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?? 2-2 °ê¤??à??¤??q???à???¨???q???y?{ ?ê??¨?·??G°?±R¤??] 1998? A ? ^ p.12?C ¤G?B?????k?O-×????¤??R?P???z ?°¤F?W?[°ê¤???·~?w?ê¤???·|¤j??§??ê?????D?A????·|?ó??°ê 72 ?~¤?§G¤F ?u¤W???o??¤??q???????°?i?à??¤??q???f????·??v¤??\?o???i?à???C±??f????·? ¤¤?W?w?ù??¤H???à?b¨C?~ 6 ¤?30 ¤é¤?12 ¤?31 ¤é°_15 ¤é¤????X?à??-n¨D?A¨?±o ?à???v§Q¤j¨ü--¨??A?A???A?o??¤??q±?¨ü??¨D?à???á?A??????¤??}?o??·s??¤??ì ?z·s??¤W???R???A-Y¨C?~?????à???????W?c?A±N?y?¨?o??¤??q§@·~¤W¤§¤??K?P§x ?Z?C?B?ù??¤H??¨D?à???á±o¨ì???O¤??à¤W???R?? ?????v?????A??¨?§??ê?????v§Q ¨ü·l?A?G·í??¨??L¤??q?o???i?à??¤??q???C °w??¤W-z???I?A????·|?ó??°ê78 ¤????u¤W???o??¤??q???????°?P?o???i?à?? ¤??q???B?z·??h?v?A?W?w?i?à??¤??q?????i?à??¤§¤é°_?]?o???á 1 ?~¤§¤??^??¨ì ??¤é?e10 ¤é¤??A°?¨??k??°±?L¤á?????~?A?ù??¤H±o¨??o??¤??q¤§?à???ì?k?H????

15

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16

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3.¤??q?k??¤@??¤?¤Q¤-±?-×???A±N¤??}?o??¤??q???F·|°±¤??L¤á¤é??-ì-q???F·| ?}·|?e¤T¤Q¤é?A???e???e¤?¤Q¤é?A???Y?à??¤??q??¤§?M§Q?÷·|?C ?]?i?à???󰱤??L¤á¤é¤?±o?i???à???A?G±N¤??}?o??¤??q???F·|°±¤??L¤á ¤é??-ì??¤§???F·|?}·|?e¤§¤T¤Q¤é?????????F·|?}·|?e¤§¤?¤Q¤é?A???M§Q???° ??¨??A?M§Q????·|?W???A¨??ê?÷?¨???W?[?A?v?T¨ì?à??¤??q??¤§?M§Q?????C?A ?[¤W¤??q?k??¤@??¤C¤Q±??A???F±`·|??-ì??¤§?u¤??q???ó??·~?~?×?×???á¤?-? ¤?¤??l?°?}·|?A¤C-?¤?¤?§??¨?}·|?{§??v-ק??°?u¤??q???ó·|-p?~?×?פF?á¤? -?¤?¤?§??¨?}·|?{§??v?A¨????F·|¤§???á?L¤á¤é???·?A???e?A?M§Q??§@??±N?? §ó?--±?{??¨é?^??¤§??¤O?C 4.¤??q?k??¤@???|¤Q±?¤§-×???A?}??¤??}?o??????¤§¤??q±o?H§C?ó??-±?÷?B?o?? ?????A±N?i??¨M???÷??·~?w?ê¤???¤§?~???C ?H??¤??q?k?W?w?????o???ù??¤?±o§C?ó??-±?÷?B ?A?G·í¤??q¤w?o??????¤§ ???ù§C?ó??-±?÷?B???A±N?L?k?????o??·s???????v???????~?w±??ê?÷?F??¤w?o ???à??¤??q??¤§¤??q??¨??A¨?¤??}??±??????ù??-??]?÷¨???¨ü¨??ó¤??q?k?o?? ?ù??¤?±o§C?ó-±?B¤§?W?d?A¨?±o???ù§C?ó-±?B¤§¤??q?A?à???ù???L?k?A?V¤U?? ???A-P?à???v§Q?L?k??¨??A???o??¤??q??¨??A?????h·í?ì?o???à??¤??q???]-p ??§??ê¤H?i???à????¤???????¤§-ì·N?A????-×???A¤??\¤??}?o??¤??q±o?H§C?ó ??-±?÷?B?o?????q???A±N?i¨????ù?Q?k???°???J¤?????¤§¤??q±o?H?o??·s???? ?à??¤??q???w?°?ê?÷?C 5.¤??q?k??¤G??¤-¤Q¤C±?¤§¤G-×???A¤??\?o??¤??q?o???L?ê?é??¨é ???A±o§K?L?s ??¨é?A??±?????¨é?°¤¤?O??¨?·~?÷?c?n???A±N?i????-°§C?{????¨é?ò???B·?·l?B ?Q?s???ù¨é-·?I?A¨???°?????????¤§???v¤?????????¤§????·N?@?C

17

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3 ?v??88?~18.4?M?????W?[¨ì 89?~??48.92?M?A?y°???¤j?T?W?[ ?C

2.????¤??~°ê¤H§??ê??¨é???z?ì?k?]89.11.29?^-×???}??????¤??~°ê¤H§??ê°ê¤? ?à??¤??q???A?X¤j????°??P?W?? ?i?à??¤??q??¤§?o?i?ó°ê???ê??????¤w??·í?¨???A?~?ê?k¤H?÷?c???????~ ¤§§??ê?g??¤?±M·~????§???·í???Z?A??±q?}??????¤??~°ê¤H±o§??ê°ê¤??i?à?? ¤??q???H¨??A?~?ê?÷?c???ó?o???W????¤j?B?y?q????¨?¤§?à??¤??q???A¤w???? ·í?n·?¤§°??P?A??±???°?????¤§?????×?C 3.?à??¤??q??±o±??T?w?]?P¨??×?A?????P°??????{??¤@?w¤?¨?¤§??¨é?A?o?§???R ????¤§?y???\?à?A?????à??¤??q??????????¤§?????C ?°???@?à??¤??q??¤§?y °????A????·|?}????¨é°?±o?ó???P?à??¤??q?????A ?N???P?`??¤§??¤?¤§¤-????¤?¤§¤Q¤-???÷?A?????????{???C¨????A¨é°??ó?]?P ?à??¤??q?????A¤w±o?????{?????÷?÷?B?A?ó?????????o?§???R????¤§?\?à?A?? ±??X¤j?à??¤??q??¤§?????÷?B?C 4.?}????¨é°?±o?H?i?à??¤??q??§@?°??§@??±??ó????¤§?????C ?}????¨é°?±o?H?i?à??¤??q??§@?°??±??ó????¤§?????A?i????-°§C??¨é°? ?ù???à??¤??q??¤§?ê?÷?¨???A??°?¨??ù¨é·N?@?A?i¨??o??¤??q?w?ê?¨???i¤@¨B ¤U-°?C??±q?}???H¨??A??¨é°??H?à??¤??q??§@?°??±??ó????¤§?????÷?B¤w?v?~

3

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2001? A ? ^ p.14?C

18

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9,434,858,807 ¤?4 ?C 5.?}????¨é°?±o?H?à??¤??q??§@?°??§@?ê??????????¤§?????C ?z?L?ê??????????¤§??§@?A?i????-°§C??¨é°??ù???à??¤??q??¤§?¨???~?A ???T?w???q¤§§??ê¤H??¨??A??¤J????¨é?á?A¨???±o¤§?{?÷?y?q??-ì??¨ì?? (???? ?^)¤è±o??¨ú¤§???v?÷?A?à???°¨C?~?T?w??¨ú¤§§Q?§???A?F???o??¤??q??¨??A?? ?i????-°§C¨??o???¨???A???i?פ@?|??±o?C±????e?W?w?à??¤??q????§t?à???v ???÷?A¤?±o?A??¤????à°??A?O?H¨é°??L?k?N?????v¤§?X°??????à?ù¨?????-t?á ¤§?¨???A?P??-·?I???L?k¤????A?G?????ó?ü?~?à?? ¤??q??¤§??§@??¨??A?????? ¤???§@°ê¤??i?à??¤??q??¤§?ê???????????i±o¤§???q??¤?¨?§l¤?¤O?C 6.?÷????¨é¨ú??¤d¤?¤§¤@?????|?C ????·|????????°ê 91?~2¤?1 ¤é°_?A°ê¤??÷????¨é??-±¨ú??¤d¤?¤§¤@???? ?|?A????¨é??????¨??i?°?O¤@¤j§Q?h?A?i?à??¤??q????§??ê¤H?i-°§C¨??????¨ ???A??¤????R·N?@?A?????W?[?????????????A??°??????q?C

4

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2001? A ? ^ p.15?C

19

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?i?à??¤??q??¤§?M§Q???¤ ?P????¤??m±?°Q

????¤??°¨??`?A??¤@???÷?°?u?M§Q???¤?v?A-???¤????i?à??°ò?????ù?

