對外資買賣超金額存在著明顯之單向影響關係，即外資買賣超金額係隨著台灣50股價指數報酬率漲跌幅之高低而變動。 若將研究樣本資料分為多頭及空頭兩部分，經因果關係檢定發現，台灣加權股價指數與台灣50股價指數無論是在多頭市場或空頭市場，所呈現之結果均相同，即當市場處於大多頭時，外資買賣超金額單向的隨著加權股價指數報酬率及台灣50股價指數報酬率之變動而變動，但在市場處於小多頭或空頭時，外資買賣超金額與加權股價指數報酬率及台灣50股價指數報酬率間之因果關係並不顯著。

本文使用共積檢定以及因果關係檢定方法，針對美國第三波購併風潮前後時期，檢定購併家數、股價及工業生產指數三個變數間的可預測性。不同以往的是，本文除了將購併風潮分段進行研究外，並以晚近由Hoornik 及Hendry（1997）以Johansen（1988）為基礎所發展的一套共積檢定法來檢定變數間的長期均衡關係，再以Toda and Phillips（1994）的因果關係檢定流程與SSW的因果關係檢定分別檢定出變數間的可預測性。 經由本文實證結果發現： （1）購併、股價及工業生產指數三個變數，在ADF單根檢定結果三變數皆呈I（1）非恆定時間數列。並進一步以共積檢定檢測出不論參變數或購併和股價兩變數模型，1967年第四季以前變數間皆有一共積關係存在，1968年以後則無任何共積關係。 （2）從因果關係檢定結果發現，三變數體系中，股價與工業生產指數兩變數間可能存在極高的線性重合現象，且子期間礙於無法取夠長的遞延期數，使得工業生產指數對其他變數的影響力無法明確地反應出來，故三變數模型無法正確的檢定購併風潮前後變數間的因果關係。 （3）在購併與股價變數間的因果關係檢定研究中發現，1948~1967年間，股價對購併存在可預測性；然而1968~1979年間，股價與購併完全不存在任何可預測性。故可知購併風潮前後，股價對購併的可預測性發生了變化，從1967年前股價可合理地預測購併活動，到1967年後股價卻完全無法預測購併的情況。 （4）對影響購併的諸多因素做進一步的考量，發現威廉法案的出現對當時購併案件有相當程度的衝擊。 從實證結果可知，以共積與因果關係檢定方法一再地證明出，購併風潮前後股價對購併活動的可預性確實發生了結構性的變化。 第一章 緒論 第一節 研究背景與動機………………………………………….1 第二節 研究目的………………………………………………….3 第三節 購併之定義及相關基本概念…………………………….4 第四節 研究架構與流程………………………………………….8 第二章 文獻回顧 第一節 理論文獻回顧……………………………………………10 第二節 實證研究文獻回顧………………………………………13 第三節 文獻回顧總結……………………………………………23 第三章 實證研究方法 第一節 單根檢定………………………………………………..24 第二節 共積檢定…………………………………………………28 第三節 因果關係檢定……………………………………………34 第四節 實證檢定流程……………………………………………40 第四章 實證結果 第一節 實證資料來源……………………………………………43 第二節 Augmented Dickey-Fuller單根檢定………………….44 第三節 共積檢定……………………………………………....49 第四節 因果關係檢定……………………………………………55 第五節 因果關係檢定結果………………………………………78 第五章 法律因素的考量 第一節 時代背景….……………………………………….……79 第二節 檢視法條之影響力……………………………………..81 第三節 從案例角度分析………………………………………..84 第四節 威廉法案的威力………………………………………..87 第六章 結論…………………………………………………………88 附錄圖表（一）：各變數資料圖….………………………………90 附錄圖表（二）：共積殘差項圖………………………………….93 參考文獻…………………………………………………………….96

本研究以「人口遷移學推拉理論」為基礎，探索我國與留學地主國間留學互動關係的推拉因果模式，及其間的一致性和關聯性，並對我國未來留學生人數進行預測。研究的主要目的為：(1)瞭解我國與留學地主國留學教育概況，並探討海外留學對留學地主國與送出留學生國家國家的正反面效果；(2)說明人口遷移學中的推拉理論及評閱有關留學生流動的研究文獻與報告；(3)探索我國與留學地主國間留學互動的推拉因果模式；(4)探索我國與留學地主國間在留學互動的推拉因果模式間之一致性與關聯性 ；(5)對我國未來出國的留學生人數進行預測；最後(6)根據研究結果提出建議，作為制訂留學教育政策及未來研究的參考。 　　在探索留學互動的推拉因果模式與其模式間的一致性和關聯性時，是以我國與美國、德國、日本及法國等四個留學地主國為對象，採1954年到1988年共35年縱貫動態分析為主。在我國未來留學生人數預測上，則以1950年到1988年的動態資料為主。研究資料來源是「中華民國教育部統計」、「中華民國台灣地區統計提要」、「中華民國統計年鑑」、UNESCO統計、國際貨幣基金統計年報、美國國際教育組織的Open doors統計，做為分析的根據。 　　本研究之資料處理係利用國立政治大學PRIME 6150大電腦的SPSSX、SAS/ETS及PC版的LISREL 7統計套裝軟體，另外引用余民寧(民81)所設計「二次式分配準則SAS/IML之程式」，作為統計分析的工具。本研究共提出十個虛無假設，並擬以下列方法檢定研究假設。 　　一、以共變結構分析(LISREL)檢定我國與留學地主國間留學互動的推拉因果模式，即假設一～四。 　　二、以二次式分配準則 (QAP)檢定我國與留學地主國在留學互動的推拉因果模式之一致性與關聯性，即假設五～十。 　　三、以單變量時間數列ARIMA方法與迴歸分析方法，進行我國未來留學生人數之預測。 　　本研究之主要結果為： 　　一、我國與美國間留學互動的推拉因果關係證實存在。 　　