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博碩士論文 etd-0621110-163705 詳細資訊
Title page for etd-0621110-163705
論文名稱
Title
股價操縱因素對於交叉上市股價差異的影響-以兩岸三地股票市場為例
The Impact of Stock Price Manipulation for the Price Difference among Taiwan, China and Hong Kong Stock Market
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
54
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2010-05-31
繳交日期
Date of Submission
2010-06-21
關鍵字
Keywords
A股、H股、股價操縱、台灣存託憑證
A-share, Stock Price Manipulation, TDR, H-share
統計
Statistics
本論文已被瀏覽 5846 次,被下載 3
The thesis/dissertation has been browsed 5846 times, has been downloaded 3 times.
中文摘要
本研究從股價操縱因素的角度出發,利用股權集中度與盈餘管理等代理變數,探討交叉上市股價之間差異的原因,利用產生溢價所在的股票市場(A股相對H股、TDR相對港股)的股價操縱代理變數,分析溢價的產生在市場本身的限制以外,像是流動性、需求彈性等等,人為操縱的因素是否可以解釋價格差異的原因。
實證結果顯示A股與TDR之溢價不只與市場體制有關,股權集中度與法人散戶交易量等人為操縱因素也是重要的解釋因子,且溢價程度都會隨著時間的進展而降低。
Abstract
Taking advantage of proxy variable of stock price manipulation like ownership concentration and earning management to examine the price difference between two market. In addition to liquidity or demand elasticity,etc, using manipulate variable of premium market(A-shares compared to H-share,TDR compared to HK-share) to investigate if manipulation can explain stock price difference.
Empricial results show that premium not only concern to market system, but also connect to manipulation factors.The degree of premium will decrease as time progressd.
目次 Table of Contents
第1章 緒論 1
1.1 研究背景 1
1.2 研究動機 2
1.3 研究目的 7
1.4 研究貢獻 13
第2章 文獻回顧 14
2.1 市場分割概述 14
2.2 市場分割文獻回顧 14
2.2.1市場分割下股票價格差異文獻回顧 15
2.2.2 中國外資股折價現象研究的文獻回顧 15
2.3 股票折溢價成因 16
2.3.1 流動性因素 16
2.3.2 需求彈性差異 17
2.4 盈餘管理與股價操縱 18
第3章 研究方法 20
3.1 研究架構與假說 20
3.2 變數定義 21
3.2.1 A股與H股 21
3.2.2 TDR與港股 25
3.3 研究方法 27
3.3.1 單根檢定 27
3.3.2 Panel Data 29
3.4 樣本選取與資料來源 32
3.4.1 A股與H股市場 32
3.4.2 TDR與香港母國市場 32
第4章 實證結果 34
4.1 樣本敘述統計與檢定 34
4.2 單根檢定 37
4.3 固定效果與隨機效果模型檢定 39
4.3.1 固定效果與普通最小平方法-F檢定 39
4.3.2 固定效果與隨機效果- Hauseman檢定 39
4.4 Panel Data迴歸分析結果 40
第5章 結論與建議 43
附錄 48


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