隨著全球化的發展，對外投資不僅在國際經貿中所扮演的角色愈來愈重要，型態也愈來愈多元，呈現出與過去大不相同的特性與風貌。這樣的發展趨勢，再度引起學者對廠商對外投資的影響效果產生興趣。過去有關對外投資影響效果的文獻，主要是以探討對外投資對地主國經濟發展的影響為主，探討對母國或母公司影響的文獻則不多，特別是開發中國家的廠商對外投資對母國影響的研究更是付之闕如。為了彌補此方面文獻之不足，本研究利用台灣製造業1987-2003年的廠商資料來探討廠商對外投資對其技術升級之影響。 廠商對外投資對母國經濟影響的相關議題在台灣一直受到持續的關注，1991年政府開放廠商赴大陸投資之後，該議題更是引發熱切的討論。部分學者擔憂廠商對外投資後將造成國內產業的空洞化；但有另一部分的學者則主張，台灣只要持續技術升級及產業升級就可避免空洞化的危機。有鑑於此，本研究利用三個經濟指標，研發支出、生產力與效率，及技能提升(skill-upgrading)來檢驗不具競爭優勢的產業或附加價值鏈外移，是否有利於台灣進行技術升級。 本研究首先建立了一個理論模型來探討廠商對外投資對其國內研發活動的影響。研究結果顯示，廠商對外投資對其國內的研發支出可能同時產生兩個相反的影響效果，即互補效果及替代效果。互補效果主要來自於廠商對外投資後的「規模擴大效果」，而替代效果的發生則會因廠商對外投資動機之不同，而有不同的來源管道。 本研究實證模型的創新之處在於利用propensity score matching的配對方式搭配difference-in-differences的估計方法來控制實證研究中常會出現的自我選擇誤差(self-selection bias)及互為因果(causality)的問題。本研究採用了四種不同的配對方式來建構對外投資廠商的配對樣本，並發現Nearest available matching within calipers的配對方式可以產生最佳的配對效果，在不犧牲太多樣本數的情況下，顯著縮小對外投資廠商在對外投資前與無對外投資廠商的特性差距。 本研究的實證結果發現，僅管對外投資廠商，特別是赴開發中國家投資的廠商可能對母國的就業造成不利的衝擊，但卻能夠顯著提高母國的研發支出、技術效率及勞工技能，顯示廠商對外投資確實有助於台灣的技術升級。研究結果認為台灣政府應重新思考產業政策及社會福利政策的制定方向，以解決這些新的經濟議題。 / Foreign direct investment has played an increasingly important role in the world economy and, as a consequence, an immense amount of research has investigated its determinants and effects. However, while previous studies have focused on the impact of inward FDI on the host countries, there has been relatively little research on the impact of outward foreign direct investment (OFDI) on the home countries in general, and on developing economies (LDCs) in particular. To fill this gap in the literature, this thesis investigates the home-country effects of the OFDI activity of Taiwanese manufacturing firms. To be specific, the impact of OFDI on the investing firms’ domestic R&D spending, productivity and efficiency, employment and skill-upgrading is examined. A theoretical model is developed to examine the relationship between OFDI and domestic R&D activity. It is shown that OFDI could induce two opposing effects on domestic R&D spending, namely, a complementary effect and a substitution effect. The complementary effect arises mainly due to the “sales-increasing effect” of overseas investment. Substitution effects might arise from different channels depending on FDI motives. Firm-level panel data covering the period 1987-2003 are used in the empirical analysis. The novelty in this thesis is the application of a propensity score matching approach combined with the difference-in-differences method to control for the possible selection bias related to the empirical analysis. Four different matching methods are used to construct matched samples of Taiwan’s OFDI firms. The empirical results reveal that, although Taiwanese overseas investment, especially the investment in LDCs, reduces domestic employment, it stimulates investing firms’ domestic R&D spending, technology efficiency and skill intensity. This implies that while the OFDI activity of Taiwanese firms has brought about a positive effect on their technological upgrading, which is beneficial to the industrial development and resource allocation of the economy, the recent increase in the unemployment in Taiwan could to some extent be attributed to the OFDI activity. It also suggests that the Taiwanese government might need to reconsider its industrial policy as well as social welfare policy in order to deal with these new economic issues.

