異質信念(Heterogeneous beliefs)修正傳統資產定價理論中同質信念(Homogeneous beliefs)的基本假設，探討投資者間所持有的不同資訊，以及對於資訊的不同參考程度，如何影響資產定價。 本文試圖以Banerjee(2008)的模型，估計出臺灣投資者對於台灣各家公司股票的價格參考密度；並且透過外部研究者的預測作為市場不同信念的代理變數，探討異質信念對於臺灣股市交易的價量影響。 經由實證結果發現，在台灣的股市交易市場上，當市場的資訊流通速度愈快，投資者對公開資訊的參考密度愈低，投資者愈易依賴自己所持有的私人資訊。當投資者的行為決策將愈顯紛歧時，對交易量和報酬率的影響皆為正。 / Heterogeneous beliefs, which revise the basic assumption of traditional asset pricing theory- Homogeneous beliefs, study the impact on asset pricing by different information owned and referred by investors. I use the model derived from Banerjee(2008)to estimate the degree how Taiwan investors will take into account stock prices when they make investment decisions. Also, I study how heterogeneous beliefs of investors influence stock prices and trading volume in Taiwan stock market, using predictions of external researchers as a proxy variable of dispersion in beliefs. The empirical results show that the degree which investors take into account prices will be lower when a faster information flowing speed exists in Taiwan stock market. When investors rely more on their private information, their investment decision will become much diversified. Dispersion in beliefs has a positive influence on stock trading volume and return.

本論文探討有效的全面品質管理（Total quality management, TQM）對公司股價和獲利能力財務績效的影響，透過獲得台灣國家品質獎來當作一個有效成功實施TQM的確認，來進行獲獎公司於得獎前後跟其他公司績效的比較。 本論文將評估得獎公司得獎前後與不同的參照公司和比較公司群做3年的引入TQM計畫和成功完成TQM計畫後4年的財務績效比較。雖然這方面的研究在國外已經有不少探討，在研究統計方法上有不斷的改進，但基於本研究由於樣本數過少的狀況，所以對研究統計方法做特別的選擇與考量。在長期實施TQM計劃的結果當中，得獎公司只有在報名台灣國家品質獎前的實施階段有明顯的正向股價異常報酬和營運異常報酬，而完成TQM落實後的階段並沒有顯著的正向異常報酬，其結果有別於國外對美國國家品獎研究結果，在結論方面也將提出相關可能的原因與探討。 / This thesis discussed how the efficient total quality management (TQM) influenced company stock price and operation performance. Taiwan National Quality Award winners were selected representing the companies that implement TQM successfully. Their performance before and after winning the awards were compared with others equivalent companies. The paper tested the company performances for two periods in which the first one is undertaking the TQM program for three years before winning the awards as the implementation period and the second one includes four years after winning the awards as post-implementation period. The performance of award winning companies at two periods were compared with control firms and comparison groups. Although many relevant researches were found and the statistical methods were developed and improved, this study selected few unique methods because of insufficient samples. The results showed that award winning companies have significantly positive performance in stock price and operating index only at the first period, and no significant effects at the second period were found. The results are different from the studies regarding Malcolm Baldridge Award, and probable causes and issues are discussed.

過去實證研究多以時間序列模型搭配 GARCH 模型針對台灣股價指數進行分析。然而，Gourieroux and Zakoian(2017) 提出，當一時間序列具有泡沫現象時，noncausal Cauchy AR(1) process 是可能的優選模型。此外，Sarno and Taylor(1999) 的研究認為，台灣股價指數具有泡沫現象，故我們以 noncausal Cauchy AR(1) with Gaussian component 分析台灣股價指數，進而判斷其泡沫效果係來自 noncausal linear process 之 local explosive，並根據 noncausal Cauchy AR(1) 與 Gaussian component 之係數變動，捕捉泡沫效果之形成與來源。 / Most of the previous studies focused on analyzing Taiwan Stock Price Index using time series models with GARCH effects. However, Gourieroux and Zakoian (2017) have demonstrated that noncausal Cauchy AR(1) process may be a possible model in which the bubbles are observed. Besides, according to the studies of Sarno and Taylor (1991), some bubbles exactly existed in Taiwan Stock Price Index before 1990. Accordingly, this study aims at investigating the possible bubbles in Taiwan Stock Price Index from 2005 to 2015 by employing noncausal Cauchy AR(1) with Gaussian component method. As a result, we find out he bubbles which modeled by the noncausal linear process are local explosive. And based on the changes of the coefficients from noncausal Cauchy AR(1) and Gaussian component, this study successfully captures the form of bubbles.

