Power System Deregulation is a trend, and it takes place when the government, reduces unnecessary intervention and relaxes the control of capacity and price for the electricity market. It can establish the market mechanism and create rules that facilitate competition. The intention is to raise the market efficiency, introducing various types of production technologies and marketing management. As a result, it should create higher added value and ensure customer rights and interests to reach a win-win situation from both parties. In this thesis, a maximum profit will be pursued in the security market by the use of the Enhanced Immune Algorithm and Signal-to-Noise Ratio search under deregulated environment. Participation of generator companies and distribution companies are determined by ISO depending on their individual contributions to join the security market. The monetary influence is also discussed by using the social welfare. In this thesis, optimization will be considered when a line trip could lead to system congestion under security analysis. Tracing was used to find GenCos and DisCos¡¦s contributions to the transmission lines. ISO determines the participants to join the security market according to the tracing results. For the same fault type, various dispatch fees of the bids from participants will have various impacts on ISO¡¦s dispatch in terms of social welfare in the security market. Various fault types will also be discussed for the impacts of dispatch fees over ISO. This research could also provide a solid foundation for power system deregulation in the future. ISO can forecast the cost for a fault, and maximizes social welfare.

The well-known CAPM (capital asset pricing model) model in finance states that return is a function of risk. The more risky a stock is, the higher the return is expected to be. One way of modeling this relationship between stock return and stock risk is with the Security Market Line. The Security Market Line is the regression line between the returns of stocks in the market and their risks, as measured by the Beta Coefficient. However, in our empirical research, this model does not fit as well as it should. This report uses historical data to examine when this financial theory does not fit the historical data and the possible factors that might affect the validity of this model from a statistical perspective. / text

In this study, we apply "the equilibrium price" to investigate the efficiency and the elasticity of Taiwan securities trading market. The "the equilibrium price" of each transaction are used to represent the true price of the security. The intra-daily tick-by-tick data of the Taiwan security market is used to obtain the equilibrium prices. Empirical transaction of the two companies Uni-President Enterprises Corporation and Formosa Plastics Corporation are studied. Time-series models of the equilibrium price and the transaction price are established. The time lengths returning to the equilibrium status are also studied, called the efficiency time. Based on the results, we discuss the efficiency of the two stocks. In order to understand the impact of the efficiency time, linear regression models of the efficiency time are built. Furthermore, the variance ratios of the two stocks are also investigated to study their market efficiency. Finally, the elasticity of demand and the elasticity of supply are studied and their Markov chain models are established. The results show that the two companies stay more time in the inelastic states.