二、我國與德國間留學互動的推拉因果關係證實存在。 　　三、我國與日本間留學互動的推拉因果關係證實存在。 　　四、我國與法國間留學互動的推拉因果關係在修正模式後證實存在。 　　五、我國與美國、我國與德國在留學互動的推拉因果模式之適配共變數矩陣具有.429的顯著相關性與一致性。 　　六、我國與美國、我國與法國在留學互動的推拉因果模式之適配共變數矩陣具有.469的顯著相關性與一致性。 　　七、我國與美國、我國與日本在留學互動的推拉因果模式之適配共變數矩陣的相關性與一致性僅-.098而已。 　　八、我國與德國、我國與法國在留學互動的推拉因果模式之適配共變數矩陣具有.763的顯著相關性與一致性。 　　九、我國與德國、我國與日本在留學互動的推拉因果模式之適配共變數矩陣具有.510的顯著相關性與一致性。 　　十、我國與法國、我國與日本在留學互動的推拉因果模式之適配共變數矩陣具有.377的顯著相關性與一致性。 　　另外，在我國未來出國留學人數預測上，民國87年以前預期每年將至少有6600名以上的留學生出國，並且當國民所得達12000美元時，出國留學的人數預期將可能突破10000人以上。 　　本研究根據研究結果提出建議，作為政府制訂留學教育政策及未來研究的參考。 / This research is based on "the push-pull theory of population mobility. It explores between Taiwan and the leading host coun-tries the causal model, consistency and correlation of the push-pull interaction in studying abroad. It also forecasts the number of studying-abroad students of Taiwan in the future. Therefore, the purposes of this research are: (1) to understand the foreign education of both Taiwan and the leading host coun-tries and further to probe the pros and cons of foreign educa-tion; (2) to explain the push-pull theory of population mobility and to comment the literatures of studying abroad; (3) to explore between Taiwan and the leading host countries the causal rela-tionship of push-pull interaction in studying abroad; (4) to explore between Taiwan and the leading host countries the consistency and correlation of push-pull causal model in studying abroad; (5) to forecast the number of studying abroad students of Taiwan; and (6) to propose suggestions for the policy-making of studying abroad and future studies according to the results of this research. 　　In exploring the causal relationship model, consistency, and correlation of the push-pull interaction in studying abroad, the subjects will be Taiwan, U.S.A., Germany, Japan, and France. The data are collected from The R.O.C. St-atis-bics of the Educa-tion Ministry, The R.O.C. Statistics Summary of Taiwan Areas, The R.O.C. Statistics Yearbook, UNESCO Statistical Yearbook, Interna-tional Financial Statistics Yearbook, and Open Doors (1991-1993) of the Institute of International Education. While in forecast-ing the number of studying-abroad students of Taiwan the data will be ranged from 1950 to 1988. All data of this research are dynamic. 　　