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°ê¤??~?P ?i?à??????¤§???Z?P?פ?°?¤@???X¤??R?A???á???ú??¤?????¨s¤è
??¤@?` ?M§Q???¤ ¤@?B?i?à??¤??q???ù-?¤§?z?×???? ???ó?i?à??¤??q???°-?¨? ??¨é?P???q??¨????S??¤§?V????¨é?A¨??b???ù¤W-n §??????X¨??S??¤Q¤?¤????A???`???H??°ò?????z?×???ú¨??ù-????¨?A¨??á?A?[¤W ?{???i?à???h¤?¤???±????]-p?A?]?A???^?v?B±j¨????^?v???v?T?C ?z?פW°ò?????i?à??¤??q??¤§?ù-?¤??°¤T??¤??G ?]¤@?^§??ê?ù-? (Investment Value) ?i?à??¤??q??¤§§??ê?ù-??Y???i?à??¤??q???????§?B-±?B?B?????A?H????§Q ?v§é?{?^¨????ù-??A??§Y°??]??¨é?ù??¤H?ó??¨? ??????¤??à???A?ù????¨ì??¤é?A §Y???ù-?¤?§t?à???v?ù-??A?G?o????¤§§??ê?ù-??ê???ó???q¤??q??¤§?o???ù???A ¤S???°????¨é?ù-??C?H¤????í???p¤U?G B =∑ I M + (1 + i )T t =1 (1 + i )
T

??¤¤?A B=??0??§??ê?ù-? T=¨ì???~?? I=¨C?~¤??I??§Q?§ i=????§Q?v M=??¨é¨ì???????^?ù-? ???ó?o????¤§§??ê?ù-??ê???ó???P±??ó??¤????à???v¤§???q¤??q??¤§?o?? ?ù???A?G?????à???v???i?à??¤§?o???ù????¤j?ó¨?§??ê?ù-??C??±`±??p¤U?A?H??

20

????¤§?g?L?A?i?à??¤??q??¤§§??ê?ù-?·U?????ó-±-??A?]?°§Q?§???????]???v?? ?????C

?]¤G?^?à???ù-?(Conversion Value) ?à???ù-??Y?ü?i?à??¤??q???i??±o?????????A???à????????¤§???ù-p????±o ¤§?ù-??A§Y?à???ù-????ó?à??¤??v-?¤W?à??·í??¤§???????ù?C CVt = Pt × R ??¤¤?A CVt =??t???à???ù-? Pt =??t?????????ù R=?à??¤??v ?N?h??¤??m?o?{?i?à??¤??q???o??¤??q???S??¤§¤@?°?¨????¤??q?A?G?H??¤? ?q???¨???B???l?????y?B¤??q?ù-?????°??A???ù·í?M¤]?ò??¤W¤??A?H???ù?°-p?? °ò?????à???ù-????M???H¤§??°??C ?]¤T?^?????v?ù-?(Option value) ?????v?ù-??Y?ü?i?à??¤??q??¤§?ù??¤H???v?????à???P§_???v§Q?ù-??C?? ???v-è?}?l?????ù?????O????Black & Scholes (1973)???X???R?v???ù?????G C = S × N d 1 ? Ke ? rT N (d 2 )

( )

d1 =

ln S K + rT 1 + σ T 2 σ T

( )

d2 = d1 ? σ T

??¤¤?A C=?????v?]?R?v?^?ù-? S=???????????e?????ù

21

K=?????v??°????ù???]?à???ù???^ r=?L-·?I§Q?v T=?v§Q?????????u ?m =???????????S?v¤§??·??t N( ? )=??·?¤?±`?A¤?°t?????n?÷ ?v ???X?H¤W??-z?A·í?????????ù??°????A?à???ù-?¤]°??A?à??¤??v?T?w¤U?A?à ???ù-??P???????ù?¨??¤??A?i?H?? 3-1 ¤§?à???ù-??uCVt ?í???F??¨é?ù-???¨-??
¨ü???????q?????ù?v?T?A???q???ù??·U°??A??¨é?w????·U°??A?ù-?·U¤j?A????¤j ¤?·|?W?L-±?B?[-p??-p§Q?§¤§§é?{-??A?p??

3-1??¨é?ù-??uB?A ???i?à????¨é?q±`

·|?W?L¤@???é???q??¨é¤??à???ù-???¤j???A?D?]¨?¤W??¤@?????à???P§_???à???v §Q??-P?A?]???i±o?G CB = Max (B, CVt ) + C ??¤¤?A CB=?i?à??¤??q???ù-?

?i?à???ù-? ?ê???ù-? ?à???ù-? (?-?ù)

?????ù-? ??????¨é?ù-?

???????ù ?? 3-1 ?à???ù?? ???????ù?P?i?à???ù?????Y??

?ê??¨?·??G Brealey and Myers?] 1996?^, p.528. ¨????N?v?T?i?à??¤§?]?????ú?p¤U?G

22

1.?????????ù???G?????????ù??·U°??A?h?à???????v?ù-?·U°??A?i?à???ù-??H¤§ ??¤??C 2.?à???ù???G?à???ù??·U§C?A?i?à???ù-?·U°??C 3.?à???????G?à??????·U???A?à???????v???????ù-?·U°??A?i?à???ù-??ù-?·U°??C 4.-á???????u?G-Y?à??¤§?????????ó-á??????¤??o???{?÷??§Q?B???ó??????§Q¤? ?{?÷?W?ê-q???O?@±????A?h-á???????u¤??v?T?i?à???ù-??F§_¤§?A?h·í-á???? ·U???A?i?à???ù-??ù-? ·U§C?C 5.????????¤§?i°??v?G???????v??¨??A??????¨é???i°???·U¤j?A?í???b¨ì??¤é?e?A ?v??·U?i?à??????¤j??¤?§t?ù-??] Intrinsic value?^?A???H?i°??v·U°??A?v???ù -?·U°??A?i?à???ù-?·U°??C 6.????§Q?v?G????§Q?v?P???q¤??q??§e?{-t?????A·í§Q?v¤W¤????A¤??q??§é?{?v ??°??A¨?¤??q???{-?¤U-°?F?????ó?à???????v?A§Q?v¤W???o????-±?v?T?A?]?? ¨??`?v?T?A?????i?à??¨??L±??ó???w?C 7.???^±????G¤W-z°ò???i?à??¤??]§t?????^±????A-Y?[¤J±j¨????^±????A¨? Pfeffer (1996) ???????i?à???????????G ?i?à???ù-??ק??ê?ù-? + ?v???ù-? ? ±j¨????^?ù-? ?????i???i?à?????ù-??A?]?[¤J???^?v±?????-°§C?A?D?]???^?v?O?O???o??¤? ?q?A????§??ê¤H??¤?§Q??-P?C 8.???^±????] Put?^?G?i?à?????????X?????v???A§Y?N?í?ù??¤H???v???e-n¨D¤??q ?R?^??¨é?A?o-??v§Q???M??§Q?ó§??ê???A??§U?i?à???ù-???¤??A??·í???????ù °?§C???A???^?v???v?T·|??¤j?C 9.-??w±????] Reset?^?G-??w±??????O?O??§??ê¤H???à???÷·|?A?קK???ù¤?§C???à ???L±??A???H§?-????e???A???L±N·|??°??i?à?????ù-??C Ho and

23

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§??ê¤H?b¤???-n¨?????§??ê?÷?A¤??????á???ó -·?I??±??p¤U?A?z?L?R?i???X?? ?P?????è???????ê???L?{¤¤?A?ò±o???S?????°?A??°??u?M§Q?v?C?g????¤¤?w?q?u?M §Q?v?A?O????§C?ù?R?i¤@°??~?B?P??°??ù???X??°??~?A???ò±o§Q?í???L?{?C ?M§Q?w?ù?z?×?] Arbitrage pricing theory?^?{?°?A-Y¨????ê???????è?] factor?^?? ?P?B±?·P?{?פ@-P???A??¨????ê?????w?????S?v???????ù-????????P?A§_?h±N·|?? ???M§Q?÷·|?A§??ê¤H±N·|±?¨ú?R§C??°??????¤?A¨???¨ú?W?B???S?C???z?×??°ò??°? ?]?p¤U?G 1.?????ê°T¤??}?A?L°T?§?¨???C 2.????§??ê¤H???w??¤@-P?C 3.?L?????¨???C 4.?L????--¨??C 5.¨S??±j¨??^?????W?w?C ¨?¤W??-z?A?M§Q?O?????L-·?I???ò§Q?L?{?A?z?פW?O¤??s?b???A???ê°?¤W?i?à ??????¨?¤????X?M§Q?w?ù?z?פ§?U??°ò??°??]?A¨?±o???e?i?à??¤??q??°??÷¨?§??? ?ù???A???????s?b???U???????¨???A¨?°??÷???ù?t?O§_¨?°÷¤????M§Q????¤§?¨???A ?O??¤???±?±?°Q???D?D?C Connolly?] 1998?^???X?M§Q??°ò?????A??¨????G?R?A?P°? ?A?C ?]¤@?^?R?A?M§Q ·í¨??????ù???o??¤??X?z????§??{?H?A?z?L?b§C?ù?????R¤J???ê???A¨??ó°? ?ù????¤¤?X°??A??¨ú¨??????ù?t?A??¨ì¨??????ì?_?X?z?ù???A?M§Q?÷·|?h?????C ?]?°?ù?????§?U???B?ù?? ???????L?k?P???F?¨?A?]??-·?I¨??M?s?b?C ?]¤G?^°??A?M§Q ?°?????????????????A???z?L§??ê???X¤¤???h /?????ì?ù?ò?????A¨???¨ú§Q ?í?A§Y?z?L?R¤J?i?à???A¨??P??????¤@?w???q?????q???A??¨???¨é?ù??¤??v???°