本研究主要目的是希望藉由對中小學教師婚姻配對模式的發現，了解中小學男女教師的開放性與同質性程度，並對婚姻擠壓理論與交換理論加以探討。研究者以1990年台閩地區戶口及住宅普查報告為資料，進行對數化線性模式分析，以及交叉分配表分析。結果如下： 一、男性教師配偶的職業地位，「低於小學」的比例隨年齡層的下降而下降；女性教師配偶的職業地位，「高於中學」的比例隨年齡層的下降而下降。 二、女性教師與職業地位低於小學者結婚的比例，在50歲以上仍是低於男性教師；但在49歲以下的各年齡層，則高於男性教師，其間40至49歲此轉折點，正好同於女性成為教師主力的年齡層。 三、男性教師因婚姻而水平社會流動的比例，隨年齡層的下降而上升；向下流動的比例，則是隨年齡層的下降而下降。 四、女性教師向上流動的比例，有逐年縮小的趨勢，但仍高於男性教師；而在向下流動方面，則無明顯的變化，維持在五成左右。 五、女性教師的婚姻以教育同質性為主；男性教師以向下婚為主；並且教育程度相距愈遠，結為夫妻的比例愈低。 六、對於女性教師而言，教育程度在其擇偶條件中，佔有比職業地位更大的比重。 七、本研究支持婚姻擠壓理論與交換理論。 本研究針對上述發現加以討論，並提出若干後續研究的建議。 第一章 緒論 第一節 研究動機**********************1 第二節 研究目的與待答問題*****************6 第三節 名詞釋義**********************7 第二章 文獻探討 第一節 社會流動的理論基礎*****************9 第二節 社會流動相關研究之評析***************18 第三節 適配婚姻的相關理論*****************26 第四節 適配婚姻的相關研究*****************34 第五節 城鄉差距對婚姻配對之影響的相關研究*********47 第三章 研究設計與實施 第一節 研究架構**********************51 第二節 研究假設**********************54 第三節 資料來源**********************55 第四節 資料處理**********************56 第四章 研究結果 第一節 中、小學教師的描述性分析**************57 第二節 中、小學教師配偶的職業地位分析***********68 第三節 中、小學教師的社會流動***************84 第四節 中、小學教師配偶的教育程度*************96 第五節 料理家務之男性教師配偶的教育程度、教師配偶的職業類別、 與處於向下社會流動的女性教師其配偶的教育程度****109 第五章 討論 第一節 結論與討論*********************121 第二節 研究限制與建議*******************132 參考書目**************************137 圖 目 錄 圖1 Blau與Duncan的地位取得基本模型************.11 圖2 中小學之別對教師配偶職業地位的影響***********71 圖3 教師性別與其配偶職業地位之關係*************72 圖4 城鄉對教師配偶職業地位的影響**************73 圖5 教師年齡層與其配偶職業地位的關係************74 圖6 中小學之別與教師性別對其配偶職業地位的交互作用*****75 圖7 中小學之別與城鄉對教師配偶職業地位的交互作用******76 圖8 中小學之別與教師年齡層對其配偶職業地位的交互作用****77 圖9 城鄉與教師性別對其配偶職業地位分布的作用********78 圖10 教師性別與年齡層對其配偶職業地位分布的交互作用****..79 圖11 中小學之別、教師性別、與年齡層對其配偶職業地位分布的交互 作用*************************.81 圖12 城鄉、教師性別、與年齡層對其配偶職業地位分布的交互作用..83 圖13 中小學之別對教師婚姻社會流動類型的影響********..85 圖14 教師性別對其婚姻社會流動類型的影響**********..86 圖15 城鄉對教師婚姻社會流動類型的影響***********..87 圖16 教師年齡層對其婚姻社會流動類型的影響*********..88 圖17 中小學之別與教師性別對其婚姻社會流動類型的交互作用**..89 圖18 中小學之別與教師年齡層對其婚姻社會流動類型的交互作用*..90 圖19 城鄉與教師性別對其婚姻社會流動類型的交互作用*****..90 圖20 教師性別與年齡層對其婚姻社會流動的交互作用******..92 圖21 中小學、教師性別、與年齡層對其婚姻社會流動的交互作用*..93 圖22 城鄉、教師性別、與年齡層對其婚姻社會流動的交互作用**..95 圖23 中小學與教師配偶的教育程度之關係***********..98 圖24 教師性別與其配偶教育程度之關係************..99 圖25 城鄉與教師配偶的教育程度之關係************..100 圖26 教師的年齡層與其配偶教育程度的關係**********..101 圖27 教師的教育程度與其配偶教育程度的關係*********..102 圖28 城鄉與教師性別對教師配偶教育程度的交互作用******..103 圖29 教師性別與年齡層對其配偶教育程度的交互作用******..105 圖30 教師性別與教育程度對其配偶教育程度的交互作用*****..106 圖31 城鄉與教師教育程度對教師配偶教育程度的交互作用****..108 表 目 錄 表1 中、小學各學年度教師男女性別比例表***********37 表2 職業地位分類表*********************53 表3 中小學教師人口特徵之統計考驗**************58 表4 中、小學教師性別、年齡分布情形*************59 表5 中小學教師城鄉、年齡分布情形**************60 表6 中小學教師教育特徵之統計考驗**************61 表7 中小學男女教師的教育程度分布情形************61 表8 各年齡層教師教育程度的城鄉分布情形***********62 表9 中小學教師婚姻狀況之統計考驗**************64 表10 中、小學教師婚姻狀況表****************..64 表11 各年齡層教師婚姻狀況之城鄉分布情形**********..65 表12 已婚中、小學教師的年齡分布情形************..66 表13 各年齡層已婚教師的城鄉分布情形************..66 表14 中小學教師配偶的就業情形***************..68 表15 中小學教師配偶無工作之因***************..69 表16 教師配偶之職業地位統計考驗**************..70 表17 中、小學教師配偶的職業地位分布************..71 表18 男女教師之配偶的職業地位分布情形***********..71 表19 城鄉教師之配偶的職業地位分布*************..72 表20 各年齡層教師之配偶的職業地位分布***********..73 