The handling of data will adopt SPSSX, SAS/ETS, and LISREL7 packages program and will cite Yu Min-ning"s SAS/IML program of QAP (1992). All packages program are in the Computer Center (PRIME 6150) of National Cheng-chi University, exclusive of LIS-REL7 which is set in personal computer. This research will propose ten null hypotheses, and the statistical methods used to confirm the null hypotheses are as follows: 　　(1) Use Linear Struc-tural Equation (LISREL) to test the causal relationship of the push-pull interaction in studying abroad between Taiwan and the leading host countries. (Hypotheses 1-4) 　　(2) Use Quadratic Assignment Paradigm (QAP) to test the con-sistency, correlation of the push-pull interaction in studying abroad between Taiwan and leading host countries. (Hypotheses 5-10) 　　(3) Use both Autoregerssion Integrated Moving Average (ARIMA) of univarate time series and regression analysis to forecast the number of the studying-abroad students of Taiwan in the future. 　　The main results of this research are as follows: 　　(1) There exists a push-pull causal' relationship in studying abroad between Taiwan and U. S. A. . 　　(2) There exists a push-pull causal relationship in studying abroad between Taiwan and Germany. 　　(3) There exists a push-pull causal relationship in studying abroad between Taiwan and Japan. 　　(4) There exists a push-pull causal relationship in studying abroad between Taiwan and France after modifying the model. 　　(5) Taiwan-U.S.A. and Taiwan-Germany best-fitted covariance matrices are significantly similar. The correlation coefficient is .429. 　　(6) Taiwan-U.S.A. and Taiwan-France best-fitted covariance matrices are significantly similar. The correlation coefficient 　　(7) Taiwan-U.S.A and Taiwan-Japan best-fitted covariance matrices are not significantly similar. The correlation coeffi-cient is only -.098. 　　(8) Taiwan-Germany and Taiwan-France best-fitted covariance matrices are significantly similar. The correlation coefficient is .763. 　　(9) Taiwan-Germany and Taiwan-Japan best-fitted covariance ma-trices are significantly similar. The correlation coefficient is .510. 　　(10) Taiwan-France and Taiwan-Japan best-fitted covariance ma-trices are significantly similar. The correlation coefficient is .3768. 　　Therefore, nine null hypotheses are rejected and only one null hypothesis is accepted. 　　Besides, in forecasting the number of the studying-abroad students of Taiwan, it will be expected to send out over 6600 students to study abroad every year before 1998. Furthermore, when the per capita income of Taiwan reaches US$12000, the number of studying-abroad students will be over 10000 per year. 　　Finally, according to conclusions and results of this re-search, some suggestions for the policy-making of studying abroad and future studies in this field are proposed.