24

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32

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39

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40

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41

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?O§_?????t?§?C?]¤??T?w?????O§_?°±`?A¤?°t?A?°¨D¤??R¤§§???°_¨??A????¨s???P ??§@ t???w¤??L????¤¤ Mann-Whitney-Wilcoxon (MWW)?k???w?C MWW

???w??-p?q

(T1 )??¨D?k?p¤U?G ?]¤@?^±N¨????????[??-??V?X?A??¤p¨ì¤j??±??C¨???¤???§??????A?? 1 ?}?l?A-Y ?????P????±?§??A?h¨???¤¤???????k?C ?]¤G?^???w??-p?qT1 ?° n1 -?¨?????¤@???????[??-????????M?C·í¨???????¤j¤p ??¤j?ó?????ó 10?A?B¨???????¨????????é§??????P???A?h??¤@-????????? ???M T1 ¤§¤?°t?????ó±`?A¤?°t¨?¨????H¤U????±?-??P???§???G E (T1 ) = n1 (n1 + n 2 + 1) 2 n1 n2 (n1 + n2 + 1) 12

V (T1 ) =

?HZ =

T1 ? E (T1 ) ? Z α ≤ Z 0 ≤ Z α →??Α±∝?? ???ω?Α?? H0 ?G η1 = η2 V (T1 ) 2 2

46

???í

A ??¨s?????ê??
???e???^ ???e???^?ù ¤é?? 92/4/18 92/5/18 92/6/15 91/5/20 92/6/28 92/6/16 92/8/31 92/8/25 93/4/6 93/5/5 93/6/14 92/6/27 93/8/29 93/5/17 92/5/20 91/12/1 116.59 114.12 ?? 119.10 ?????~ -5 5 5 5 5 5 7 5 5 5 5 5 5 5 5 5 5 5

?N?? 85002 85003 85004 85005 85007 85008 85009 85010 85014 85015 85018 85019 85020 85022 85023 85026 85028 85030

?W?? ·L?P¤@ ·??R¤@ -P-Z¤@ ????¤@ ???q¤@ ¤O¤s¤@ ???±¤@ ?S¤O¤@ ???ú¤@ ????¤@ ???F¤@ °?§?¤@ ?ò?a¤@ ?R?O¤@ ·?°a¤@ ?°?§¤@ ?M??¤@ ?d??¤@

???§ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

?I?§¤é ?? ?L ?L ?L ?L ?L ?L ?L ?L ?L ?L ?L ?L ?L ?L ?L ?L ?L ?L

?o???`?B ?]???U?^ 1,600 1,400 1,500 800 5,000 1,200 4,300 700 600 650 350 1,000 800 800 1,400 450 300 1,000

?o??¤é?? ?o?????à?? ?ù??(¤?) 89/4/19 89/5/18 89/6/16 89/6/20 89/6/28 89/7/17 89/8/31 89/8/25 90/4/6 90/5/5 90/6/14 90/6/28 90/8/29 90/5/18 90/5/21 89/12/1 93/6/19 90/5/17 183.60 206.30 96.71 41.60 174.40 32.60 498.33 25.90 32.00 90.93 69.35 28.10 28.69 42.84 41.30 193.10 23.30 70.00

?????o?????q??°ò·?¤é 6/30?] 1?^?F12/28

?à?????? 890720-940408 890819-940508 890917-940606 890921-940610 890929-940618 891018-940707 891201-960821 891126-940815 900707-950326 900806-950425 900915-950603 900928-950617 901129-950819 901119-950508 900822-950510 900301-941120 900920-950609 900818-950506

120.79 2/27?F6/27?] 1?^?F9/27?F12/28 100.00 2/28?F8/28?] 1?^?F10/28?F12/28 113.00 2/28?F6/30?] 1?^?F9/30?F12/27 114.12 (2)?F 6/29?] 1?^?F9/29?F12/28 121.65 ?] 1?^?F12/28 115.76 8/22?] 1?^?F12/28 121.48 3/1?F6/30?] 1?^?F9/30?F12/28 114.12 6/28?] 1?^?F12/28 114.94 2/27?F6/27?] 1?^?F9/27?F12/27 115.76 3/28?F6/28?] 1?^?F9/28?F12/28 110.78 2/22?F7/22?] 1?^?F10/22?F12/24 115.76 3/27?F6/27?] 1?^?F9/27?F12/27 117.42 2/27?F6/27?] 1?^?F9/27?F12/27 100.00 3/22?F6/22?] 1?^?F9/22?F12/22 100.00 2/27?F6/27?] 1?^?F9/27?F12/27 91/6/22 (2)?F ?] 1?^?F9/28?F12/28

93/4/16 2/1?F6/28?] 1?^?F9/28?F12/28

?ù(1)?G·í?~?×??¤??q?L?v°t??°??v°ò·?¤é??°t?§°ò·?¤é??±????A-Y?L°t????°t?§?h?H¤W?C¤é???°°ò·?¤é?C ?ù(2)?G·í?~?×???F±`·|¤é??¤§??¨?·|?}·|¤é?]¤?§t?^¤§?e¤C¤??C ?ê??¨?·??G?U¤??q?i?à??¤??q???à???ì?k¤??d?i?R??¤¤¤??i?à??????·§?p?C 47

??¤-??

?ê?????G¤??R

????¨s?H 89?~°_¤W??¤??q?o?????b?±?Y?????R?????i?à???°??¨s???H?A ?@ 18¤?
?????i???ê??¤??R?A?ê?????G¤??°¤T??¤????ú?C??¤@???÷?????U???i?à???M§Q???§????S±?§??A¤F??¨??M§Q?÷·|¤??????F??¤G???÷?????v?T?i?à???M§Q???S¤j¤p???] ??°??v?T¤è?V¤§?z?×?w?ú?A?A?N??°j?k¤??R???G¤???¤§?F??¤T??¤?¨??? t???w¤? MWW ???w???G?A¨?¤F????¨é?^??-·?I???M§Q???S?O§_???????v?T?C ??¤@?` ?i?à??¤??q??¤§?M§Q???S ¨??????|???M§Q???S-p??¤????A?i?H?k???¨¤U-±?X?????G?G ¤@?B?M§Q?W?v ???í5-1?i?H?o?{?A?b18??????¤¤??10???X?{?M§Q?÷·|?A¨?¤¤?M§Q?W?v?W?L¤-?¨ ??¤?§O?°°?§?¤@?]94.79?M?^?B?ò?a¤@?]86.79?M ?^?B?M??¤@?]60.56?M?^?B·?°a¤@?]59.41 ?M?^¤??S¤O¤@?] 57.95?M?^¤-???F§C?ó¤-?¨?????d??¤@?] 49.06?M?^?B·??R¤@?] 26.28 ?M?^?B·L?P¤@?] 24.42?M?^?B?°?§¤@?] 13.64?M?^¤????ú¤@?] 1.53?M?^¤-???F??-P-Z¤@?B ????¤@?B???q¤@?B¤O¤s¤@?B???±¤@?B????¤@?B???F¤@?B?R?O¤@???X?{???M§Q?÷·|?C ?`-p???M§Q?÷·|¤§??????10???A???`?[???????ù¤??¨?A?????i?à??¤??q???T?ê???Q §C???{?H?A?????s?b???M§Q?÷·|?A??¤??????p°?§?¤@?b??????¤é¤??X?G???s?b?M§Q ?????C ¤G?B?M§Q???? ?°?קK?ê??¤¤·???-?¤§?v?T?A°Q?×?i?à???M§Q?b???S?? ?A????¨s?P???C?X?-§? ??¤?¤¤?ì???A±q?í5-2?i???A?M§Q?b???S??¤¤?ì???e¤-?W¤?§O?°?M??¤@?] 16.88?M?^?B ·?°a¤@?]15.85?M?^?B?ò?a¤@?] 13.51?M?^?B°?§?¤@?] 11.39?M?^¤??S¤O¤@?] 9.11?M?^¤???A±?¨??l?U????¤¤?ì?????°-t-??F?[???U???b???S??¤j-??P??¤p-??A?i?o?{?S¤O ¤@?????g?X?{?~???S°??F 131.64?M???M§Q?÷·|?A?B¤????-§??M§Q?b???S?v?P?M§Q?W