表21 中、小學男女教師之配偶的職業地位分布*********..74 表22 中、小學教師配偶職業地位的城鄉分布**********..75 表23 各年齡層中小學教師之配偶的職業地位分布********..76 表24 男女教師之配偶職業地位分布的城鄉比較*********..77 表25 各年齡層男女教師之配偶的職業地位分布*********..79 表26 中、小學男女教師之配偶職業地位分布的各年齡層比較***..80 表27 各年齡層男女教師之配偶職業地位分布的城鄉比較*****..82 表28 教師配偶之婚姻社會流動統計考驗************..84 表29 中、小學教師社會流動情形***************..85 表30 男、女教師社會流動情形****************..86 表31 教師社會流動情形的城鄉比較**************..87 表32 各年齡層教師的社會流動情形**************..88 表33 中、小學男女教師的婚姻社會流動情形**********..88 表34 各年齡層中小學教師的婚姻社會流動***********..89 表35 男女教師的社會流動情形之城鄉比較***********..91 表36 各年齡層男女教師的社會流動情形************..91 表37 各年齡層中小學男女教師的社會流動情形*********..93 表38 各年齡層男女教師的社會流動情形之城鄉比較*******..94 表39 教師配偶之教育程度統計考驗**************..97 表40 中小學之別對教師配偶教育程度的影響**********..98 表41 教師性別對教師配偶教育程度的影響***********..99 表42 城鄉對教師配偶教育程度的影響*************..99 表43 教師年齡層對教師配偶教育程度的影響**********..100 表44 教師教育程度對教師配偶教育程度的影響*********..102 表45 教師性別與城鄉對教師配偶教育程度的交互作用******..103 表46 教師年齡層與性別對教師配偶教育程度的交互作用*****..104 表47 教師教育程度與性別對教師配偶教育程度的交互作用****..105 表48 教師教育程度與城鄉對教師配偶教育程度的交互作用****..107 表49 中學男性教師之配偶為料理家務者與有工作者之教育程度比較..110 表50 小學男性教師之配偶為料理家務者與有工作者之教育程度比較..111 表51 中學教師之配偶的職業類別***************..113 表52 小學教師之配偶的職業類別***************..114 表53 中學教師之配偶任教職者的分布*************..116 表54 小學教師之配偶任教職者的分布*************..117 表55 向下流動之女性教師的配偶教育程度***********..120 / The purpose of the present study is to understand the social openness and the educational homogamy of high and elementary school teachers by examining their mate selection preference, and to discuss marriage squeeze theory and exchange theory. The data was 1990 census data of Taiwan and Fukien statistically analyzed by logit and cross-table frequencies. Important findings are the following: 1.For the career status of the mates of male teachers, the ratio of "lower than elementary school" was declined by age declining; for the career status of the mates of female teachers, the ratio of "higher than high school" was declined by age declining. 2.For the ratio of "lower than elementary school", female teachers were lower than male ones when they were above age 50 ; female teachers were higher than male ones when they were below 49 years old. The turning point of age 40-49 was the same with the point of female teachers becoming the majority of teachers. 3.The ratio of horizontal mobility of male teachers was raised by age declining; the ratio of downward mobility was declined by age declining. 4.The ratio of upward mobility of female teachers had the trend of being declined by age declining, but it was still higher than the ratio of male teachers; on downward mobility, the ratio of female teachers had not changed significantly, about 50%. 5.On education, the majority of female teachers' marriage was homogamous; male teachers' marriage was downward ; the more the educational degrees between both persons were differential, the lower the probability was. 6.For female teachers' mate selecting, education was more valued than career status. 7.Marriage squeeze theory and exchange theory were supported. The present research discussed the findings and proposed some suggestions concerning further research.