本文是探討管理浮動匯率時期（1978年第三季至1993年第三季），台灣地區經常帳盈餘發生的原因，同時考慮匯率因素、貨幣市場及商品與勞務市場吸納的情況。利用兩個向量自迴歸模型，分別納入：(1)匯率、利率、經常帳、消費節約及貨幣供給，(2)匯率、利率、經常帳、財政盈餘及貨幣供給，藉由因果關係檢定、預測誤差分解、及衝擊反應，分析經常帳失衡的原因。 　　實証結果指出：台灣地區經常帳盈餘，深受匯率、財政盈餘及消費節約的影響，這個結論與我國低估幣值與出口拓展的政策一致。且經常帳盈餘並不能夠顯著的影響貨幣供給，這個結論與央行沖銷的措施一致，其目的無非是要隔離國外部門影響國內貨幣。足見自由化的匯率政策，不但讓匯率反應出合理的水準值，同時可追求獨立的貨幣政策，配合著獎勵投資、消費及增加公共支出，增加國內吸納，藉以減少鉅幅的經常帳盈餘。

傷害罪的研究，在我國學說實務上對於特定的議題可能有所分歧，但原則上已然有一定的研究成果與結論，對於身體或是健康的定義，或者是所涵攝的範圍等等。然而隨著社會發展，以及對於個人身體期待有更為完整的保護，除了生理機能上的傷害以外，對於心理、精神、或是情緒上的傷害，是否能夠被劃歸於傷害罪的保護範圍，也應有其討論空間。 本文試圖由保護法益出發，討論心理傷害在身體法益的角度下其存在的可能，如果可能存在，則在現行的條文下應該做如何的解釋。這並不是一個純粹學術的討論，而是一個貼近社會每個個體的議題，每個社會個體在社會中的活動，都可能造成他人心理或是情緒上的不愉快；相反的，也可能因為他人的行為而有心理或情緒上的不愉快。這些事實每天重複的發生在我們周遭，重點在於是否有注意到這些心理傷害存在，以及如何給予心理傷害評價。 肯認心理傷害的概念是存在後，如果要作更細緻的分析，就必須先定義心理傷害的概念，去尋找在哪些情況之下，會成為具有法律意義的心理傷害，而為傷害罪之保護範圍。將其具體化，也就是心理傷害的傷害結果是必須符合一些標準的，如果欠缺標準，則會使心理傷害的概念浮動，而可能過度擴張其範圍，故若該結果欠缺實質的情緒傷害、或是未使被害人的反應非屬正常範圍等，則不認為其為心理傷害，而可能是一種負面的情緒反應而已。 心理傷害因為其本質較為特別，是何種行為導致心理傷害結果的存在，也就是行為與結果之間的因果關係並不甚清楚。其理由在於，在心理傷害的情形，特定行為是否確實造成心理傷害結果並不是客觀明顯可見的，是以一個心理傷害結果的存在，是由A行為或是B行為所導致，或是由A、B數行為一同造成，除非有明確的事實證據可以作為依據，否則因果關係的建立上，都只能透過人類經驗的累積作為參考依據，而無法使用條件理論來作為判斷標準，是以在此情形下，透過人類經驗而建立因果關係的假設因果關係理論，在論理上似乎會是比較實用也比較合理的標準。 在因果關係的確立後，同時必須考量該結果是否可以歸責於行為人，如果該行為在社會上是被允許的，則即使該行為可能有造成他人心理傷害的風險，該風險就應該被容許而會是容許風險。而在社會中因為有親疏程度不同之人際關係，如果人與人之間的關係較為緊密，在社會共識上會提高容許風險的門檻，而擴大容許風險的範圍，在結論上，就會是該行為雖然造成心理傷害結果，但是因為該行為本身帶有傷害結果的風險是社會所已經認識且允許的，是以即使該風險確實實現，社會也不會予以處罰。 關鍵字：傷害、心理傷害、負面情緒、情緒傷害、實質情緒傷害、正常範圍、人類經驗、假設因果關係、容許風險 / The researches of assault and battery may exist difference in specific issues between theories and practice, but in general, the researches have got some results and had conclusions, like the definition of body or health, or the area which assault and battery including. However, due to the developing of the society and the more desire to protect individual body, except the harm to the physical functions, if the harm to mind or emotion could be classified as the range of assault and battery may be worth discussing as well. This thesis tries to start from the legal interest(Rechtgut), to talk about the possibility of mental injury included in the legal interest of body. If the legal interest of body include the mental harm, then how to explain the articles which are currently in effect. This is not a pure academic discuss, but a issue which close to every individual in society. The activities of individuals in society may cause mental or emotional unpleasantness. On the contrary, mental or emotional unpleasantness might be caused by other’s behaviors too. Those facts around us happen repeatedly everyday and the importance is whether we noticed the mental harm exist or not, and how to appraisal it. After confirming the notion of mental harm or injury exist, if try to analyze more detailed, defining the mental harm notion is the first step we should take and looking for under what kind of situations the notion of mental harm will become meaningful in legal system. Specifically, which means the results of mental harm must conform with some standards. If lacking of standards, the notion of mental harm will be vague, and the result of the vagueness, it might broaden the range excessively. So if the results lack of substantial emotional harm, or didn’t make victims’ reactions out of normal range, then we don’t admit the result is a mental harm, but a negative emotion. Because mental harm has special quality, the question is which behavior leads to the