48

?v?á?i???A?-§??M§Q?b???S??°????A?M§Q?b???S?°?????W?v???????á°??A?í??¤@?w ¤?·?¤§¤W???M§Q?÷·|¤?¤??A¨????A§ó???ê¤F?i?à??¤??q???M§Q???????s?b¤??M§Q?? ?i?????C

?í 5-1 ?M§Q?÷·|?W?v?í ?W??
·L?P¤@ ·??R¤@ -P-Z¤@ ????¤@ ???q¤@ ¤O¤s¤@ ???±¤@ ?S¤O¤@ ???ú¤@ ????¤@ ???F¤@ °?§?¤@ ?ò?a¤@ ?R?O¤@ ·?°a¤@ ?°?§¤@ ?M??¤@ ?d??¤@ ?`????¤??? 348 274 124 156 310 82 231 177 66 54 106 96 53 61 101 66 71 53 ?????S?X?{¤??? 85 72 0 0 0 0 0 102 1 0 0 91 46 0 60 9 43 26 ?M§Q?X?{?W?v 24.42?M 26.28?M 0?M 0?M 0?M 0?M 0?M 57.95?M 1.53?M 0?M 0?M 94.79?M 86.79?M 0?M 59.41?M 13.64?M 60.56?M 49.06?M

49

?í 5-2 ?M§Q?b???S¤§?-§????B¤¤?ì??¤???¤j?B??¤p-? ?W??
·L?P¤@ ·??R¤@ -P-Z¤@ ????¤@ ???q¤@ ¤O¤s¤@ ???±¤@ ?S¤O¤@ ???ú¤@ ????¤@ ???F¤@ °?§?¤@ ?ò?a¤@ ?R?O¤@ ·?°a¤@ ?°?§¤@ ?M??¤@ ?d??¤@ ?-§????S?v -58.00?M -59.50?M -154.75?M -185.44?M -113.39?M -159.03?M -110.59?M -1.41?M -62.61?M -63.77?M -59.95?M 13.00?M 14.89?M -112.07?M 5.09?M -20.16?M 6.04?M -1.64?M ¤¤?ì?? -34.00?M -52.56?M -159.68?M -179.96?M -103.21?M -108.93?M -76.68?M 9.11?M -127.73?M -58.82?M -59.63?M 11.39?M 13.51?M -103.40?M 15.85?M -16.29?M 16.88?M -0.27?M ??¤j-? 51.68?M 53.07?M -55.78?M -62.85?M -20.25?M -40.98?M -19.10?M 131.64?M 4.90?M 10.86?M -3.44?M 47.33?M 42.54?M -45.93?M 54.58?M 5.21?M 64.70?M 34.06?M ??¤p-? -433.87?M -347.87?M -419.84?M -338.69?M -394.57?M -471.11?M -437.11?M -115.42?M -248.80?M -190.64?M -232.49?M -4.81?M -26.52?M -230.87?M -120.93?M -124.55?M -61.75?M -62.36?M

¤T?B?i?à?????????v?????w ?g??¤W-±¨???¤?¤§???G?? ?ú?A§?-??i?H???D?i?à???????T?ê?s?b??¤@?w?M§Q?b ???S¤?·?¤§?M§Q?÷·|?C ±??????ó?L?h?ê?????G??¨??A¤??×?O?b?M§Q?W?v???M§Q?b?? ?S¤W?A??¤p?ó?L?h?ê?????G?A?G????¨s???i¤@¨B±?¨s?i?à?????????v???O§_?????à ???A?H¤U?????ú?????i?à?????????v????¤è?k?A?A???ê?????G§@¤??R?C ?]¤@?^????¤è?k ????¨s?H§f?????] 2000?^??¤è?k¨????????????v???A·í???????ù¤j?ó?à???ù ?????A?i?à???????ù?D-n¨ü¨ì?à???ù-??D???A?]??-Y?i?à???°???v?????A?h???? ???ù¤j?ó?à???ù?????A?i?à???????ù±N§???¤??M?X?à???ù-?????°??C?H?????? 18

50

???i?à???°?????A?z???X???????ù¤j?ó?à???ù????¤é?ê???A?H?à???ù-??°???? ???A?i?à???°???????A°?????????°j?k¤??R?A?]?°???ê???°????§??C?A?G¨?°j?k ?????????y?{?p??

4-1?C¨?°j?k???C???p¤U?G ?] 5-1?^

CB = α0 + α1 CV + ε

-Y?à???ù-??i§???¤????i?à???????ù?A?h?à???ù-????Y?????????ó¤@?A?????ê?L ¤?????°??]?p¤U?G H0 ?G α1 = 1 H1 ?G α1 ≠ 1

?]¤G?^?ê?????G¤??R ???ó??¤?????¨????????ù¤j?ó?à???ù-???¤é?ê???§???°?s??¤p?ó 5?§?A?G?i ?à?????????v???????w??????????¤E???A?????]5-1?^??°j?k?????? GARCH???G ¤§???w???G?A?p???í 2????¤G¤j???????A?b1?M????¤?·?¤U?A?????ò?a¤@¤??°?§¤@ ??§e?????A¨??l¤C???~?t?????§???????ú???? GARCH?{?H?C±q?í 5-3?i???A°?¤F ?S¤O¤@?] 0.131?^?B?°?§¤@?] 0.588?^?B?d??¤@?] 0.004?^R2 ??§C?~?A¨??l¤C????
????¤C?¨?H¤W??¤?·??A?? ??°j?k???????????à¤O??·í°??F???B°?¤F?S¤O¤@?B?d??

R2

¤@¨???????¤O?????s¤§????¨??à???ù-??Y???] -????°¤p?ó

á1 ?^?°-t-??~?A¨??l-?§O????¤§

á1

1¤§?????A?í??·í?à???ù-???°????A?i?à???ù???H?à???ù-????V??°??A

±?¨?¤???¤p?ó1?C???±±??ú?i?à???L?k§???¤??M?à???ù-?¤§??°??A?i¤@¨B§Q??°? ?]???w?o?{¤E?????????????ê?L°??]?A???M?i?à????¤??[?à???ù-??L?k§???¤??M ?b?i?à?????ù¤W?C¨????A§?-?±??_?i?à???°?L???v?????C

51



5-3 ?i?à?????????v?????w °j?k?????G CB = α0 + α1 CV + ε
?à???ù-? ¤@????§? ???? AR(1) ?????á R2 0.974 ?] -31.970?^*** 0.719 ?] -33.929?^*** 138 137 ?[??-?

?W??

±`??

H0 :á 1 =1

·L?P¤@

31.3567*** ?] 24.482?^ 58.9299*** ?] 32.160?^

0.737423*** ?] 89.792?^ 0.5868*** ?] 48.1657?^

·??R¤@

-P-Z¤@ NA ????¤@ ???q¤@ ¤O¤s¤@ ???±¤@ ?S¤O¤@ ???ú¤@ ????¤@ ???F¤@ °?§?¤@ NA NA NA NA 204422.1*** ?] 24.787?^ NA NA NA 24681.73*** ?] 6.713?^ 69647.17*** ?] 20.337?^ 0.7442*** ?] 26.660?^ 0.3219*** ?] 11.123?^ 0.3509 ?] 2.487?^ ?] -23.427?^*** ?] -9.162?^*** 0.831 48 0.923 96 -0.4945*** ?] -8.334?^ ?] -25.188?^*** 0.131 172

?ò?a¤@

?R?O¤@ NA ·?°a¤@ 49300.64*** ?] 9.366?^ 91133.05*** ?] 6.295?^ 51438.41*** ?] 8.4499?^ 124042.9*** ?] 8.329?^ 0.5781*** ?] 21.341?^ 0.2163 ?] 1.659?^ 0.5567*** ?] 15.731?^ -0.1701 ?] -1.251?^ ?] -8.6059?^*** ?] -12.529?^*** 0.004 43 0.7064*** ?] 5.506?^ ?] -6.010?^*** 0.877 50 ?] -15.571?^*** 0.588 45 0.948 72

?°?§¤@

?M??¤@

?d??¤@

?ù1?G?A??¤??????r?° p -??F?ù§????w¤U?A *?B**?P***¤?§O?N?í?b 10%?B5%¤?1%¤?·?¤U?????C ?ù2?G °j?k????¤§ A djusted R 2 ? O ? B ?O ?L S ¤ è ? k ? ? ? O ? g ? C? o c h r a n e- Orcutt - × ? ? ? ? § ? ? ? ? ? ¤ § ? á ? ? ± o ? C

