台灣房地產景氣動向季報的發佈不但為台灣房地產市場該季景氣狀況提供一客觀參考依據，且對未來房地產市場景氣走向進行預測分析，提供房地產景氣相關資訊予社會各界參考。在對未來房地產景氣進行預測方面，是採用領先指標作為一參考標的，雖然領先指標就其特性而言為一預測未來景氣動向的參考資訊，但卻無法明確指出其所預測的期間為多長，本研究所欲探討的部分即在於使用房地產景氣綜合指標之領先指標於預測房地產景氣上可以預測幾季之後的房地產景氣狀況，並探討房地產景氣預測的準確度。另外對廠商景氣預測的部分進行一致性的檢視，再從而比較廠商景氣認知與同時、領先指標之間的關係。希望藉此能釐清房地產景氣季報內的訊息內涵。 本研究透過因果關係檢定，找出領先指標領先同時指標三季的關係，確定可以透過領先指標來預測三季之後的景氣變化情形。再利用平均絕對百分比誤差分析使用領先指標作為預測工具的準確度，經過計算求得平均絕對百分比誤差為4.57%，可以看出使用領先指標作為預測工具相當合適。在廠商本身預測景氣動向上，本研究發現廠商預期符合調適預期理論，且對未來的預期有較為樂觀的趨勢；經過本研究統計整理發現廠商對房地產景氣變動的認知與同時指標的變動之間的一致性並不理想，此有可能是因為市場上各項房地產資訊充斥，廠商並不全然以同時指標的變動來判斷房地產景氣的變動。惟經過前後期的比較，可以發現一致性的上升與不一致性的下降，表示兩者之間認知的一致性有逐漸提升的趨勢。 / The atmosphere of the real estate industry in Taiwan was upswing gradually in the past few decades, and its market information was definitely occupied an significant role and many people started to put their focus on it. In fact, the industry forecast which can be found from those seasonal report was a prediction only that is not accurate, i.e. those projections were based on the current market information only. Therefore, how to interpret and digest the number from those reports is the crucial issue for the reader to think and to consider. This study is trying to find out the time-lags between leading index and coincident index and the accuracy of the cycle forecasting system. The Granger causality test is widely used to examine the time-lags between the leading index and the coincident index. From the result of this study, we can found that there has a 3-season time-gap embedded in, and this is an obvious difference indeed. In addition, the forecasted index of the leading indicator i.e. The MAPE is in 4.57% sharp. Thus, we dare to judge that the result of this study is absolutely accurate with 100% confidence.

封閉型基金的掛牌買賣價格，與其投資標的淨資產價值（NAV, net asset value）間，總是存在一定程度的差距，且幾乎為10%~20%的折價現象，被視為財務學上的一種異常（anomaly）。早期研究學者們由經濟理性的角度解釋此種現象，認為是基金管理的績效表現、投資標的流動性或是稅制上的差異等等角度來解釋此一現象，但並沒有獲得一致的結論。 近期以來，有學者嘗試從行為財務學的角度，認為封閉型基金的折溢價現象及其幅度的變化，是由於投資人情緒（investor sentiment）的波動所造成。除了傳統的迴歸模式，更有不少學者以嚴謹的計量方式分析，例如財務時間序列的許多技巧。本研究即以時間序列之單根檢定（unit root test）、共整合現象檢定（co-integration test）及Granger因果關係檢定（Granger Causality test）等等方式，分析封閉型基金折溢價現象是否由投資人情緒所造成，及其兩者間是否有共整合現象。 雖然已有部分文獻探討類似議題，但跨國比較分析通常僅限於英、美兩國，且英、美兩國市場連動程度太高，可能影響分析結果的正確性；除此之外，樣本分析期間亦通常不超過十年。本研究以1991-2005年英國掛牌之封閉型基金為研究樣本，並包含投資標的為日本的封閉型基金，進行英國、日本之間的跨國性比較；不但有更足夠的樣本時間長度，亦能驗證是否不同跨國分析亦會有相同結論。 共整合現象檢定及Granger因果關係檢定大致支持行為財務學的角度。但英國、日本跨國比較的結果，似乎並不完全等同於前述英、美跨國比較的結果。建議後續可從掛牌國與投資標的區域連動程度較低的封閉型基金作為研究方向。 / The closed-end funds discounts have been an interesting phenomenon for a long period. Some theories based on economic rationale try to solve the puzzle but fail to get consistent conclusions. Recently some theories based on behavioral finance, such as the investor sentiment hypothesis, have been proposed to solve this puzzle. This study examines the investor sentiment hypothesis based on various time-series tests and finds some interesting results. Briefly, our conclusions are as follows: 1. The discounts can vary widely between funds and seem to be persistent in our sample period. 2. The local market indices are cointegrated with the domestic closed-end funds discounts and the information is flowed from the market to the closed-end funds, which support the investor sentiment hypothesis. 3. The causality relationship between the foreign closed-end funds and the local indices is not obvious. Based on this, the market segmentation hypothesis seems to hold in our sample, which indicates that investing in the foreign funds provide investors with the benefit of diversification. For future researches, we suggest that more the foreign funds should be included in the sample and the classification of the degree of investor sentiment and the categories of funds can also be improved.