我國自1996年起開始試辦綜合高中，迄今已有十餘年。試辦綜合高中的目的在於促使我國後期中等教育能在高中、高職之外，提供另一條不同的選擇進路，俾使學生得以適性發展，學得多方面的知識，達到適性教育的目標。過去國內關於綜合高中分流政策的研究，大都集中在探討綜合高中的辦學績效和實施困難，而非該政策對學生學習成就的影響之探討。有鑑於此，本研究進一步探討：（1）哪些因素會影響國中畢業生選擇就讀普通高中和綜合高中學術導向組；（2）就讀綜合高中的學生，其學生學習成就是否優於就讀一般高中或高職；（3）綜合高中的課程分流政策是否能減少教育階層化的產生。 原始資料取自臺灣教育長期追蹤資料庫（Taiwan Education Panel Survey）公開使用版中的第一波到第四波國中追蹤樣本資料，並使用傾向分數配對法（Propensity Score Matching）探討上述三個研究目的。研究結果發現：(1)控制其它相關因素之後，過去學習成就和家庭社經背景愈佳者，愈有可能就讀普通高中及綜合高中學術導向組；(2)在學生學習成就表現上，就讀綜合高中的學生並不比就讀一般高中或高職的學生來得好；(3)綜合高中分流政策和制度性分流一樣，都會產生教育階層化現象。最後，本研究說明本研究結果對綜合高中分流政策的意涵，及提出研究建議供後續研究之用。 / Since 1996, Taiwan government launched the policy of Comprehensive High School (CHS) to relax the traditional system of curriculum tracking at the level of the senior secondary education. A number of studies and on-site evaluation reports on CHS have been made. So far, these studies and reports focused on exploring the performance of comprehensive high schools and difficulties in implementation of the policy. No evaluation of the impacts of the CHS policy on student achievement has yet been done. The purpose of this study is to examine the effects of the CHS policy on students’ achievement in the upper secondary education in Taiwan. This study attempts to answer the following research questions: (1) What factors influence junior-high school graduates’ decision on attending general high schools, and the academic track in comprehensive high schools? (2) Do students enrolling in comprehensive high schools perform better academically than those enrolling in general or vocational high schools? (3) Do curriculum tracking in comprehensive high schools enhance or reduce inequality in educational achievement? Using the data from the public released core panel data of the Taiwan Education Panel Survey (TEPS) in 2001, 2003, 2005, and 2007, this study employs the method of propensity score matching (PSM) to estimate the average treatment effect of CHS policy on student achievement. All results of PSM analysis indicate that (1) all else being equal, students with higher prior student achievement and better socio-economic backgrounds have more opportunities to enroll in an academic track, including senior high schools and the academic track in comprehensive high schools, than those with lower level of prior achievement or socio-economic backgrounds; (2) for those enrolled in comprehensive high schools, there is virtually no gain in student achievement from the CHS policy; and (3) tracking in comprehensive high schools produce inequality in educational achievement, which is similar to tracking between general and vocational high schools. Finally, the present study discusses the implications of the CHS policy and suggests directions for future research.

在傳統的簽章機制中，我們需要一個具有公信力的第三方 (Trusted Third Party, TTP) 來核發數位憑證，以驗證公開金鑰確實屬於簽章者所擁有，為了減少TTP的負擔，於是就有學者提出了免憑證簽章 (Certificateless Signature) 機制。另一方面，具有訊息回復 (Message Recovery) 功能的數位簽章是指原始訊息不需要與簽章一起傳送給接收者以簡化訊息及簽章在傳送時的長度。 本論文中我們提出了一個具有訊息回復功能的免憑證簽章機制，和一般簽章方式相比，我們的方法不僅具有免憑證簽章的優點，訊息回復功能也減少了訊息和簽章的總長度，提昇了訊息的傳送效率 (Communication Cost)，在效能方面也有不錯的表現，因此非常適用於以頻寬為主要考量的公司組織以及對短訊息作簽章的應用，最後我們也有對我們的簽章方法做完整的安全性證明。 / In traditional digital signature systems, a trusted third party (TTP) is required in order to issue a digital certificate. The certificate is to assure that the public key actually belongs to the person of the signature. In order to reduce the burden of TTP, some scholars proposed the Certificateless Signatures. On the other hand, a digital signature with message recovery is a signature that the message itself is not required to be transmitted together with the signature. It has the advantage of small data size of communication. In this paper, a certificateless signature with message recovery is proposed. It inherits both the advantages of certificateless signatures and signatures providing message recovery. The performance of our scheme is compared with other schemes which shows that our scheme is quite efficient and the security of the scheme is finally proved in the random oracle model.