52

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53

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54

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?H?M§Q?y?{¨????A?O???÷?¨??·U°??A§??ê???????ê?÷·U?h?A?÷·|?¨??·U°??A ¨??M§Q???S??¤??C±?·í?O???÷?¨??·U°??A§Y?í??????--¨?·U°??A?v?T???????v???A ¨??M§Q?÷·|¤????S?W?[?A?G?O???÷?¨???P?M§Q???S???Y¨??L¤@?w¤è?V?C

¤G?B???_-±?ê??¤??R ?H 18???????U??????????????§? ?C?-§?-??°???_-±?????ê???A?G?@?? 18?§?ê ???A????¤C-??????????-§??M§Q?b???S§@°j?k¤??R?A¨????w????°j?k°??]±o?X°j?k ???p?í5-4?A?????@?u??¤????§??¤???¤@???w???G?A?p???í 1?????A?U???????L?@?u ??°??D?A??°j?k???g???w?o?{?L???§??¤???¤@?{?H?C ±q?í5-4?i???A??°j?k???? Durbin-Watson¤??ó1.5??2.5¤§???A????¨?¨??L??§??? ??¤§°??D?A?B?????á R2 ?° 0.65?í????°j?k???????????à¤O??¤??ù?C?????U???????§??M§Q?b???S?v?T?o?{?????-§??ù???B?-§??à???ù???B?-§??M§Q?????B?-§??M§Q¤? ???|-??????? p-Value¤?§O?° 0.007?B0.011?B0.054¤?0.004?A?N?í?b 90?M???H?à?פU?A ?????-§??ù???B?-§??à???ù???B?-§??M§Q?????B?-§??M§Q¤????|-??????????v?T?§??M§Q?b???S?F¨??l¤T-??????i?à???-§????ù?]0.167?^?B?-§??????q?] 0.433?^¤??? ???????i°?? ? ? ] 0.402? ^ ?P?-§??M§Q?b???S?h?L???????????C?????i???????-§??ù???B

?-§??à???ù???B?-§??M§Q?????B?-§??M§Q¤????|-????????-§??M§Q?b???S???????? ?v?T?A???????????s???°?ó?H§?-??i?H?z?L????????-p?Y??±o???A?????-§????ù¤? ?-§??M§Q?????P?-§??M§Q?????b???S§e?{???????F?-§??à???ù??¤??-§? ?M§Q¤????h §e?{-t?????C?P?w?ú????°?¤F?-§??M§Q?????P?w?ú¤????~?A¨??l?????v?T¤è?V?|?? ?X?z?C

55



5-4 ?v?T?-§??M§Q???S??????????¤??R

°j?k?????G Yi = a + b1 X 1 i + b2 X 2 i + b3 X 3i + b4 X 4 i + b5 X 5 i + b6 X 6 i + b7 X 7 i + ε
?????? a X1 X2 X3 X4 X5 X6 X7
2

?????W?? ±`???? ???????q???-§????ù ?-§??à???ù?? ?i?à???-§????ù ?-§??M§Q???? ?i?à???-§??¨???q ?-§?????¤??? ?????????i°??v R =0.795 Adjusted-R2 =0.651

?Y?? -1.4422 0.0206 -0.0135 0.0105 0.0086 -0.0017 -0.0055 1.4308

t-??]?÷?v-??^ -1.5786 ?] 0.146?^ 3.3097*** ?] 0.007?^ -3.0921** ?] 0.011?^ 1.4902 ?] 0.167?^ 2.1822* ?] 0.054?^ -0.8173 ?] 0.433?^ -3.7008*** ?] 0.004?^ 0.8759 ?] 0.402?^ F-statistic=5.5251*** Durbin-Watson=1.9116

?ù1?G?A??¤??????r?° p -??F?ù§????w¤U?A * ?B**?P***¤?§O?N?í?b 10%?B5%¤?1%¤?·?¤U?????C ?ù2?G°j?k????¤§Adjusted R2 ?O?B?? OLS ¤è?k????±o?C ?ù3?G Durbin-Watson¤??ó1.5??2.5¤§???N?í???t?V?L??§?????°??D?C

¤G?B????§??C?ê??¤??R ?P???H???e 18???i?à???°?????A§Q???]4-2?^??°j?k?????i???????A?????U ????????§??C¤§°j?k??????GARCH???G¤§???w???G?A?p???í 2????¤@¤j???????A ?b1?H????¤?·?¤U?A?????ò?a¤@?B?M??¤@¤??d??¤@??§e?????A¨??l¤Q¤-???~?t?? ???§???????ú????GARCH?{?H?C±q?í 5-5?i???A°?¤F·L?P¤@?] 0.790?^?????áR2
??§C?~?A¨??l?U???? ???á??

R2 ???b 0.8??0.9?H¤W??¤?·??A????°j?k???????????à

¤O??°????F?b18??????¤¤?A??¤??????ó??????¨s????¤???-?¤@-P?A???????h¤??C ¤J??????°j?k????¤¤?A±q?í 5-5?o?{?A?U????¤¤???M§Q???S?????????v?T??????

56

¤??????P?A¨?¨??b?U????§e????¤§¤?¨?¤j¤p?C???A??¤j?°?à???ù???A???°?????? ?ù?B??¨é?ù???A?H¤U¨?§??°?M§Q?????B?O???÷?¨???B§Q?v¤??M§Q¤????A?????q§e ????¤§¤?¨???¤p?C???N?U???????M§Q?b???S?????s??¨????A?U?????b?U????°j?k ??¤¤°?¤F?à???ù?????M§Q?b???S???v?T??§e?{-t?????~?A¨??l???G¨?¤?¤@-P?F?H ¤U¤?-z?U???????M§Q???S¤§?D-n ?v?T¤è?V?G?????????ù???]??

94?H?^?B?M§Q????

?]?? 75?H?^?B?O???÷?¨???]?? 75?H?^?D-n§e???????F??¨é?ù???]??89?H?^?B§Q?v ?]?? 61?H?^?B?????q?]??56?H?^?D-n§e-t?????A????¤?????-t?V?v?T?U??¤@?b?C ?g?P?w?ú?????A°??M§Q???????M§Q?b???S?v?T?°???V?????P?w?ú¤?¤@-P?~?A¨??l ????¤§?v?T¤è?V?|???X?z?C

57



5-5 ????§??C°j?k??

°j?k?????G Yi , t = a + b1 X 1t + b2 X 2 t + b3 X 3t + b4 X 4 t + b5 X 5 t + b6 X 6 t + b7 X 7 t + b8 X 8 t + ε
?W?? ±`?? ?????ù?? ?à???ù?? ??¨é?ù?? ?M§Q???? §Q?v ?????q ?O???÷?¨?? ?M§Q¤é?? ¤@????§? ?????á ?[??-? ???? AR(1) -0.0051*** -0.0248*** 0.0025*** -0.1109*** 1.15E-05 ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.385?^ -0.1650*** 0.0011 ?] 0.000?^ 0.1529*** ?] 0.002?^ 0.7144*** ?] 0.000?^ ?] 0.000?^ 0.0005*** ?] 0.000?^ -0.0060*** ?] 0.000?^ 1.0026*** ?] 0.000?^ -0.0002*** ?] 0.000?^ 0.0031*** ?] 0.000?^ -0.0005*** ?] 0.009?^ -0.0007*** ?] 0.000?^ 0.0002 ?] 0.129?^ NA -0.0037*** ?] 0.000?^ 0.947 54 0.900 66 0.929 176 0.871 231 0.912 82 0.876 310 0.890 156 0.872 124 0.918 274 R2 0.790 348

0.9124*** 0.0208*** ·L?P¤@ ?] 0.000?^ ?] 0.000?^

0.8500*** 0.0250*** -0.0170*** -0.0245*** 0.0052*** 0.0112 -8.66E-05 ·??R¤@ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.301?^ ?] 0.289?^ 4.7387*** 0. 0672 -P-Z¤@ ?] 0.004?^ ?] 0.233?^ -0.0835*** -0.0145*** 0.0108*** -0.9051*** -0.0003*** ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.003?^

0. 4157*** 1. 7567*** -0.0342*** -0.052*** ????¤@ ?] 0.028?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^

0.1733*** 0.1015*** -5.24E-05*** 0.3613*** ?] 0.000?^ ?] 0.000?^ ?] 0.237?^ ?] 0.000?^ 0.7256*** ?] 0.000?^ -0.0410 ?] 0.944?^ 0.8599*** ?] 0.000?^ 1.0305*** ?] 0.000?^ NA

-0.8516*** 0. 0178*** -0.0128*** -0.0207*** 0. 0066*** 1814*** 8.94E-06 ???q¤@ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.199?^ -6.9972*** -0.2147*** NA ¤O¤s¤@ ?] 0.000?^ ?] 0.000?^ 0.0005 1.0102*** 1.1099*** -8.71E-05

?] 0.8698?^ ?] 0.000?^ ?] 0.000?^ ?] 0.742?^

-0.2155 0.01167*** -0.0070*** -0.0156*** 0.0037*** -0.0043* 3.36E-06 ???±¤@ ?] 0.109?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.058?^ ?] 0.872?^ 3.5470*** 0.0821*** -0.2250*** -0.0146*** -0.0037*** -0.0521*** -4.71E-05 ?S¤O¤@ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.436?^ 0.7691*** 0.0461*** NA ???ú¤@ ?] 0.000?^ ?] 0.000?^ 1.8305*** 0.05941*** NA ????¤@ ?] 0.000?^ ?] 0.000?^ -0.0084*** 0.0012*** -0.6306*** -0.0001*** ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ -0.8951*** 0.0069***

-0.0270*** -2.69E-05 ?] 0.000?^

?] 0.715?^ ?] 0.000?^ ?] 0.000?^ 58

?]?ò?^?í

5-5 ????§??C°j?k??
?????q ?O???÷?¨?? ?M§Q¤é?? ¤@????§? ?????á ?[??-? ???? AR(1) R2

?W??