No description available.

Made available in DSpace on 2010-04-20T21:00:09Z (GMT). No. of bitstreams: 4 Alan Marinovic.pdf.jpg: 11803 bytes, checksum: 6f432bd77eda9bb1f8d0a1b55b2d1ea4 (MD5) Alan Marinovic.pdf.txt: 229382 bytes, checksum: 17f470747aee826fc7511c202d10bcc8 (MD5) Alan Marinovic.pdf: 1449291 bytes, checksum: bc20970ba9f69f9209cff4441caf931e (MD5) license.txt: 4886 bytes, checksum: 2dd7def8564dbf39bd3ed6b2e446baf6 (MD5) Previous issue date: 2009-01-28T00:00:00Z / O trabalho estuda a inter-relação entre preços de ações bancárias da América Latina, Estados Unidos e Europa durante o período compreendido entre janeiro de 2000 até final de junho de 2008. De um modo geral o estudo busca evidências sobre a existência de relações de equilíbrio de longo prazo entre as séries de preços utilizando análises de cointegração, testes de causalidade e funções de impulso resposta. Os resultados empíricos apontam para a existência de relações de equilíbrio de longo prazo entre as séries de preços, e para a existência de contágio especialmente de choques oriundos do mercado Norte Americano. Cabe ressaltar que o efeito de choques se mostra mais pronunciado após 2007, período compreendido pela crise do subprime. / This dissertation investigates the inter-relationships among bank’s stock markets for Latin America, United States and Europe from January, 2000 to June, 2008. The study analyzes the existence of long-run relationships among the price of Bank’s stocks, additionally it applies short-run causality tests and impulse response analyses. Empirical results suggests that there is at least one cointegration vector among the price series, and the series time paths are influenced by different extent of changes in price of different banks. Moreover the study finds that the relationships among bank’s stock prices differ between crises (more volatile) and less volatile periods. These findings imply that there are strong evidences of inter-connections among stock markets around the world.

The causal relationship between financial development and economic growth is a controversial issue. For developing countries, empirical studies have provided mixed result. This study seeks to empirically explore the relationship and the causal link between financial development and economic growth in two sub-Saharan African countries between 1970 and 2006. The empirical investigation is carried out using time methods and the five most commonly used indicators of financial development in the literature. However, the causal relationship was carried out using two different methods which are the autoregressive distributed lag bounds testing (ARDL) and the vector error correction model (VECM). Using this above methodology the study first found that in both countries there is a positive and long-term relationship between all the indicators of financial development and economic growth which was proxied by the real per capita GDP. With respect to the causality test, the two methods used provide mixed results especially in South Africa. In Cameroon the study found that financial development causes economic growth using the two methods, whereas in South Africa economic growth causes financial development when the VECM method is used, while there is an independence relationship between the two variables in South Africa when using ARDL. / Economics / M.Comm. (Economics)