Bakgrund: Aktiemarknaden har aldrig haft en lägre ingångströskel där internetbaserade plattformar för investeringar har ökat tillgängligheten för både privata och institutionella investerare. Den höga aktiviteten på marknaden, i samspel med diverse finanskriser de senaste decennierna, har inneburit högre volatilitet på marknaden. Denna volatilitet nådde nya höjder under 2020 som innefattades av ett börsras i samband med Covid-19-pandemin, följt av en stark återhämtning med hjälp av global kapitaltillförsel. Året 2020 är på många sätt ett unikt år, inte minst på aktiemarknaden, och samtidigt har frågor och arbete kring hållbarhet fått en hög prioritet under senare år. Det finns därför ett intresse att vidare undersöka ESG och dess påverkan på de svenska bolagens avkastning. Syfte: Syftet med denna studie är att analysera hur ESG-betyg påverkar noterade svenska bolags aktievärde samt huruvida detta har förändrats till följd av ett turbulent år 2020 i relation till år 2019. Författarna avser även att undersöka huruvida ett relativt högre ESG- betyg är förenligt med högre riskjusterad avkastning och om aktierelaterad prestation avseende branschfördelning är framträdande. Metod: För att uppfylla studiens syfte har en kvantitativ metod med en deduktiv ansats tillämpats. Genomförandet av studien består av en analys av aktiekursutvecklingen för svenska bolag med ett tilldelat ESG-betyg under åren 2019 och 2020. För dessa bolag har det vidare konstruerats portföljer med höga respektive låga ESG-betyg samt avseende branschtillhörighet. En jämförelse utfördes sedan av avkastning, risk samt riskjusterad avkastning. Resultat: Resultatet finner inget signifikant samband mellan ESG-betyg och avkastning för 2019 men ett signifikant svagt negativt samband för 2020. Komparativt mellan portföljerna visade sig bolagen med högt ESG-betyg generera en marginellt högre avkastning och riskjusterad avkastning år 2019. År 2020 hade bolag med lågt ESG-betyg en betydligt högre avkastning och riskjusterad avkastning än bolagen med högt betyg. Diskrepansen på avkastning var stor till fördel för de bolag med låga ESG-betyg, undantaget för branschen Råvaror (Energi) som visade på ett motsatt samband. / Background: The stock market has never had a lower entry threshold where internet-based investment platforms have increased accessibility for both private and institutional investors. The high activity in the stock market, in conjunction with various financial crises in recent decades, have resulted in higher volatility in the market. This volatility reached new heights in 2020, which was accompanied by a stock market crash as a result of the Covid-19 pandemic, followed by a strong recovery with the help of global capital injections. 2020 is in many ways a unique year, with no exception for the stock market, while at the same time, sustainability issues have been given a high priority in recent years. Investigating ESG and its impact on Swedish companies' stock returns is therefore of further interest. Purpose: The purpose of this study is to analyze how ESG ratings affect listed Swedish companies' share value and whether this has changed as a result of a turbulent year 2020 in relation to 2019. The authors also intend to investigate whether a relatively higher ESG rating is compatible with higher risk-adjusted return and whether share-related performance in terms of industry distribution is prominent. Methodology: To fulfill the purpose of the study, a quantitative method with a deductive approach has been applied. The implementation of the study consists of an analysis of the share price development for Swedish companies with an assigned ESG rating during the years of 2019 and 2020. For these companies, portfolios with high and low ESG ratings have been constructed, while also regarding industry affiliation. A comparison of return, risk and risk-adjusted return was then performed. Results: The result finds no significant correlation between ESG rating and stock return for 2019 but a significantly weak negative correlation for 2020. Comparatively between the portfolios, the companies with high ESG ratings were found to generate a marginally higher stock return and risk-adjusted return in 2019. In 2020, companies with low ESG rating generated a significantly higher return and risk-adjusted return than companies with high ratings. The discrepancy in stock returns was large in favor of the low ESG ratings, apart from the Raw material (Energy) industry, which had an opposite relationship.