±`??

?????ù?? ?à???ù?? ??¨é?ù??

?M§Q???? §Q?v

0.2329 0.0295*** NA ???F¤@ ?] 0.316?^ ?] 0.000?^ 0.2649*** 0.0828*** NA °?§?¤@ ?] 0.000?^ ?] 0.000?^ ?ò?a¤@ 0.2589 0.0847*** NA

-0.0261*** 0.0037*** -0.1637*** ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ -0.0212*** -0.0015*** 0.136 ?] 0.000?^ ?] 0.000?^ ?] 0.347?^ -0.0201*** -0.0012*** -0.0633 ?] 0.000?^ ?] 0.001?^ ?] 0.709?^ -0.0162*** 0.010*** -1.3553***

-5.21E-07 ?] 0.974?^ 1.83E-05 ?] 0.200?^ 1.00E-05 ?] 0.530?^

NA

0.0011*** ?] 0.000?^

0.885

106

NA

0.0003*** ?] 0.003?^

0.900

96

NA

0.0002

0.7126***

0.965

52

?] 0.636?^ ?] 0.000?^

?] 0.852?^ ?] 0.000?^ -0.0162*** ?] 0.000?^ NA 0.0033*** ?] 0.000?^ NA -0.0003*** ?] 0.000?^ NA -0.0012 0.7961*** 0.990 70 0.886 66 0.940 101 0.920 61

1.9503*** 0.0886*** NA ?R?O¤@ ?] 0.000?^ ?] 0.000?^ ·?°a¤@ -0.0797*** 0.0240*** NA ?] 0.202?^ ?] 0.000?^

-2.33E-05*** NA ?] 0.028?^

?] 0.000?^ ?] 0.000?^ ?] 0.000?^

-0.0100*** -0.0006*** -0.01344*** -1.21E-06 ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ -0.0195*** 0.0013*** -0.0986*** ?] 0.000?^ ?] 0.000?^ ?] 0.000?^ 0.0196*** -0.0021*** 0.0036 ?] 0.000?^ ?] 0.000?^ ?] 0.976?^ -0.0099*** 0.0002 0.1288* ?] 0.881?^ 2.39E-05* ?] 0.066?^ 8.50E-05 ?] 0.497?^ -4.59E-05 ?] 0.271?^

0.0161 0.0170*** NA ?°?§¤@ ?] 0.879?^ ?] 0.000?^ 0.3503 0.0822*** NA ?M??¤@ ?] 0.360?^ ?] 0. 000?^ -1.3796*** 0.0539*** NA ?d??¤@ ?] 0.000?^ ?] 0.000?^

?] 0.315?^ ?] 0.000?^ NA -0.0010** ?] 0.037?^ 0.978 53

?] 0.002?^ ?] 0.229?^ ?] 0.059?^

?ù1?G?A??¤??????r?° p -??F?ù§????w¤U?A * ?B**?P***¤?§O?N?í?b 10%?B5%¤?1%¤?·?¤U?????C ?ù2?G°?¤F ?ò?a¤@?B?M??¤@¤??d??¤@?H OLS¤è?k?~?A¨??l°j?k??????¨????§?è±??ó???§???{?H?A°j?k?Y?????O?H GARCH(1,1)??-p??±o?C ?ù3?G°j?k????¤§Adjusted R2?O?B?? OLS???O?g?? Cochrane-Orcutt-×????§?????¤§?á??±o?C ?ù 4?G NA ?í??????¤¤???????ó??¨s????¤????L??°??C

59

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5-6?C

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????
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?z?×?w?ú¤è?V ?? ?? ?? ?? ?? ?? ?H ?H ?H

???_-±?ê???ê?????G ?? ?? NA ?? NA NA ?? NA NA

????§??C?ê???ê?????G ?? ?? ?? ?? ?? ?? ???B???U?b ?? ??

?ù1?G NA?N?í???????L?????v?T??¤??b°j?k????¤¤?C ?ù2?G?u???v?í???V?????A?u???v?í-t?V?????A?u?H?v?í?L¤@?w????¤è?V?C

??¤W??-z?A?L?×?O?N???_-±??????§??C¤??R???ê?????G?A?M§Q?????P?M§Q?b?? ?S??§e?{???????C¨??P?w?????G¤???¤§?i?à-ì?]?P§??ê?????°?????C¤@??§??ê??·| ¤????`·N§Y±N?i?H?i???à?????i ?à???A¤@¤è-±?????à?????????Y?u?A?i???-?ò§Q¤F

???A???i??¤??÷·|?¨???A?G§??ê??·|???n·?±q¨??M§Q??§@?A¨?±o?M§Q???S?????A?? -P?M§Q?????P?M§Q???S§e?{???????C

??¤T?` ??¨é?^??-·?I ?b??¤T????¨ì?A±q¨??i?à??¤§?M§Q??§@¨??D§????L-·?I?A?]?°?b?M§Q?y?{¤¤?A ?·??¨é???X?????????C-Y?ó?M§Q????¤??Q-???¨é?^???A?K·|?}?a-ì?????M§Q???°?A ¨?±o-ì???ê?w???M§Q???S?L?k?F?¨?A?W?[?M§Q???°-·?I?A?G?z?פW§??ê¤H??¤????V

60

?ó????¨é?^??-·?I????±q¨??M§Q??§@?C?]??????¨é?^??-·?I???????M§Q?÷·|¤????? ?i?à·|?]?°§??ê¤H??±q¨??M§Q??§@??¤j?ó?L??¨é?^??-·?I???? ?C

?í5-7?P???C?X???B?L??¨é?^??-·?I???????-§??M§Q?b???S¤??M§Q?W?v?A???? ?í?i?o?{???¤¤K??§????L?M§Q?W?v??????¤U?A¨?¤¤?u??·L?P¤@?B ?ò?a¤@?B·?°a¤@?B ?M??¤@¨?¨??????? ?-§??M§Q?b???S¤??M§Q?W?v ???X?z?×??±??ú?A???°?§¤@?B ???ú¤@¤? §O ?????b?-§??M§Q?b???S?B?M§Q?W?v¤W???X?z?×±??ú?F??¤U???|?? ·??R¤@?B?S¤O¤@?B °?§?¤@?B?d??¤@?L?×?b ?-§??M§Q?b???S???M§Q?W?v¤W???P°??]±??פ????C?i¤@¨B?? ??¨????-§??M§Q?b???S?? t???w¤? MWW???w???G?A?????b 10??????¤¤??5??¨?t???w ¤?MWW???w???G??§e?????A§Y?í???? 5??????¨é?^??-·?I???????-§??M§Q?b ???S ?????§?ó?L??¨é?^??-·?I???????-§??M§Q?b???S?C?b§e?????? 5??¤¤·L?P¤@?B ?ò?a ¤@?B·?°a¤@?B?M¤O¤@¤@?O???X?z?×±??ú???F?S¤O¤@¤????X?z?×±??ú?A?G?L?k±??_?? ¨é?^??-·?I¨??i?à?????M§Q?÷·|¤??M§Q?????W?[?C

???|?` ¤p?? ?g?ê?????G?o?{?A?ù??¤??¨??????¨????M§Q?÷·|?A¨?¤¤¤-???b??¨s????¤??M§Q ?b???S??¤¤?ì???°?????A?B?S¤O¤@?????X?{?~???S°??F 131.64?H???M§Q?÷·|?A???? ?i?à???T?ê?s?b??¤@?w?M§Q¤?·??A±??????L?h¤??m???ê?????G?A¤??×?O?b?M§Q?W?v ???M§Q?b???S¤W?A???ú??¤p?ó?L?h¤?·??C?i¤@¨B???i?à?????????v??§@???w?A¨??? ?G±??_?i?à???????°?L???v?????C ?i?à???M§Q?b???S???v?T?????A±q???_-±?ê????°j?k¤??R???G?o?{?A?????-§? ?ù???B?-§??à???ù???B?-§??M§Q????¤??-§??M§Q¤????|-??????A???-§??M§Q?b???S ???????v?T ?A???????s???°?????-§??ù??¤??-§??M§Q?????P?-§??M§Q?b???S§e?? ?V?????F?-§??à???ù??¤??-§??M§Q¤????h§e-t?V?????A¨?¤¤?????-§??ù??¤??-§??à ???ù??§e?????B?v?T¤è?V???P·¨??¤??]1999?^?ê?????G¤@-P?C±q????§??C?ê????°j ?k¤??R?o?{?A¤K-?????¤¤°??à???ù?????M§Q?b???S?b 18??????¤¤??§e-t?????~?A¨?