Magistro baigiamajame darbe nagrinėjami tokie pagrindiniai dalykai – obligacijos, obligacijų rinka ir portfelio sudarymo principai. Pirmoji, teorinė darbo dalis, skirta obligacijoms: apibūdinama obligacijų rinka kaip finansų rinkų posistemis, atskleidžiamos šio vertybinio popieriaus charakteristikos, rūšys, obligacijas veikiančios rizikos. Tada yra nagrinėjamos dvi portfelinės teorijos, kuriomis remtasi tyrime. Atliekama H. Markowitz „Portfelio teorijos“ ir adekvataus investicijų stochastinei prigimčiai portfelio teorijos analizė ir palyginimas. Tyrimas atliekamas tokia tvarka: įvertinama ir išanalizuojama 2001 – 2006 m. Lietuvos Vyriausybės vertybinių popierių (VVP) rinka ir kokią dalį joje užima obligacijos. Po to, remiantis išanalizuota rinka, bandoma sudaryti optimalų obligacijų portfelį Lietuvos VVP rinkos sąlygomis. Sudaromo portfelio pelningumas bei rizika valdomi pritaikius dominuojančią H. Markowitz „Portfelio teoriją“. Tyrimo rezultatams darbe papildyti suformuojamas adekvatus stochastinei obligacijų prigimčiai portfelio modelis, kuris įvertina rezultatų patikimumą. Išnagrinėjus teorinę ir praktinę dalį, pateikiamos baigiamojo darbo išvados ir pasiūlymai. Darbą sudaro tokios dalys: įvadas, teorinė dalis apie obligacijas, pagrindinių investicinio portfelio teorijų analizė, tyriamasis skyrius, išvados ir siūlymai, naudotos literatūros sąrašas, santrauka bei priedai. / In final thesis there are analyzed these major objects – bonds, bond market and principals of forming a portfolio of bonds. The first academic part of the work is devoted for the bonds: there are described bond market as finance market subsystem, also developed characteristics, sorts, persuading risks of this security. Then there are analyzed two theories of portfolios, which were used for the research. Also there was performed analysis and comparison of both „Portfolio theory“ created by H. Markowitz and portfolio theory adequate to the stochastic nature of investments. The research was performed in the following way: there are evaluated and analysed 2001-2006 Lithuanian government securities market and part taken by bonds. According to the analysed market there was composed an optimal bonds portfolio under Lithuanian government security market condition. The profitability and risk of the portfolio are managed adopting the prevailing „Portfolio theory“ by H. Markowitz. According to research results there were formed portfolio model adequate to stochastic nature of bond, which evaluates the reliability of results. At the end there are given conclusions of the final thesis and suggestions. Structure: introduction, academic chapter about bonds, analysis of the main investment portfolio theories, investigative chapter, conclusions and suggestions, list of references, summary and appendixes.

本研究旨在深入探討中國大陸證券市場的會計規範系統，並以中國大陸 新上市股票的股價行為為例，俾驗證中國大陸會計規範系統的有效性。所 謂證券市場的會計規範系統意指股票上市公司財務資訊公開揭露的規範， 其目的在於確定財務報表的品質與對投資大眾公開的程度。而在大陸資本 市場中，因為會計自律組織不彰，因此與自律組織有關的自律規範皆由官 方制定，亦即財務報表品質的確定與財務資訊對大眾公開的程度由官方決 定並制定為規則。於相關的文獻探討中得知，會計資訊與新上市股票上市 價差的關係相當密切。會計資訊品質越佳，上市價差越小。所以，利用上 市價差來評估會計規範體系的合理性與有效性係適當的方法。據此，本研 究以在上海及深圳證券交易所上市的Ａ股及Ｂ股公司為研究樣本，分別進 行單變量分析及兩樣本t 檢定。從上市價差的衡量與統計分析中得知：1. 無論是在上海證券交易所或深圳證券交易所上市之股票之報酬率及超額報 酬率，均顯著地異於零，且皆異常性地高。2.在股價報酬如許異常高漲的 大陸股市，其會計資訊被使用於股價決策的效率一定極低；也或許會計資 訊被使用於股價決策中，較諸其他相關資訊的權數低許多。3.中國大陸證 券市場會計規範系統並不具有效程度，亦即會計資訊的有用性低，所以股 價才顯現出如此異常行為。

Taiwan Security Market is a typical order-driven market, and the business transactions are matched through the electronic trading system since 1988. In this work, we study the joint distributions of tick size changes of bid price and ask price, bid volume, and ask volume¡@for each matching order in Taiwan Stock Exchange (TSEC). Exponentially weighted moving average (EWMA) method is adopted to update the joint distribution of the incoming order variables aforementioned. Here we propose five methods to determine the update timing and consider three different initial matrices of the joint distributions. In empirical study, the daily matching data of two enterprises Uni-president Enterprises Corporation and Formosa Plastics Corporation in April, 2005 are considered. The goodness of fit for the joint distributions are determined by Chi-square Goodness of Fit Test. The results show that EWMA method provide good fit for most of the daily transaction data.

Yes / This paper examines the role of institutional investor sentiment in determination of the beta-return relation. Empirical evidence documents a positive (negative) beta-return relation over bearish (bullish) periods, implying that institutional investors can also be sentiment traders.