Cette thèse traite la contribution des méthodes d'ondelettes sur la modélisation des séries temporelles économiques et financières et se compose de deux parties: une partie univariée et une partie multivariée. Dans la première partie (chapitres 2 et 3), nous adoptons le cas univarié. Premièrement, nous examinons la classe des processus longue mémoire non-stationnaires. Une étude de simulation a été effectuée afin de comparer la performance de certaines méthodes d'estimation semi-paramétrique du paramètre d'intégration fractionnaire. Nous examinons aussi la mémoire longue dans la volatilité en utilisant des modèles FIGARCH pour les données de l'énergie. Les résultats montrent que la méthode d'estimation Exact Local Whittle de Shimotsu et Phillips [2005] est la meilleure méthode de détection de longue mémoire et la volatilité du pétrole exhibe une forte évidence de phénomène de mémoire longue. Ensuite, nous analysons le risque de marché des séries de rendements univariées de marchés boursier, qui est mesurée par le risque systématique (bêta) à différents horizons temporels. Les résultats montrent que le Bêta n'est pas stable, en raison de multi-trading stratégies des investisseurs. Les résultats basés sur l'analyse montrent que le risque mesuré par la VaR est plus concentrée aux plus hautes fréquences. La deuxième partie (chapitres 4 et 5) traite l'estimation de la variance et la corrélation conditionnelle des séries temporelles multivariées. Nous considérons deux classes de séries temporelles: les séries temporelles stationnaires (rendements) et les séries temporelles non-stationnaires (séries en niveaux). / This thesis deals with the contribution of wavelet methods on modeling economic and financial time series and consists of two parts: the univariate time series and multivariate time series. In the first part (chapters 2 and 3), we adopt univariate case. First, we examine the class of non-stationary long memory processes. A simulation study is carried out in order to compare the performance of some semi-parametric estimation methods for fractional differencing parameter. We also examine the long memory in volatility using FIGARCH models to model energy data. Results show that the Exact local Whittle estimation method of Shimotsu and Phillips [2005] is the better one and the oil volatility exhibit strong evidence of long memory. Next, we analyze the market risk of univariate stock market returns which is measured by systematic risk (beta) at different time horizons. Results show that beta is not stable, due to multi-trading strategies of investors. Results based on VaR analysis show that risk is more concentrated at higher frequency. The second part (chapters 4 and 5) deals with estimation of the conditional variance and correlation of multivariate time series. We consider two classes of time series: the stationary time series (returns) and the non-stationary time series (levels). We develop a novel approach, which combines wavelet multi-resolution analysis and multivariate GARCH models, i.e. the wavelet-based multivariate GARCH approach. However, to evaluate the volatility forecasts we compare the performance of several multivariate models using some criteria, such as loss functions, VaR estimation and hedging strategies.