61

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2000?^??¨s?o?{?M§Q????¤??O???÷?¨???P?M§Q?b???S?????s????¤?¤@

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?í 5-7 ???{???L??¨é-·?I???M§Q???????v?T
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?-§????S?v
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?M§Q?X?{?W?v ????¨é?^?? ?L??¨é?^?? -·?I???? 25.18?M 23.00?M 0 0 0 0 0 33.65?M 8.33?M 0 0 60?M 100?M 0 100?M 0 100?M 9.09?M -·?I 23.92?M 28.16?M 0 0 0 0 0 93.05?M 0 0 0 98.84?M 83.33?M 0 53.93?M 17.86?M 55.56?M 59.52?M ?? 3.5919 * * ?? 2.2514 * * ?? 7.7261 * * 1.1143 1.0541 ?? 4.0545 * * 0.3948 ?? 13.2466 * * ?? 3.7210 * * ?? 4.9954 * * 1.1764 1.4732 ?? 5.2580 * * ?? 3.0075 * * ?? 3.7612 * * 0.0700 ?? 2.6164 * * 0.4787 2.9656*** 1.4530 7.3014*** 0.7910 0.5425 0.7472*** 0.1341 10.0349*** 1.3396 3.2019*** 1.2613 1.4092 4.3754*** 3.1046** 3.9516*** 0.8316 2.4277** 1.7655* t -? MWW -?

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62

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?M§Q?O¤@???L?·¨?????§??ê?÷?B?L-·?I???ò§Q?L?{?A?z?פW????¤??s?b?A±??L ?h¤??m?o?{?i?à???????T?ê?s?b??¤@?w¤?·?¤§?M§Q?÷·|?A???????x§ó¤j?v??§j§??ê ??±q¨??i?à??¤§?M§Q?i?ò±o?×?p???S?C???~¨??F???°?ò-×???U???k?W?A?]?A?} ???~ ?ê§??ê°ê¤??i?à??¤??q???B¤W??¤??q?o??¤§?à??¤??q??±o¤W?d????¨??i±q¨???±??ó ????¤??ê???????????B¤? 90?~??¤??q?k-×?? … ???A??-P?{?????÷??????¤?±??ó?P?L ?h¤j?°¤??P?A????¨s±????R¤J?i?à???B???????????q??¤§?R?A???¤?A?????ê?????? ???y?{?A???? 89?~°_¤W??¤??q?o?????b?±?Y?????R?????i?à???°??¨s???H?A?@ 18 ¤??????i???ê??¤??R?A?H??¤F?????e?x?W?i?à???????O§_¨????s?b???M§Q?????C?g ?ê??¤??R???G?A???e?i?à???????T?ê?s?b?M§Q?÷·|?A???ú?p¤U?G 1.?b18??????¤¤?A¨?¤¤??10???X?{?M§Q?÷·|?F¨?¤¤?? 5???M§Q?W?v?W?L¤-?¨?H¤W?C 2.?M §Q?b???S??¤¤?ì???????A??¤-?????????M§Q???S?A¨?¤¤?S¤O¤@?????X?{?~?? ?S°??F131.64?H???M§Q?÷·|?C 3. ?-§??M§Q?b???S??°????A?M§Q?b???S?°?????W?v???????á°??A?í??¤@?w¤?·? ¤§¤W???M§Q?÷·|¤?¤??C ?b???v????¤U?A?M§Q?÷·|·|?H?????÷?à???????????A¤W-z?M§Q?ê?????G?O¤H?? ?x?W?i?à???????????v???????è???C????¨s?i¤@¨B????·í???????ù¤j?ó?à???ù?? ???A?i?à?????ù?O§_?à§???¤???¨??à???]¤?§t?^?ù-??C±??i?à?????ù?°???????A?à ???ù-??°??????°?°j?k??¨????w???????Y???O§_?°¤@?A???G?????Y???°¤@¤§°??]?A ?????à???ù-???§???¤??M?b?i?à?????ù¤W ?A?]??±??w?x?W?i?à??????¤?¨????v???C ¤F???i?à?????????M§Q????¤????v???á?A??¤??i¤@¨B±?°Q????????¤???¨é?^??-·?I ???M§Q?b???S???v?T?A?÷±N???G???ú?p¤U ?]¤@?^???????????M§Q?b???S???v?T

63

??¤?¤?§O?i?????_-±¤?????§??C?ê??¤??R?A???_-±?ê??¤??R§Q????¤p?-¤è?k ¨D?X°j?k?????A????§??C?ê???p¨?

GARCH???G?A±? GARCH?] 1,1?^?k?F-Y¤?¨?

GARCH???G?A?h§Q????¤p?-¤è?k¨D?X°j?k?????A¨????G?p¤U?G 1.???_-±¤??R?o?{?????-§??ù???B?-§??à???ù???B?-§??M§Q????¤??-§??M§Q¤??? ?|-????????-§??M§Q?b???S???????v?T?A¨?¤¤?????-§??ù??¤??§??M§Q?????P ?-§??M§Q?b???S§e???????F?-§??à???ù??¤??-§??M§Q¤????h§e?{-t?V?????C 2. ????§??C¤??R?o?{?A?b?U??????°j?k??¤¤?A???M§Q?b???S?v?T§e????¤§???? ¨?¤????P?A¨?¨??b?U????§e????¤§¤?¨?¤j¤p?C???A??¤j?°?à???ù???A???°???? ???ù?B??¨é?ù???A?H¤U¨?§??°?M§Q?????B?O???÷?¨???B§Q?v¤??M§Q¤????A???? ?q§e????¤§¤?¨???¤p?C¤K-?????¤¤°??à???ù?????M§Q?b???S?b 18??????¤¤??§e -t?????~?A¨??l???????U?????????v?T¨?¤?¤@-P?A¨?¤¤?????????ù???B?M§Q?? ??¤??O???÷?¨???D-n§e???????F??¨é?ù???B§Q?v?B?????q?D-n§e-t?????F???? ¤?????-t?V?v?T?U?? ¤@?b?C ?]¤G?^??¨é?^??-·?I???M§Q?b???S???v?T ????¨s±N????¤¤?U??¨?????¤??¨????¨é?^??-·?I¤??L??¨é?^??-·?I¨????? ???A-p???X???L??¨é?^??-·?I¤U-?§O???-§??M§Q???S¤??M§Q?W?v?A¨?±??? t???w ¤?MWW???w?A¨?¤F??¨????????M§Q???S?O§_?????t?§?C???G?o?{?b 18??????¤¤ ??6??¨?t???w¤? MWW???w???G??§e?????A§Y?í???? 6??????¨é?^??-·?I???????§??M§Q?b???S?????§?ó?L??¨é?^??-·?I???A??§e?????? 6??¤¤?A·L?P¤@?B ?ò?a¤@?B ·?°a¤@?B-P-Z¤@?O ????¨é?^??-·?I???????M§Q?÷·|¤?????¤j?ó?L??¨é?^??-·?I?? ???F?S¤O¤@¤?????¤@?o?O ?L??¨é?^??-·?I?????M§Q ?÷·|¤?????¤j?ó????¨é?^??-· ?I???? ?A?G?L?k±??_??¨é?^??-·?I¨??i?à?????M§Q?÷·|¤??M§Q?????W?[?C

??¤G?` ??¨s???? ±q?ê?????G±o???x?W?i?à???????T?ê?s?b???M§Q?????A?B?-§??M§Q?b???S??°?