One of the goals of the economic, social and territorial cohesion is to reduce regional disparities between member states of the European Union. For this purpose the structural funds and the Cohesion Fund were established(among other things). The theoretical part of this thesis presents the issue of regional disparities and ways how to measure them. In view of the lack of consistent definition of this concept, there are number of measurement and evaluation methods. Furthermore, the work focuses on the implementation of cohesion policy and ways of measurement of their impact on development and growth of regions. The practical part of this thesis presents, evaluates and compares the regional disparities between the regions of the Czech Republic and the Slovak Republic via selected methods and assesses the impact of the financial support provided from the Structural Funds and the Cohesion Fund in the programming period 2007 - 2013 on economic growth of regions in the Czech and Slovak Republics. Following indicators are included: gross domestic product, unemployment rate, gross fixed capital formation and the rate of economic activity. The influence of the subsidy on the economic growth of regions is validated through the panel data analysis, namely a panel model with fixed effects, and Granger causality test. First, we investigated the impact of this support on the economic performance of regions where it is verified whether there is a relationship between economic performance of NUTS III regions in the Czech and Slovak Republics, characterized by gross domestic product and the unemployment rate, and the amount of the subsidy. Furthermore, it is verified whether the amount of subsidy depends on the level of regional gross domestic product. Dissertation contributes to the discussion about the impact of support from EU funds in the Czech and Slovak Republics, focusing on the regional level, and answers the question of reducing regional disparities using the Structural Funds and the Cohesion Fund.

The dissertation analyzes the impact of Foreign Direct Investment (FDI) on Economic Growth by extension and economic development of the regions of the Czech Republic (CZ) in 1998 -- 2011. Statistical data empirically study determined motivation of investors to locate in economically strong regions. Following the analysis of statistical data, available resources and a field survey, whose output includes three case studies of specific Foreign Investments in the Czech Republic, the analysis examines whether the arrival of a significant foreign direct investor in the region significantly influenced selected characteristics of economic performance, or other selected areas in region (social, environmental, transport etc.). Moreover, in the context of econometric analysis to test the tightness of the relationship between Foreign Direct Investment and Economic Growth using Pearson's coefficient and characteristics of variability. The causal effect of Foreign Direct Investment on Economic Growth (and vice versa) is analyzed using Granger causality test. The conclusion gives an assessment of the significance of Foreign Direct Investment in the regions of the Czech Republic together with the identification of significant effects brought by investments.

This study will be investigating the relationship between short-term and long-term interest rates with the OMX30 stock return expressed in percentage, as well as the effect that the interest rates have on the stock return. The data used in this study has been collected from the dataprogram Datastream with monthly observations from January 2003 until December 2022 resulting in 240 different variables within all three factors over a period of 20 years. While performing OLS estimation, the result estimated by using R-studio shows a negative correlation between the interest rates and the percentage return of OMX30. Furthermore, the Granger causality test shows that the short-term interest rate does have an impact on the market whilst the long-term interest rate does not have any direct effect on the stock market in Sweden.

This paper follows Ghysels, Gourieroux, and Jasiak (1998), examines the causal relation between price and volume in Taiwan Futures Market. I use high frequency intraday data of Taiwan Stock Exchange Capitalization Weighted Stock Index in Taiwan Futures Exchange; and analyze the causality between returns and volume series, which are transformed into Markov chain, with Granger’s causal tests. I analyze the data with two different time category, trading time and calendar time. In our research we find out that Taiwan futures market has a bi-directional causality between price and volume in trading time analysis, as to the calendar time analysis, only price to volume unidirectional causality exists. Unlike the unidirectional causal relation that Ghysels, Gourieroux, and Jasiak (1998) observed in French security market.