results of mental harm, and the causation between behavior and result is not clear enough. The reason is that in the situation of mental harm, if the specific behaviors surly cause the result of mental harm can’t be discovered obviously and objectively. As the result, the existence of a result of mental harm is caused by behavior A or B, or is caused by A and B, except we have clear facts and proofs to be reference materials, or we only can apply the accumulation of human experience to the construction of causation and we can not use condition theory(Bedingunstheorie) as the standard to determine the causation. Thus, the theory of hypothesized causation constructs the causation through the human experience seems more practical and reasonable standard. When the causation have been constructed, after that, the question is that if the defendant should be blamed for the result should be considered as well. If the behavior is allowed in the society, then even if the behavior may bring about the risk of mental harm of the others, but the risk shall be allowed or endured and is an allowable risk(das erlaubte Risiko). And the relationships between people are not always as any others, if the relationship is closer, the common consensus of society will raise the line of allowable risk and broaden the range of allowable risk. In conclusion, although the behavior leads to the result of mental harm, the behavior companies the risk of the result of mental harm is recognized and allowed by society, so even the risk occur in deed, society will not punish the behavior. Key Word: assault, battery, harm, injury, emotional harm, mental harm, emotional injury, substantial emotional harm, normal range, causation, allowable risk

近年來有關醫療法律糾紛案件有逐漸增加之趨勢，本文嘗試藉由實證分析，剖析目前實務與學理上之不同見解，簡要提出個人淺見。於實證分析前，本論文先就文獻理論作簡略之論述，首要說明醫療行為與醫療糾紛之相關概念，以界定醫師或醫療機構對其醫療行為應負之責任。並從實體法上論述醫療過失民事責任之基礎及其內涵，如醫療契約責任、醫療侵權責任、消保法與醫療法之適用，以及醫療過失之因果關係等。次就程序法上探討民事醫療訴訟舉證責任分配之基本原則，同時就美國法與德國法有關醫療過失舉證責任分配的調整於我國實務上之運用，作概略分析及探討。再者，鑑於法官於具體個案中判斷醫療糾紛之相關要件，往往需將訴訟資料送請醫療專業機構加以鑑定，因此，本文亦加以說明我國醫療鑑定制度運作之現況，並據此指出現行醫療糾紛鑑定問題之所在。 最後，本文就最高法院民事案件，分別從醫療糾紛判決背景資料之「年度」、「醫療機構層級」、「科別」、「上訴人」與「上訴結果」，以及醫療糾紛審判實務，如「醫療過失」、「因果關係的認定」、「民事責任請求權基礎及舉證責任之分配情況」、「告知義務」、「醫療鑑定在醫療糾紛應用」，進行實證分析，並依實證數據成果，提出「醫療科別屬性與醫療糾紛案件量多寡密切攸關」、「法院對於醫師在個案是否盡注意義務，應以理性醫師之注意標準綜合評價」、「針對醫療訴訟特性，適度分配醫病雙方之舉證責任」、「宜建立醫療傷害補償基金制度」、「醫事人員確切履行告知說明義務」、「健全現行病歷表之相關問題」、「關於醫療糾紛鑑定實務」暨「透過消保法填補醫療（院）組織疏失之責任」等八項結論及建議，以供實務與學術研究者未來對於醫療糾紛訴訟案件研析時之參考。 / Recently, legal cases concerning medical dispute have a tendency to increase gradually. This article tries to explore different viewpoints between practice and academic theory by empirical analysis and then briefly indicates some of my humble views. Before doing the empirical analysis, this article will briefly introduce the related literatures and theories. Firstly, explains related concepts between medical behavior and medical dispute to define the liability that doctor and medical institution should bear because of their medical behaviors. Then, discuss the basis and connotation of the civil liability for medical malpractice from the substantive law viewpoint, such as the liability for medical contract, medical tort liability, the implementation of the Consumer Protection Law and the Medical Care Act and the causality from the medical malpractice etc. Secondly, this article will discuss the basic principles of allocation of burden of proof for civil medical dispute from