資本市場對於一國社會經濟的發展，佔有舉足輕重的地位。一方面，企業生產所需之資本，透過股票或債券等證券的發行，在資本市場迅速籌集資金，推動國家經濟不斷成長；另一方面，國民儲蓄認購企業發行之證券，分享企業經營之成果，從而達成「均富」之目標。台灣資本市場的建立，可以民國51年2月9日「台灣證券交易所」成立為里程碑，發展迄今已逾37年，市場規模日益壯大，並朝向國際化的方向發展。臺灣資本市場的發展就如臺灣經濟發展之縮影，二者亦步亦趨，密不可分。藉由對臺灣資本市場深化程度之探究，將能清楚地看出資本市場在臺灣經濟發展歷程中所佔的比重與發揮的功能。所謂「資本深化」（Capital Deepening），係指資本市場中資金累積的速度。民國五O年代是臺灣經濟的黃金時期，此階段之資本深化程度於五十二至五十五年間為最高；民國六O年代經歷兩次能源危機，但我國堅強之因應能力使得資本市場得以順利發展，深化程度維持穩定；到了七O年代，台灣經濟呈現起伏不定的變化，尤其是七O年代末期，資本市場深化程度大幅提升，但這是市場不正常發展的結果；八O年代迄今，資本市場全力朝自由化與國際化發展。在臺灣資本市場的發展歷程中，遭逢七次重大危機。此七次危機是以股票市場之「十年均線」為標的，本文開創性地歸納出六段加權股價指數於十年均線以下的時期，這六個時期分別為民國71年8月至72年1月、民國79年2月至79年10月、民國81年9月至82年1月、民國84年8月至85年3月、民國87年8月至87年9月與民國88年1月至88年2月；此外，民國83年10月，洪福證券公司發生鉅額跳票，造成股市連續暴跌一個星期，股價指數於六個交易日內重挫1059.04點，跌幅達14.75%，資本市場受創程度不亞於前述六個時期。從臺灣資本市場發展的軌跡中，可以發現影響資本市場起伏變化的因素主要有： 經濟循環、政治因素( 國際形勢的變化、 戰爭的影響、 國內重大政治事件、 國家的重大經濟政策)、 貨幣供給與利率、油價、 企業經營狀況與人為操縱等。此六項因素左右資本市場發展過程之盛衰起伏。 第一章 緒論 ……………………………………………………1~9 第一節 研究背景與目的 …………………………………1~4 第二節 研究內容與流程 …………………………………5~7 第三節 研究方法與限制 …………………………………8~9 第二章 資本市場與國家經濟發展 ……………………………10~29 第一節 「資本」概念的論述 ……………………………10~15 第二節 資本的形成－儲蓄和投資的相關理論 …………16~26 第三節 資本市場在經濟發展中所扮演的角色 …………27~29 第三章 臺灣資本市場之發展歷程 ……………………………30~82 第一節 臺灣資本市場的建立 ……………………………30~41 第二節 臺灣資本市場運作制度之演變歷程 ……………42~62 一、 證券市場管理方面 ……………………………42~47 二、 證券發行市場方面 ……………………………48~51 三、 證券流通市場方面 ……………………………52~55 四、 證券服務業方面 ………………………………56~59 五、 證券市場國際化方面 …………………………60~62 第三節 臺灣資本市場發行與交易之變遷 ………………63~82 一、 股票之發行與交易情形 ………………………63~78 二、 債券之發行與交易情形 ………………………78~82 第四章 臺灣資本市場深化程度之演進 ………………………83~123 第一節 衡量「資本深化」程度指標的建立 ……………83~105 第二節 民國五o年代 ……………………………………106~109 第三節 民國六o年代 ……………………………………110~114 第四節 民國七o年代 ……………………………………115~119 第五節 民國八o年代 ……………………………………120~123 第五章 臺灣資本市場遭逢七次危機之背景、成因、解決政策與借鑒 ………………………124~160 第一節 民國71年8月至72年1月 ……………………124~130 第二節 民國79年2月至79年10月 ………………… 131~136 第三節 民國81年9月至82年1月 ……………………137~143 第四節 民國83年10月 ………………………………144~147 第五節 民國84年8月至85年3月 ……………………148~152 第六節 民國87年8月至87年9月 ……………………153~156 第七節 民國88年1月至88年2月 ……………………157~160 第六章 結論 ………………………………………………… 161~170 第一節 本文主要發現 …………………………………161~164 第二節 本文政策性意涵 ………………………………165~169 第三節 可進一步研究之方向 …………………………170 參考文獻 ……………………………………………………171~180 / Capital market plays a key role in one country's economic development. On the one hand, enterprises can acquire the capital that they demand through issuing securities in capital market; on other hand, the public can share the profits of enterprises by purchasing securities in capital market. The foundation of "Taiwan Stock Exchange" on February 9, 1962 was a milestone in Taiwan's capital market history. Taiwan's capital market development is a miniature of Taiwan's economic development. The significance and functions of Taiwan's capital market in different stages of Taiwan's economic development can be observed clearly by exploring "Capital Deepening". "Capital Deepening" is the speed of capital accumulation in capital market. From 1962 till now, Taiwan's capital market has encountered seven severe crisives-from August 1982 to January 1983, from February 1990 to October 1990, from September 1992 to January 1993, from August 1995 to March 1996, from August 1998 to September 1998, from January 1999 to February 1999, and October 1994. Overall, there are six main factors which influence Taiwan's capital market deeply. They are business cycles, political factors, money supply and interest rate, oil price, enterprises, and personal manipulation.