本研究針對七個國家包括：美國、加拿大、英國、法國、日本、香港、與澳洲。檢驗各國主成分為REITs商品在內的不動產證券指數，對於該國的消費者物價指數與國際原油價格是否具有正向的通貨膨脹避險效果。並比較各國的普通股價指數對該國的消費者物價指數與國際原油價格的通貨膨脹避險效果。本研究首先檢驗各國不動產證券指數/普通股價指數之月增率與消費者物價指數/原油價格之月增率之間是否具有正相關性。並將消費者物價指數/國際原油價格之月增率以HP濾波分解成永久性部分與暫時性部分，以迴歸估計消費者物價指數/國際原油價格之月增率的永久性與暫時性部分對於不動產證券指數/普通股價指數之月增率是否有正向的解釋能力。並以Granger因果關係檢定通貨膨脹像消費者物價指數或原油價格的月增率是否會Granger影響不動產價格的月增率。最後在進行單根檢定確認各數列皆為I(1)數列之後，檢驗不動產證券指數/普通股價指數與消費者物價指數/國際原油價格是否存在共整合關係，亦即代表是否具有長期的均衡狀態。 結果發現，幾乎所有國家不動產證券指數的月增率不管是對物價指數的月增率或原油價格的月增率的相關係數大多為無相關，在美國、加拿大、與澳洲甚至有些微的負相關，沒有支持通貨膨脹避險的證據。而在迴歸分析的結果，在加拿大、英國、法國，與日本，物價指數月增率的永久性部分對不動產證券指數月增率有負向影響；在美國與香港則是物價指數月增率的暫時性部分對不動產證券指數月增率有負向影響。至於原油價格月增率的暫時性部分則在美國、法國、與澳洲找到對不動產證券指數存在負向影響的證據。其他國家則無法找到支持物價指數月增率或原油價格月增率的永久性或暫時性部分對不動產證券指數月增率具有正向影響。此外Grnager因果關係檢定中，只有美國的消費者物價指數月增率Granger影響不動產證券指數月增率。 而在假設無時間趨勢的共整合檢定之中，所有國家皆有顯著證據支持不動產證券指數與該國物價指數存在共整合關係，但若假設具有時間趨勢，只有加拿大，英國，日本與香港具顯著證據支持共整合關係的存在。而不動產證券指數與原油價格的共整合關係，不論有無時間趨勢，只有在加拿大、日本與澳洲這三個國家找到共整合關係存在的證據。 而普通股股價指數與消費者物價指數或原油價格實證結果顯示，相關係數檢定與不動產證券指數檢定結果相似，大多為無相關；只有美國、法國、與澳洲有些微負相關存在。迴歸分析中，物價指數月增率的永久性部分在加拿大、法國、與日本對普通股價指數月增率有負向影響；暫時性部分則在美國與澳洲對普通股價指數月增率有負向影響。原油價格月增率的暫時性部分在美國與法國對普通股股價指數存在負向影響的證據。而Grnager因果關係檢定中，在較多國家找到顯著證據支持原油價格月增率Granger影響不動產證券指數月增率。共整合檢定中，若不考慮時間趨勢，所有國家的股價指數均對物價指數存在共整合關係，但若考慮時間趨勢，則只有日本與香港有共整合現象；至於股價指數與原油價格的共整合檢定，不論有無時間趨勢，只有在日本、香港與澳洲找到些微共整合關係存在的證據。 整體而言，並無顯著證據存在支持不動產證券指數的報酬會隨著通貨膨脹的增加而增加；或是通貨膨脹的增加可以解釋不動產證券指數的報酬。然而不動產證券指數與消費者物價指數之間的確存在共整合關係，代表長期之下，兩者會往均衡方向調整，具有部分通貨膨脹避險能力。而普通股價指數與不動產證券指數的結果相同，但在檢設具有時間趨勢的共整合檢定上，不動產證券指數在四個國家存在共整合關係，普通股價指數則只有在兩個國家找到共整合存在的證據。不動產證券指數長期而言較普通股價指數具有較好的通貨膨脹避險效果。