自1990年代中期，隨著環保、消費者權利、童工…等這些議題被廣泛檢討，越來越多人同意各別公司與整個社會是價值共享且相互依存的，若要達到共存共榮的理想，則公司必定要將社會責任融入其自身追求競爭力和商業策略的核心架構中。企業社會責任(Corporate Social Responsibility)並無公認標準，但一般泛指企業除了追求股東的利益極大化外，還必須兼顧員工、顧客、供應商、合作夥伴、社區團體、環境…等。 道瓊永續性指數(Dow Jones Sustainability Index)為現今資本市場衡量企業社會責任的標竿指數，而企業名列在被大眾認可的永續性指數上，就是企業可以傳達給利益相關者(stakeholders)，表明他們注重企業社會責任的訊號之一。藉由研究企業被涵蓋在聲譽卓著的永續性指數之內是否能為股東創造價值，本論文將探討企業永續發展和企業價值之間的複雜關係。 本研究利用傾向分數配對法(Propensity Score Matching)，降低進入與退出道瓊永續性指數這兩組公司間的異質性，以求得出的結果較不受公司規模、財務槓桿、產業等外在其他因素干擾。將2002至2009年間的樣本數配對後，以道瓊永續性指數作為企業社會責任之代理變數，以累積異常報酬率(Cumulative abnormal return)代表為股東創造之財富，我們追蹤資本市場對於企業進入和退出道瓊永續性指數的反應，來探討股東是否認同公司參與企業社會責任是創造價值之行為。 本研究結果顯示如下: 第一、當企業被加入道瓊永續性指數時，該企業之股東將獲得正向且顯著性的累積異常報酬率，這代表名列著名的的永續性指數是一個股東認可，且企業應追尋的目標。第二、當企業被道瓊永續性指數剔除時，該企業之股東將獲得負向但不顯著的累積異常報酬率。因此我們至少可以推論，從事企業社會責任活動，並不會破壞企業整體之價值。 / Corporate social responsibility (CSR) gradually becomes an important corporate strategy to every company in the worldwide economy. The social performance of a firm can shape the images to key stakeholders, no matter they are employees, suppliers, customers or investors, and influence decision making and relationships with the firm in the later stage. While corporations are busy engaging and enhancing CSR practices, there are few established empirical research on CSR effects and relevance in the capital markets. Hence, my thesis explores the relationship between corporate sustainability and firm value by asking whether membership on a recognized sustainability index is value generating. As stakeholders are urging that firms demonstrate their commitment to sustainability, one signal that companies can send to stakeholders to indicate that they are sustainable is membership on a recognized sustainability index. My research investigates this issue by tracing the market reaction to corporate entries and exits from Dow Jones Sustainability Index, recognized as a CSR benchmark, between 2002 and 2009. Instead of using regression models, I employ a propensity score matching (PSM) pairs design to overcome heterogeneity between different firms. My thesis highlights two main findings: a significant share price rising trend in cumulative abnormal returns (CAR) of the samples under the addition situation, suggesting that inclusion on the Dow Jones Sustainability Index (DJSI) is a goal that firms should pursue. Another is an insignificant negative stock market reaction while firms are removed from the DJSI, and I can draw from the results that, at the very least, adopting CSR doesn’t deteriorate the value of the firms. Our results suggest that the benefits of being included on the DJSI outweigh or equal to the costs associated with applying a membership on DJSI.