64

??¨??M§Q?b???S?°?????W?v???????á°??A?í??¤@?w¤?·?¤§¤W???M§Q?÷·|¤?¤??C°ê¤? ¤T¤j?k¤H¨??W?w¤??à?i????¨é?????A?G?k¤H?L?k±q¨??R¤J?i?à???A???????????q?? ¤§?M§Q???¤?A??¤@??§??ê¤H?p?G?à?R¤?¤F???i?à?????è?B?M§Q?y?{¨??H???`·N¤??q °??A¤????q?M§Q-·?I?A?i?à??¤????°¤@?n??§??ê¤u¨??C??¨ú§??ê?M§Q????¤è-±?A?i ?H?S§O?`·N???????q?????ù??°??B?à???ù????§C¤§ ?i?à???C?B-Y§??ê¤H¤w?ù???i?è

??·í?O???÷¤§??¨é???A?h?L???A¤??I???§?ê?÷?A?M§Q???S?]??·|??§ó¨??í?{?C

???ó?F????¨??A?°?ò±?°????U???F???T?ê????¤??M§Q????¨??????????÷?à§ó?F ??¤§???G?A±??|???à¨??i?à???????¨?°¤@???v?????A¨?¤¤???ó±N°±¤??L¤á¤é???e?? ???F·|?}·|?e¤?¤Q¤?¤§-×???A??-P?M§Q??§@¨ü--¤?·s?q?L?????{???v¤??q???P?i?à ??¨?°??×-??|???A¨????ê?è¤W???F???n·????y§ó§????B§ó¨????v?????÷??????¤§?? ·N???????H-I?C ??°ê91?~3¤?29¤é?A????·|??????§G¨ú???v§Q?à???????A·s?o?????i?à??¤??q ???i?H??±??à???¨???q???A??¨??v§Q?à??????±N ?¨?°?ú?v?W?ü?A???i?à??????¤??i ?à?????M§Q??§@¤S±N????????????¤??A?á?ò??¨s?i?i??°l??±?°Q?C

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????

A

???í 1
?????W??

???_-±°j?k???@?u???B???§????¤@?????w???G
?N?? ?@?u?????w ?] VIF -??^ °j?k?????§??¤???¤@???w T * R 2 -??]?÷?v-??^ 17.0699 ?] 0.252?^

°j?k?????G Yi = a + b1 X 1 i + b2 X 2 i + b3 X 3i + b4 X 4 i + b5 X 5 i + b6 X 6 i + b7 X 7 i + ε

???????q???-§????ù ?-§??à???ù?? ?i?à???-§????ù ?-§??M§Q???? ?-§??????q ?-§?????¤??? ?????i°??v

X1 X2 X3 X4 X5 X6 X7

7.546 8.157 1.883 2.604 1.417 2.474 1.711

?ù 1?G VIF??10 ¨??@?u???A VIF??10 ¤?¨??@?u???G??°j?k??¤§?????????i?O?d?C ?ù 2?G???§??¤???¤@???w±? White Heteroskedasticity Test?A¨???-p?q?A±q χ

??°τ?Φ?Σ Pr (χ2 > 17.0699) = 0.252 > 0.05 ?Α ←Γ±∝??∝?∝Λ°″≥]?Γ÷?°??κ…???∝Λ?υ⊕?″?…??≤≈???? ? ? Χ
2

66

???í

2 ?U °j?k?????~?t?????§¤§ GARCH ???G???w
????§??C??°j?k?? ???????v?????w°j?k?? T * R 2 -??]?÷?v-??^ 118.3970*** ?] 0.000?^ 274 124 156 310 82 231 176 66 54 106 96 52 61 101 66 70 53 927.6959*** ?] 0.000?^ NA NA NA NA NA 686.3094*** ?] 0.000?^ NA NA NA 56.0529*** ?] 0.000?^ 0.9542 ?] 0.334?^ NA 63.1765*** ?] 0.000?^ 0.6656 ?] 0.419?^ 6.4059*** ?] 0. 014?^ 11.7400*** 72 45 50 43 96 48 172 138 ?????? 137

?W?? ·L?P¤@ ·??R¤@ -P-Z¤@ ????¤@ ???q¤@ ¤O¤s¤@ ???±¤@ ?S¤O¤@ ???ú¤@ ????¤@ ???F¤@ °?§?¤@ ?ò?a¤@ ?R?O¤@ ·?°a¤@ ?°?§¤@ ?M?? ¤@ ?d??¤@

T * R 2 -??]?÷?v-??^ 882.39999*** ?] 0.000?^ 91.9252*** ?] 0.000?^ 315.5563*** ?] 0.000?^ 152.6841*** ?] 0.000?^ 505.7701*** ?] 0.000?^ 38.8664*** ?] 0.000?^ 604.6322*** ?] 0.000?^ 332.6796*** ?] 0.000?^ 19.6622*** ?] 0.000?^ 17.6181*** ?] 0.000?^ 75.0988*** ?] 0.316?^ 32.9541*** ?] 0.000?^ 0.3449 ?] 0.560?^ 26.8644*** ?] 0.000?^ 33.4980*** ?] 0.000?^ 22.0514*** ?] 0.000?^ 1.6171 ?] 0.208?^ 0.4718

?????? 348

?] 0.496?^ ?] 0.001?^ ?ù1?G *?B**¤?***¤?§O?í???b????¤?·??]?\?^ 10%?B5%¤?1%¤U?????C ?ù2?G GARCH (1,1)¤§LM???w????-p?q?A±qχ
2

??°τ?Φ←Γ?? Pr (χ2 f 17 .0699) p α

???A?h?????ê?L°??]?A??°j?k????¨?GARCH???G?C

67

°???¤??m

¤@?B¤¤¤???¤?
1.¤B???z?A??°ê 80?~?A ?i?à??¤??q??¤§?w?ù--?x?W?a°????ê????¨s ?A???q¤j???? ?z?ì????¨s?????X??¤h?פ??C 2.¤??z???A ??°ê90?~?A ?x?W?o?i???{???v¤??q??¤§±?°Q ?A ¤¤??¤j????·~???z??¨s ?????X?? ??¤h?פ??C 3.§f?????A?? °ê90?~?A ?x?W?i?à??¤??q???????M§Q¤§??¨s ?A ???°¤j????·~???z?? ¨s?? ???X?? ??¤h?פ??C 4.¨H?????A?? °ê84?~?A ?????v§Q?????M§Q?÷·|¤§??¨s ?A¤¤??¤j??°]°??÷????¨s?? ???X?? ??¤h?פ??C 5.§??????A??°ê85?~?A ?H??--?t¤??k?????i?à??¤??q?ù?? ?A¤¤¤s¤j??°]°????z?? ¨s?????X????¤h?פ??C 6.?L???¨?A??°ê87?~?A ?i?à??¤??q??¤§?w?ù?P?ù?ù±?°Q ?A °ê??¤¤??¤j??°]°??÷?? ??¨s?????X??¤§??¤h?פ??C 7.°?±R¤??A?? °ê87?~?A ?M¨????°¤??R?P§Q?í-p?? —?H§??ê°ê¤???¨é?????v???° ¨??A?F§d¤j????·~???z??¨s?????X?? ??¤h?פ??C 8.?\???w?A?? °ê89?~?A ?u???w?i?à??§??ê???¤¤?¨?-·?I¤??R(¤@ )???????g?v?A ·| -p??¨s¤??Z?A?? 180???A-? 139-143?C 9.?\???w?A?? °ê89?~?A ?u???w?i?à??§??ê???¤¤?¨?-·?I¤??R(¤G )?v?A ·|-p??¨s¤? ?Z?A?? 181???A-? 107-112?C 10.±i?Q???A?? °ê90?~?A?u¤??q?k-×?????à??¤??q??????¤§?v?T?v?A ¤j????¨é?? ?Z?A?? 6???A-? 12-24?C 11.??¤h???A ??°ê84?~?A ?i?à??¤??q?????ù¤§??¨s ?A¤¤??¤j??°]°????z??¨s???? ?X????¤h?פ? ?C

68

12.???Q?n?A??°ê 81?~?A ??????¨D?v??-?¤??R????¤§??¨s --°ê¤??i?à??¤??q?????ù ¤§?ê???A?x?W¤j??°?????¨s?????X????¤h?פ? ?C 13.?-?^???A ??°ê87?~?A ?i?à??¤??q?????????v??¤§??¨s ?A ¤¤??¤j??°]°??÷???? ¨s?????X????¤h?פ??C 14.???F???A?? °ê88?~?A °ê¤??i?à??¤??q???o??±??ó?P?M§Q?÷·|¤§??¨s?A¤¤¤s¤j ??°]°????z??¨s?? ???X?? ??¤h?פ??C 15.???T???A?? °ê87?~?A ?i?à??¤??q??¤§?M§Q??¨s ?A?x?W¤j??°]°??÷????¨s???? ?X?? ??¤h?פ??C 16.·¨??¤??A ??°ê87?~?A ?i?à??¤??q???z?×?ù-??P?ê???ù???t?§¤§???°¤??R ?A?? ?q¤j?? ?g?????z??¨s?? ???X?? ??¤h?פ??C 17.?H??·??A??°ê 85?~?A °ê¤??à??¤??q?????ù?A??¤?¤j???÷????¨s?????X????¤h ?פ??C 18.?G?E?f?A ??°ê85?~?A ?i?à??¤??q????¤G???÷?v???ù?????A°ê??¤¤??¤j????-p ????¨s?????X????¤h?פ??C

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