A importância de se considerar os volumes na análise dos movimentos de preços de ações pode ser considerada uma prática bastante aceita na área financeira. No entanto, quando se olha para a produção científica realizada neste campo, ainda não é possível encontrar um modelo unificado que inclua os volumes e as variações de preços para fins de análise de preços de ações. Neste trabalho é apresentado um modelo computacional que pode preencher esta lacuna, propondo um novo índice para analisar o preço das ações com base em seus históricos de preços e volumes negociados. O objetivo do modelo é o de estimar as atuais proporções do volume total de papéis negociados no mercado de uma ação (free float) distribuídos de acordo com os seus respectivos preços passados de compra. Para atingir esse objetivo, foi feito uso da modelagem dinâmica financeira aplicada a dados reais da bolsa de valores de São Paulo (Bovespa) e também a dados simulados por meio de um modelo de livro de ordens (order book). O valor do índice varia de acordo com a diferença entre a atual porcentagem do total de papéis existentes no mercado que foram comprados no passado a um preço maior do que o preço atual da ação e a sua respectiva contrapartida, que seria a atual porcentagem de papéis existentes no mercado que foram comprados no passado a um preço menor do que o preço atual da ação. Apesar de o modelo poder ser considerado matematicamente bastante simples, o mesmo foi capaz de melhorar significativamente a performance financeira de agentes operando com dados do mercado real e com dados simulados, o que contribui para demonstrar a sua racionalidade e a sua aplicabilidade. Baseados nos resultados obtidos, e também na lógica bastante intuitiva que está por trás deste modelo, acredita-se que o índice aqui proposto pode ser bastante útil na tarefa de ajudar os investidores a definir intervalos ideais para compra e venda de ações no mercado financeiro. / The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a unified model that includes volume and price variations for stock prices assessment purposes. In this paper we present a computer model that could fulfill this gap, proposing a new index to evaluate stock prices based on their historical prices and volumes traded. The aim of the model is to estimate the current proportions of the total volume of shares available in the market from a stock distributed according with their respective prices traded in the past. In order to do so, we made use of dynamic financial modeling and applied it to real financial data from the Sao Paulo Stock Exchange (Bovespa) and also to simulated data which was generated trough an order book model. The value of our index varies based on the difference between the current proportion of shares traded in the past for a price above the current price of the stock and its respective counterpart, which would be the proportion of shares traded in the past for a price below the current price of the stock. Besides the model can be considered mathematically very simple, it was able to improve significantly the financial performance of agents operating with real market data and with simulated data, which contributes to demonstrate its rationale and its applicability. Based on the results obtained, and also on the very intuitive logic of our model, we believe that the index proposed here can be very useful to help investors on the activity of determining ideal price ranges for buying and selling stocks in the financial market.

A importância de se considerar os volumes na análise dos movimentos de preços de ações pode ser considerada uma prática bastante aceita na área financeira. No entanto, quando se olha para a produção científica realizada neste campo, ainda não é possível encontrar um modelo unificado que inclua os volumes e as variações de preços para fins de análise de preços de ações. Neste trabalho é apresentado um modelo computacional que pode preencher esta lacuna, propondo um novo índice para analisar o preço das ações com base em seus históricos de preços e volumes negociados. O objetivo do modelo é o de estimar as atuais proporções do volume total de papéis negociados no mercado de uma ação (free float) distribuídos de acordo com os seus respectivos preços passados de compra. Para atingir esse objetivo, foi feito uso da modelagem dinâmica financeira aplicada a dados reais da bolsa de valores de São Paulo (Bovespa) e também a dados simulados por meio de um modelo de livro de ordens (order book). O valor do índice varia de acordo com a diferença entre a atual porcentagem do total de papéis existentes no mercado que foram comprados no passado a um preço maior do que o preço atual da ação e a sua respectiva contrapartida, que seria a atual porcentagem de papéis existentes no mercado que foram comprados no passado a um preço menor do que o preço atual da ação. Apesar de o modelo poder ser considerado matematicamente bastante simples, o mesmo foi capaz de melhorar significativamente a performance financeira de agentes operando com dados do mercado real e com dados simulados, o que contribui para demonstrar a sua racionalidade e a sua aplicabilidade. Baseados nos resultados obtidos, e também na lógica bastante intuitiva que está por trás deste modelo, acredita-se que o índice aqui proposto pode ser bastante útil na tarefa de ajudar os investidores a definir intervalos ideais para compra e venda de ações no mercado financeiro. / The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a unified model that includes volume and price variations for stock prices assessment purposes. In this paper we present a computer model that could fulfill this gap, proposing a new index to evaluate stock prices based on their historical prices and volumes traded. The aim of the model is to estimate the current proportions of the total volume of shares available in the market from a stock distributed according with their respective prices traded in the past. In order to do so, we made use of dynamic financial modeling and applied it to real financial data from the Sao Paulo Stock Exchange (Bovespa) and also to simulated data which was generated trough an order book model. The value of our index varies based on the difference between the current proportion of shares traded in the past for a price above the current price of the stock and its respective counterpart, which would be the proportion of shares traded in the past for a price below the current price of the stock. Besides the model can be considered mathematically very simple, it was able to improve significantly the financial performance of agents operating with real market data and with simulated data, which contributes to demonstrate its rationale and its applicability. Based on the results obtained, and also on the very intuitive logic of our model, we believe that the index proposed here can be very useful to help investors on the activity of determining ideal price ranges for buying and selling stocks in the financial market.