本研究依據Hu(1998)的理論模型來探討證券市場的存在對所得分配的影響，並且以跨國橫斷面迴歸方式進行實證分析，利用Deininger and Squire(1996)所整理的吉尼係數資料，探討五十二國1986-1990年間的平均股市發展、資本市場完全程度與所得分配之間的關係；此外，我們也對Kuzents的倒U型假設進行驗證，以分析不同經濟發展程度與所得分配之間的關係；最後，本研究進一步探討先進工業化與開發中子樣本群中，股票市場對所得分配的影響是否不同。 模型推導的結論為股市的存在並不會使所得分配惡化，產生惡化效果的原因是因為資本市場的不完全性，使窮人受限於借貸限制與賣空限制，無法取得公平的投資機會；而投資人對股市看法的分歧也是造成所得分配惡化的原因。實證分析的結果與理論模型之結論一致，也就是股市的發展並不會惡化所得分配，甚至有益於所得分配，而資本市場限制愈大的國家其所得分配愈為惡化；Kuzents的倒U型假設也獲得了支持。股市的發展程度與資本市場的完全性對開發中國家的所得分配有顯著的影響，然而這種效果在先進工業化國家中並不明顯；而教育對先進國家之所得分配有顯著影響力，對開發中國家則無。本研究的結果隱含著政府除了消除貧窮與實行所得重分配政策外，更應致力於健全資本市場，將市場的不完全性降到最低，讓市場上的資訊充分流通，使每個投資人都能得到公平的投資機會，如此便可改善所得分配。

The aim of this thesis is to study the risk for two Swedish companies, Axfood and Volvo. To test the required return on equity, a bottom-up beta approach and a CAPM regression beta are used. This thesis concludes that the bottom-up beta gives a truer reflection and a more updated beta value than a CAPM regression beta on the firm’s current business mix, the CAPM beta takes only the past stock prices into consideration. The empirical results for Volvo conclude that the levered bottom-up beta is 1.09 and the CAPM β is 0.52 for Volvo. The empirical results for Axfood which is categorized as consumer goods sector implies that the levered bottom-up beta is 0.87 while the CAPM regression beta is 0.29.