本文旨在探討休閒興趣相似程度與夫妻間的依附類型配對組合兩者對婚姻滿意度之影響。測量工具上採用問卷調查法的方式進行，依附類型的分類部分，參考ECR量表（Experiences in Close Relationships），自編依附關係量表，以群集分析方式分類夫妻雙方各別的依附類型；休閒興趣部分則使用自編之休閒興趣調查表，量測受試者夫妻在休閒興趣的四大向度，個人/群體*靜態/動態上之有興趣之休閒活動數量；最後以關係評估量表（Relationship Assessment Scale，RAS）作為婚姻滿意度之測量工具。樣本部分，本研究以卡培爾國際有限公司之「為愛啟程」團隊網路交友配對計畫所蒐集之夫妻樣本資料做二手資料分析，採取系統觀點以201對(共402人)完整夫妻配對資料，進行研究。 　　研究經由結果得知，夫妻雙方之休閒興趣的相似程度、各自依附類型、依附類型配對組合皆能部分解釋丈夫、妻子及雙方平均婚姻滿意度部分變異，而丈夫婚姻滿意度之解釋力以休閒興趣相似程度為最高，夫妻皆不安全依附之配對組合為次之。妻子婚姻滿意度之解釋力以夫妻皆安全依附之配對組合為最高，休閒興趣相似程度為次之，夫妻間一方為安全一方為不安全依附之配對組合則為第三高。平均婚姻滿意度之解釋力以夫妻皆不安全依附之配對組合為最高，休閒興趣相似程度為次之。 / This study aims to explore the relationships of married couple’s similarity in leisure interest, matches of attachment styles and marital satisfaction. Based on the data of “Capire International Company “collected from 201 pairs of married couples, and reconstructed this study’s model. In the study, we used attachment stype scale to test married couple’s attachment style. Cluster analysis was also used to sort out each spouse’s attachment type. As for leisure interest, we used self-edited questionnaire to measure married couple’s four dimensions of leisure interested. Finally, the RAS (Relationship Assessment Scale) was used to measure couple’s marital satisfaction. The result of the research indicated that, no matter the similarity in leisure interest of married couple, husband or wife’s individual attachment type and married couple’s matches of attachment styles all can explain part of the variation of the husband, wife and the mean of both marital satisfactions. And the similarity in leisure interest has the highest prediction for husband's marital satisfaction, with both spouses’ attachment type as insecure lying second. As for the explanation power for the wife’s marital satisfaction, both spouses’ attachment type as secure ranked the highest, with similarity in leisure interest second and one spouse attachment type as secure and another as insecure ranked the third. Last of all, for mean martial satisfaction, both spouses’ attachment type as insecure has the highest prediction, with similarity in leisure interest ranked second.

配對交易策略為一被廣為使用的交易策略，其特性為使用數個關聯性高的資產同時建立多空部位，藉此消除大部分的市場風險，賺取與市場趨勢無關聯性的報酬；本研究欲探討共整合法配對交易策略應用於兩類標的資產上之可行性及其功效:台灣證券交易所掛牌的6檔陸股ETF、以及COMEX黃金期貨與CME日幣期貨之組合。本研究使用之配對交易策略應用於6檔陸股ETF大部分參數設定下可獲得正報酬，獲利性卻不如預期，且共整合性質較佳之配對無法保證其交易績效亦較佳；COMEX黃金期貨及CME日幣期貨雖相對共整合性質不佳，仍以原策略測試可獲得較優秀的績效，此結果顯示共整合法配對交易策略於兩類資產上可行性皆不高，而配對交易策略於黃金、日幣組合上可能仍有其功效，尚須以不同方法進行驗證。 / Pairs trading strategy is one kind of market neutral strategy which take both long and short positions in two or more highly correlated assets. By doing this pairs trading strategy can eliminate market risk and make profits which are not correlated with market trends. This paper aims to figure out if pairs trading strategy work well on China ETFs listed in TWSE and the COMEX gold-CME yen future pair. We use the cointegration approach to test and simulate trading performance on the securities mentioned. The result shows that pairs trading strategy profit on China ETFs under most of the parameters, but the returns are insufficient. Furthermore, good cointegration property in the input periods can’t guarantee better performances in the outputs periods. For COMEX gold future and CME yen future, cointegration property in the input periods are worse than China ETFs, but using the same strategy we find a more profitable outcome. The empirical result indicate that pairs trading strategy might still work on gold and yen, but the cointegration approach is not suitable for these two groups of assets.