本研究第一部份為確定性的資產訂價模型，探討證券交易所得稅與證券交易稅對股票價格的影響。如同資產價格方程式，其均衡價格為未來各期股利之貼現值的總和。所不同的是一般資產價格方程式之貼現率即為市場利率，但本研究特別引進資產存量動態調整方程式與政府預算限制式，說明除了市場利率以外，強調證券交易所得稅、證券交易稅與代表性個人之週轉率均為影響貼現率的主要因素。由於模型描述代表性個人具有遠瞻(forward-looking)的特性，所以當期暫時性的稅率變動不會影響股票價格，會影響股票價格的只有未來的租稅政策。另外，本研究亦得到與李嘉圖定理相似的中立性假說：只要租稅現值保持固定不變，即使資本利得稅與證券交易稅如何調整與變動，都不會影響其均衡價格。 為了瞭解股票週轉率的函數型態。假設其為下一期股票報酬率與租稅的函數，以台灣地區1982年1月至2001年1月的月資料，使用兩階段的研究方法分別探討租稅對股票報酬率與週轉率的影響，目的是確認：租稅除了會直接的影響股票價格外，是否會透過週轉率而間接的影響股票價格。因此本研究第二部份摒除週轉率與政府政策為外生的假設，另以實證分析租稅對股票報酬率與週轉率的影響，以補基本理論模型之不足，並進行有趣議題之分析。 首先由Ganger因果關係檢定得知：週轉率領先於政府訂定的證券交易稅稅率，亦即週轉率過去的落遲項會影響到當期的證券交易稅稅率；且由相關係數得知二者呈正相關。故政府訂定的證券交易稅稅率視過去的週轉率而定，過去的週轉率愈高，政府當期訂定的證券交易稅稅率愈高，以企圖抑制股市的不健全發展。再者，由於台灣股票報酬率的時間序列資料具有自我迴歸條件非均齊變異數(autoregressive condition heteroskedasticity，簡稱ARCH)的現象，故異於其他相關研究的實證方法，另經由比較各種ARCH族模型的實證結果，選取出一套考慮風險貼水(risk premium)之最佳配適的兩階段ARCH(1)-M模型進行實證分析。 實證結果顯示：任何一個ARCH(1)-M的模型，皆存在顯著的風險貼水效果。而預期未來的與當期的證券交易稅對當期的股票報酬率均為直接的負面影響，但以前者影響較為顯著，後者的影響則視顯著水準而定，因此政府調降或調高當期的證券交易稅稅率，與股市之榮枯並無確定性的直接關係，此結果與一般學者的觀點不謀而合。此外，當期的週轉率租稅彈性為-0.0646，其值顯著為負，且絕對值小於一，表示缺乏彈性，雖然租稅會間接地透過週轉率影響股票價格，但影響並不大，而且政府若鑒於過去的週轉率太高，要以租稅抑制當期的股市投機風氣，其成效亦不彰。至於證券交易所得稅因宣告(或施行)的期間極為短暫，故對當期的股票報酬率影響不顯著。換言之，風險趨避程度、證券交易稅、預期報酬率、週轉率與股票價格之間具有相互連動的關係。是故，證券交易稅對股票價格的影響，視風險趨避程度、證券交易稅稅率、週轉率之租稅彈性與週轉率之預期報酬彈性而定。 除此以外，本研究第三部份亦考慮政策的不確定性與政策的變動以建立不確定性的資產訂價模型，模擬分析結果顯示：若原先政府施行的租稅過程愈具持續性，則一旦政府的租稅政策瞬間改變時，投資人愈無法將股票價格-股利比值對租稅的反應，事先地考慮於股票投資的決策當中，所以租稅政策衝擊的反應較大。簡言之，投資人預期的稅率與實際施行的新稅率愈相近時，租稅政策衝擊的反應最小。因此第三部份的結果亦與第一部份的基本數學模型(認為當期暫時性之稅率變動不會影響當期的股票價格)，以及第二部份的實證結果(發現當期證券交易稅稅率變動與當期股市之榮枯並無確定性之關係)相一致。 第一章 緒論……………………………………………………………………001 1.1 研究動機與目的………………………………………………………001 1.2 研究方法………………………………………………………………004 1.3 研究結構………………………………………………………………011 第二章 我國證券交易課稅制度沿革…………………………………………014 2.1 我國證券交易所得稅制度沿革………………………………………014 2.2 我國證券交易稅制度沿革……………………………………………021 2.3 各國證券交易課稅制度比較…………………………………………024 第三章 證券交易課稅的文獻探討……………………………………………031 3.1 證券交易所得稅的文獻探討…………………………………………031 3.1.1 關於證券市場的文獻探討……………………………………031 3.1.2 關於投資及儲蓄的文獻探討…………………………………040 3.1.3 關於經濟效益的文獻探討……………………………………042 3.1.4 關於稅制及稅收的文獻探討…………………………………046 3.2 證券交易稅的文獻探討………………………………………………050 3.2.1 國外文獻探討…………………………………………………050 3.2.2 國內文獻探討…………………………………………………053 第四章 確定性的資產訂價模型……………………………………………… 058 4.1 基本理論模型…………………………………………………………058 4.2 租稅效果………………………………………………………………064 4.3 中立性的假說…………………………………………………………069 第五章 台灣實證研究—資料處理與分析…………………………………… 073 5.1 資料來源與說明………………………………………………………074 5.2 檢定……………………………………………………………………076 5.2.1 單根檢定—ADF 檢定…………………………………………076 5.2.2 常態分配檢定…………………………………………………080 5.2.3 自我相關檢定—Ljung-Box Q(L-B Q)檢定…………………081 5.2.4 序列相關 LM 檢定……………………………………………082 5.2.5 ARCH LM 檢定…………………………………………………082 5.2.6 Granger 因果關係檢定………………………………………086 5.2.7 當期股票報酬率與未來各期證券交易稅稅率的相關係數…093 第六章 台灣實證研究—兩階段 ARCH 族實證模型………………………… 095 6.1 