the procedural law viewpoint and in the same time, briefly analyze and research that whether it is appropriate to adopt the allocation of burden of proof for medical malpractice from American and German law in our own practice. Furthermore, respecting the fact that for judges to make their decisions in particular medical dispute cases, they always have to send action materials to professional medical institutes for identification, thus, this article also wants to explain the current situation of implementation of our medical identification system, and points out the problems of current medical dispute identification system accordingly. Lastly, this article will proceed empirical analysis according to the Year, Levels of the medical institutions, Divisions, Appellant, Result of Appeal from the background of the verdicts of the civil medical dispute cases awarded by the Supreme Court and according to the medical malpractice, the determination of the causality, the condition of basis of civil title of claiming and allocation of burden of proof, obligation of informing, medical identification in the medical dispute from the medical dispute trial practice. Base upon these results, this article indicates eight conclusions and suggestions for reference for the active participants and academic researchers in future medical dispute lawsuits: the attribution of the medical care division and the number of the medical dispute cases are closely related, court should do omnibus assessment using the standard of due diligence as a rational doctor to determine whether a doctor fulfill his duty of care in a specific case, with the particularity of medical actions in mind, appropriately allocate the burden of proof between doctor and patient, it is better to establish the compensation foundation system for medical damage, medical personnel should literally perform their obligation of informing, to refine the problems of current medical record, things concerning medical dispute identification practice and using the Consumer Protection Act to fill the vacancy that caused by the negligence of the medical institutions.

量價關係，一直以來皆為技術分析學派所廣泛運用，其主張運用過去的股價以及成交量來推測股票未來的走勢，而也有許多的研究以及投資策略皆是從量價關係所出。在國內，小型股也由於其股本小的特性，往往成為有心人士炒作之標的。此外，小型股亦較大型股具有不對稱資訊的性質，而由於成交量背後往往隱藏著許多的資訊，因此投資人利用量與價之間的關係，得到能夠有效預測小型股股價的方法以利其投資。 而本文之研究，將量價關係運用在小型股上，想檢視彼此間有無任何關係存在。本文中我們使用了因果關係檢定，三因子模型，以及縱橫迴歸模型，用來分別檢視小型股與大型股的量價關係。驗證結果發現，在不同的檢驗方式下，都會得到小型股較大型股，有顯著量價影響的關係存在。 / The relation between volume and price is widely used in technical analysis. It predicts future stock price by using past stock price and volume. There are lots of investigations and investment strategies are stemmed from it. In Taiwan, small caps are preferred to be held by the people who would like to manipulate the price because of their small number of capitalization. In addition, compared with large caps, small caps are of asymmetric information to the investors. As there is lot of information hidden behind volume, investors are likely to use the relation between volume and price to get a useful way to predict small caps’ stock price. In this paper, I use granger causality test, three-factor model, and panel data model to test the relation between price/return and volume of small caps and big caps separately. The experiment shows that use different ways, we can verify there exist more obvious relations between volume and price in small caps than in large caps.

