本研究主要在於使用Engle & Granger(1987)兩階段檢定法與Johansen(1991)
共整合檢定法，探討台北漁業批發市場的共整合關係。希望藉此兩種不同的方法
來了解批發市場中低價位魚種(台灣鯛魚、虱目魚)與高價位魚種(鱈魚、土魠魚)
間的整合情形。如果市場對這些魚種價格是有聯繫的，則個別魚種價格不會偏離
其它魚種價格太遠，例如透過市場套利，然後從市場機制的運作恢復均衡。實證
結果指出，台北漁業批發市場中四種魚種價格間呈現一條共整合關係，並且台灣
鯛魚與其它高低價魚種間有著長期且穩定的替代關係。

This paper applies both the Engle-Granger and Johansen cointegration test procedures
to determine the existence of market linkage among high-valued ( Scomberomorus
commerson, milkfish ) and low-valued (cod, Taiwan Tilapia ) fish species using
monthly average wholesale price data recorded on the Taipei fisheries wholesale
market. If the markets for high-valued and low-valued species are linked, say through
commodities arbitrage, individual fish prices cannot diverge “too far” from other fish
prices before market forces to operate to restore equilibrium. From the empirical
results, it indicates the existence of only one cointegrating vector involving the prices
of these species in Taipei fisheries wholesale market, and that a long-run and stable
substitute relationship may exist for the Scomberomorus commerson and other
low-valued and high-valued species.

目錄
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的與方法 3
第三節 研究架構 3
第二章 文獻回顧 6
第三章 研究方法 10
第一節 單根檢定 10
第二節 共整合檢定 17
第四章 實證結果分析 23
第一節 各魚種價格變數之衡量 23
第二節 實證結果 25
第五章 結論與建議 31
第一節 結論 31
第二節 對未來研究之建議 32
參考文獻 33

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