基本條件平均數方程式的設定與分析………………………………095 6.1.1 傳統自我迴歸模型……………………………………………095 6.1.2 自我迴歸模型的殘差分析……………………………………096 6.2 條件變異數方程式的設定……………………………………………101 6.2.1 ARCH 模型……………………………………………………102 6.2.2 ARCH-M 模型…………………………………………………103 6.3 估計方法與檢定………………………………………………………105 6.4 第一階段之股票報酬率的 ARCH 族模型估計與分析………………106 6.4.1 實證模型………………………………………………………106 6.4.2 實證結果與分析………………………………………………113 6.5 兩階段模型的估計與分析……………………………………………114 6.5.1 實證模型………………………………………………………114 6.5.2 實證結果與分析………………………………………………119 第七章 不確定性的資產訂價模型…………………………………………… 130 7.1 不確定性的租稅政策與政策變動……………………………………130 7.2 模型的模擬與分析……………………………………………………136 第八章 結論與未來的研究方向………………………………………………151 8.1 結論……………………………………………………………………151 8.2 未來的研究方向………………………………………………………155 附錄A 股票價格函數滿足終極條件的證明…………………………………158 附錄 B 股票價格函數為單一固定點的證明…………………………………160 參考文獻…………………………………………………………………………163 / This paper works out the effect of capital gains tax and stock transaction tax on share prices. In the generality of cases, the equilibrium share price is shown to equal the discounted sum of future dividends. In this paper, we emphasize that tax policy is a driving force in determining the discount rate and market turnover rate also plays an important role in determining the effects of policy. We show that temporary changes in policy have little effect on current stock price; only perceived policy in the future has price effect. We also show that a permanent shift in tax policy exerts only level effect, but no growth effect, on stock price. Using monthly data from Taiwan, our empirical results indicate that changes in stock turnover rate often leads changes in transaction tax, and both are positively correlated. This result implies that government policy often reacts to market volatility instead of the other way around. Since the data exhibit autoregressive conditional heteroskedasticity, we employ a two stage ARCH(1)-M model as our empirical strategy. Our results show that the price effect of transaction tax is significant, with the expected change in future tax especially so. The results also indicate that expected stock returns have positive and important effects on market turnover rate. Overall, the policy effect on stock price depends on the tax rate, the degree of risk aversion, sensitivity of turnover rate to policy and the expected stock return. The analysis so far assumes that the tax policy is certain, when in fact it is hardly the case. The 1989 fiasco and the recent flip-flop of the government are vivid testimonies of the volatile nature of the government policy. The third part extends the model to a stochastic environment and examines the consequences when a long-standing unequivocal tax policy suddenly and unexpectedly shifts to a stochastic regime. This type