本文以在中國大陸證券市場上交易量最大，流動性最好的兩隻指數型ETF——華夏上證50ETF（SH510050）和華泰柏瑞滬深300ETF（SH510300）,為一個配對組合，進行統計套利。本文先簡要配對交易的實質和常用方法，以及這一策略目前在全球市場和中國大陸市場上的應用和研究狀況。而後又介紹了這兩隻ETF的標的物——上證50指數和滬深300指數，並闡明為何選取這兩個指數相關的ETF作為統計套利的原因。 接著，分析了華夏上證50ETF和華泰柏瑞滬深300ETF的相關性，從這兩隻ETF的相關性出發，建立共振合模型，並建立一階誤差修正模型對兩隻ETF的短期非均衡狀態進行補充。在此基礎上設定交易規則進行模擬交易。同時我們還在文中後續探討了交易成本和止損點的設置情況。 經過模擬交易，我們發現在一個標準差為開倉閾值的情況下出現的套利機會非常少且收益率較低。因此我們修改交易規則，來探討模型存在的問題，發現當將開倉閾值設為價差序列兩個標準差時，交易次數沒有增加，但收益率有所好轉。當將開倉閾值設為移動平均數和移動標準差，交易次數明顯增加，但收益率並沒有好轉。為進一步驗證上述結論，我們通過樣本外資料進行測試，發現與上述結果一致。此外，我們還通過延長時間序列的方式增加樣本量，得到結果也與上述一致。在用高頻資料交易結果不理想的情況下，我們採用了兩隻ETF的日收盤價格序列建立統計模型和模擬交易，發現在這種情況下，存在套利空間，但第一和第二種策略的套利機會較少，第三種策略套利機會相較前兩種策略要多得多。 分析上述結果產生的原因，主要原因有二：第一，在採用高頻資料的時候，模型的殘差項標準差較小，也就意味著該模型的偏離程度不高，因此套利空間較小。第二，這一配對組合所建立的模型其ECM項係數均非常小，也就意味著模型的長期穩定對時間序列的短期波動影響很小，因此出現的套利機會非常少。 此外，在此說明的是本文所採用的樣本資料為華夏上證50ETF和華泰柏瑞滬深300ETF在2016年7月1日到2016年10月31日每十分鐘的高頻交易價格資料，資料來源為中國大陸的WIND資料庫。 / This essay uses Huaxia SSE50 ETF (Code: SH510050) and Huataiborui CSI300 ETF (Code: SH510300), the two ETFs with the largest trading volume and the best liquidity in the China’s security market, as a pair for statistical arbitrage. Firstly, we introduce the definition of the strategy—pair trading, and its current application in the global and China’s mainland stock market. Then, the essay presents the underlying assets of the two ETFs, SSE50 Index and CSI300 Index, and explains why we choose the two ETFs for statistical arbitrage. Secondly, we analyze the correlation between Huaxia SSE50 ETF and Huataiborui CSI300 ETF, and build the co-integration model based on the correlation. Meanwhile, we establish the first-order error correction model to supplement the short-term imbalance of the two ETFs. On this basis, we set trading rules for simulated transaction. Moreover, we consider trading costs and stop-loss points in this article. After simulated trading, we find that both the trading time and the return are not good enough when we set a standard deviation as the threshold. So we modify trading rules, using the two standard deviations and moving standard deviation as thresholds, but it still doesn’t work. In order to further verify the above conclusion, we change the sample data by adding two times of the original and using the daily closing price, and it reveals that when we use the daily closing price to trade, the yield is better than the high-frequency trading price. There are two reasons for this conclusion. First, the standard deviation of the model’s residual is so little that the arbitrage space is small. Second, the coefficients of ECM is too little, which means the long-term stability of the model has little effect on the short-term volatility of the time series, thus leading to fewer arbitrage chances. In addition, the data used in the article are from the Wind Database in China.

睡眠是否能鞏固陳述性記憶目前尚無定論。過去研究一致較支持睡眠能增進相關字詞配對的學習，但睡眠是否能增進無關字詞配對的學習，目前仍存在不一致的發現。造成該差異的原因可能是：過去研究多採用的行為測量指標，或許無法充分反映出睡眠促進記憶新聯結（new association）產生的效果。事件關聯電位（Event-related potential, ERP）的N400反映出語意記憶系統內每個字詞彼此的相關程度，因此本研究使用N400來探討睡眠強化無關字詞配對形成新聯結的電生理歷程。30名健康受試者（15位男性與15位女性，平均年齡為20.7歲） 隨機分派至睡眠組或清醒組，第一晚在學習80組無關字詞配對後，接受第一次再認記憶測驗，同時進行ERP的記錄。隨後睡眠組接受睡眠記錄（PSG），清醒組則接受整晚的睡眠剝奪，兩組受試者皆在第二晚給予8小時的躺床時間，使他們有機會充足睡眠以恢復精神，於第三天早上接受第二次再認記憶測驗及ERP記錄。在記憶測驗時，無關字詞配對分別組成促發字（prime）與目標字（target）先後出現，受試者需判斷先後出現的字詞是否為先前學過的完整配對，在測試階段同時記錄腦電波訊號。行為測量結果顯示睡眠過後，再認表現的正確率顯著提高且反應時間明顯縮短，但在睡眠剝奪後則顯示相反的結果。電生理測量發現睡眠組的N400振幅在睡眠過後較清醒組明顯降低。另外，睡眠組較清醒組有較高的正確率與較短的反應時間。睡眠組再認測驗的進步量與慢波睡眠呈現負相關，而慢波睡眠與第一次再認測驗的正確率呈現正相關，根據二階段睡眠記憶鞏固理論，慢波睡眠涉及重新組織記憶的歷程（系統性固化），因此學習表現較佳的受試者出現較多的深度睡眠，可能反應其經歷系統性固化。本研究結果顯示睡眠對於產生新聯結有明顯的增強效果，而且慢波睡眠可能參與了記憶表徵重新分配的歷程。 / The effect of sleep on declarative memory remains contradictory. Prior studies show that sleep benefits the learning of related word pairs consistently, while the learning of unrelated word pairs, however, show mixed results. It is possible that the behavioral measures used in previous studies are not sensitive enough to reveal subtle effects of sleep on new associations. N400, an event-related potential (ERP) component reflecting relatedness among words in semantic memory, was used in the present study to investigate the effect of sleep on the physiological process underlying new associations of unrelated word pairs. Participants were randomly assigned to either a Sleep group or a Wakefulness group. In the learning phase, participants were asked to memorize 80 visually presented unrelated word-pairs, followed by a pre-test phase with a recognition task. The participants then underwent either a night of nocturnal sleep (Sleep group) or sleep deprivation (Wakefulness group). A post-test was conducted after subjects had one night of recovery sleep. During both pre-test and post-test sessions, prime and target words were presented successively for the subjects to judge whether they were among the original pairs or new pairs. ERPs were recorded during both test phases. The behavioral data show that differences in improvement of recognition and decreases in reaction time from pre-test to post-test are significant between Sleep and Wakefulness groups. N400 peak amplitude attenuated significantly after sleep but not after wakefulness. The improvement of recognition negatively correlates with slow wave sleep (SWS). The number of word-pairs acquired in the learning phase, however, correlates positively with SWS. According to the two-stage memory consolidation theory of sleep, SWS involves in redistribution of memory (systematic consolidation). Therefore, that the participants with high performance showed more SWS may reflect the process of systematic consolidation. These results suggest that the sleep has an enhancing effect on the formation of novel association, and SWS may be involved in the process of redistributing memory representations.

本研究使用「臺灣教育長期追蹤資料庫」第二波（2003）國三與第三波（2005）高二的CP追蹤數據，採用反事實模型框架下的傾向分數配對法估計單一性別環境對臺灣高中女生選組行爲（自然組／社會組）的因果效應。使用學生進入高中前的國三資料，本研究在學生因素，家庭因素和學校、班級因素三個方面充分平衡處置組（進入女校）和控制組（進入男女合校）的樣本，使配對樣本之間除了進入女校或進入男女合校之外，在以上三個方面儘可能相等，嘗試克服觀察性數據因選擇性偏誤問題對因果效應的估計帶來的阻礙。結果顯示，在進行傾向分數配對後，處置組和控制組之間達到了很好的平衡，進入女校的女生與進入男女合班的男女合校中的女生相比，女校顯著地促進了高中女生選自然組的機率，然而該效應在數學成績水平不同的女生中存在異質性，女校顯著地促進了數學成績處於高水平的女生的選擇自然組的行爲。作爲教育分流的重要組成部分，臺灣高中生選組行爲的性別隔離長期存在，選組行爲與學生未來大學科系選擇和職業選擇關係密切，自然組中低比例的女生組成顯現出隱藏的教育機會不平等。該現象長期存在的背後因素，除了學生個人因素和學生家庭背景因素帶來的影響，本研究關注學校這一角色對高中女生選組行爲的影響。 / Based on the Taiwan Educational Panel Survey’s core panel data from wave 2 (junior high school/9th grade) and wave 3 (high school/11th grade), researcher applies the propensity score analysis in counterfactual framework to study the causal effect of single-sex schooling on high school girls’ curriculum tracking (science track or humanity track) selection. Observational data always be the obstacles of making the causal analysis because it's lacking random assignment and being under threat of selection bias and unobserved variables. Using the pretreatment variables from students in 9th grade, students in the treatment group were matched with those in control groups by the individual factors, family factors and school, classroom environment factors. After matching, students come from different groups are supposed to be relatively equivalent on all the matching variables except for attending single-sex school or not. The researcher can make suitable comparison and prediction between well-matched samples. The result shows that more girls in single-sex high schools tend to choose science track. Effect of single-sex schooling is not the same among girls with different level of math scores. It benefits girls with top math performance significantly. As an important part of the educational tracking system, alternative curriculum tracking selection in Taiwan high school is worth noteworthy. The long lasting gender segregation is closely associated with students college major as well as occupation selection and it reveals the hidden educational inequality between gender. Other than focusing on the individual and family background effect on high school girls’ curriculum tracking selection, this study highlights the school effect on it.