本研究的目的在探討台灣貨幣市場短天期利率衍生性金融商品（30天期商業本票利率期貨、90天遠期利率協定〈以下簡稱FRA〉）對其即期利率（30天期商業本票利率、90天期商業本票利率）之『價格發現』功能。可由兩方面來檢定利率遠期協定或利率期貨市場之『價格發現』功能：（1）市場效率性：FRA、利率期貨價格可否作為未來到期日時即期利率之不偏預期；（2）FRA、利率期貨與即期利率價格間之領先-落後關係。 選取各交易日的日資料作為觀察值。在研究方法上採用ADF單根檢定、效率性檢定、向量自我相關模型（VAR）、Granger因果關係檢定、誤差正交檢定、共整合檢定、誤差修正模型。 結論結果發現，90天遠期利率協定（FRA）對90天期商業本票利率進行『價格發現』的分析，以「市場效率性檢定」的結果顯示此市場無效率，亦即無『價格發現』，可能是因為買FRA的機構投資人目的不是持有到到期，僅為判斷短期利率走勢方向，可能買個幾天欲賺取差價利潤，所以非為未來現貨價格的不偏預期；以「領先-落後關係分析」，顯示其無『價格發現』，此一結果的可能解釋是由於台灣FRA市場非集中市場公開交易，交易量尚不及現貨市場。因此市場資訊的不透明可能使遠期契約價格不如現貨價格般具代表性。 30天期商業本票利率期貨對30天期商業本票利率進行『價格發現』的分析，以「市場效率性檢定」結果顯示在到期日前適當的期間（24~36天）此市場具有效率性，即存在『價格發現』；而「領先-落後關係分析」結果則無明顯的領先落後，不具有期貨領先現貨的『價格發現』，此部分我們可能提出的解釋為：在30天期商業本票利率期貨剛推出不久，一般市場上的交易者大多是從事避險交易，鮮少進行投機行為，所以不具有短天的領先落後關係，其顯示價格發現是在考慮市場存在風險溢酬下，到期前24~36天的利率期貨價格是未來現貨價格的預期。

台灣不動產投資信託（T-REITs）自2005年發行至今已逾六年，然其市場表現仍不如發行之初所預期。過去國內已有許多研究針對T-REITs市場發展進行探討，然而目前就T-REITs與直接不動產投資市場價格表現間之相關研究尚付之闕如。有鑑於此，本研究藉由共整合與Granger因果關係檢定，檢視REITs與直接不動產市場間之關聯性，了解台灣與美國之REITs市場表現差異及其影響因素，進而作為改進T-REITs運作機制或架構之參考依據。 實證結果發現，美國之REITs與直接不動產市場之間存在共整合關係。此結果表示，長期而言，這兩者可能具有相似之風險分散效益。此外，透過Granger因果關係檢定發現REITs領先於直接不動產，乃因前者市場較具效率。另一方面，台灣之REITs與直接不動產市場之間則不具有共整合以及領先或落後關係，然直接不動產當期價格仍會受到本身與REITs之前期價格影響。 本研究進一步分析台、美兩國實證結果之差異原因如下：資料的樣本期間、REITs市場規模、存在於T-REITs市場之集中性風險以及潛在的代理問題。其中，針對T-REITs潛在代理問題，本研究藉由分析股票與T-REIT報酬率之波動性，發現T-REIT之不動產管理機構若與母集團相關者，則其市場表現較差。因此，我們得出T-REITs市場發展主要是受限於代理問題之結論。本研究成果不僅有助於改善T-REITs市場效率，亦可提供學術與實務之參考。 / The mechanism of Real Estate Investment Trusts in Taiwan (or T-REITs) was launched in 2005, however, T-REITs market did not perform as expected. What caused the limited development of T-REITs market? Current literature on the performance between T-REITs and direct real estate investment is limited. Through the cointegration and Granger causality tests, the purpose of this study is hence to explore the short-term and long-term dynamics between REITs and direct real estate markets in the U.S. and Taiwan, respectively. This study presents evidence of the cointegration relationship between REITs and direct real estate in the U.S. It implies that the diversification properties of these two assets are likely to be similar over the long horizon. According to the Granger causality test, REITs leads direct real estate due to the market information efficiency. These findings are consistent with those of previous studies. On the other hand, we find no cointegration and lead-lag relation between T-REITs and commercial real estate. Moreover, the current commercial transaction price is affected by both its and T-REIT previous price. By comparing the difference between the results of these two countries, there are several possible explanations for the different results between the U.S. and Taiwan, including difference in sample period, market capitalization, concentrated risk, and most importantly, the potential agency problem existing in T-REITs market. Finally, the underperformance of parent-related management T-REIT is verified through the volatilities of stock and T-REIT returns. Therefore, we conclude that the limited development of T-REITs is caused by the agency problem in REITs market. Results of this study may provide T-REITs market for improving its efficiency, as well as for the reference for both academics and real practices.