of regime shift seems to characterize the recent experience in Taiwan. Our results show that the shape of the pricing function under stochastic regimes depend on the persistence of the tax process. For tax rates that are lower than the unconditional mean of the process, the price is lower than the certainty case because the expected tax rate is higher over this interval. As the tax process becomes more persistent, the expected duration of the tax rate lengthens and the pricing function becomes negatively sloped. Notice that the slope of the pricing function (i.e., the tax elasticity of the price-dividend ratio) is flatter than the certainty case because in a stochastic regime consumers always take into account the possibility of tax changes, no matter how small the probability is.

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

不景氣的年代，民間企業裁員、減薪或強迫員工休無薪假的事件層出不窮，襯托出公職相對起薪高、福利制度健全，任職免職程序有政府法令保障。在公職逐漸被當前的社會氛圍視為是兼具地位及幸福的工作時，愈來愈多的民眾競相投入公務人員的考試，而競相爭捧鐵飯碗的現象，也成為近期媒體報導的新聞焦點。 惟前述種種的論述都仍停留在主觀的聯想及推論上，國內鮮少針對經濟變數與公務人員考試錄取率間之關係，建立統計實證模型進行客觀量化分析。基於這樣的時空背景及社會氛圍，本研究遂以客觀的高普考錄取率表示公務人員考試競爭程度，觀察經濟環境變數對其造成的影響，是否誠如媒體所言，當景氣愈差時，公職考試就愈熱門的現象。 經過實證模型分析後，發現影響經濟變數對高考錄取率較普考錄取率變動數的影響較為顯著，包括：當期或前期的高考薪資占民間薪資比、當期或前期的失業率、前期臺股指數變動數、當期或前期臺股指數標準離差率以及時間趨勢等解釋變數，並且各自存在不同程度的影響及合理的正負關係。而普考錄取率變動數部分，僅受當期普考薪資占民間薪資比、前期失業率及時間趨勢等變數所影響。 本文最後，提出針對可能影響民眾報考公務人員的重要因素，提出相應政策建議，以期抒緩公職考試過熱的現象並精進政府政策。 / Recession-era, layoffs, pay cuting, and forcing employees to take unpaid leave are more and more in private sector, highlight the work of public sector is high starting salary, benefits sound system, and having protection by law in appointment and dismissal. More people want to participate in civil service examination, then civil service examination craze has become the focus of recent news. Provided the foregoing various opinions are still subjective conjecture, almost no study about relationship between economic variables and the qualification rates of civil service examination in domestic studies. In this context, this study used a senior and junior civil service examination qualification rates to represent the competitive of civil service examination, and to observe the effects of economic variables on the qualification rates of civil service examination, if consistent with the media reports, the worse economy is, the less qualification rates of civil service examination will be. After empirical model analysis, we found that the effects of economic variables on the qualification rates of senior civil service examination are more significant than the changes of the qualification rates of junior civil service examination. Finally, make recommendations to relief civil service examination craze.