公司每股盈餘與股票價格之關聯性研究－以台灣上市化學公司為例

NHUIR > College of Management > Department of Business Administration, Master/Ph.D Program in Management Sciences > Disserations and Theses(Master and Doctoral Program in Management Sciences) > Item 987654321/22910

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Title:	公司每股盈餘與股票價格之關聯性研究－以台灣上市化學公司為例
Other Titles:	A STUDY ON THE RELATIONSHIPS BETWEEN COMPANY EARNINGS PER SEARE AND STOCK PRICES FOR TAIWAN'S PUBLICLY LISTED CHEMICAL COMPANIES
Authors:	張家容 Chang, Chia-jung
Contributors:	管理科學研究所丁誌魰 Chih-wen Ting
Keywords:	GRANGER因果;ADF單根檢定;每股盈餘;股價 Granger causality test;earnings per share;stock prices;Augmented Dickey-Fuller Test
Date:	2007
Issue Date:	2015-08-07 14:53:47 (UTC+8)
Abstract:	在投資股票的課題上，投資人必須重視其投資公司的每股盈餘獲利能力；而在股票市場裡，公司每股盈餘是否能夠快速反應於股票價格上，又如何依據公司每股盈餘的財務資訊，建立出幫助投資人做為決策時的投資依據，便成了一個很重要的議題。　　　一家公司股價的高低常可反映該公司營運情況的好壞，本研究實證期間為民國八十九年至九十三年，以台灣股票上市公司的化學業為研究對象，透過ADF單根檢定（Augmented Dickey-Fuller Test）遞延期數、向量自我迴歸和Granger因果關係分析模型等，使用EViews5軟體分析出台灣的股票價格與公司每股盈餘等變量間的關聯性。1.由衝擊反應分析可知，各個變量分別發生自發性干擾時，以第一期之影響最為顯著，其後立即減落並趨於緩和。2.由GRANGER因果關係檢定及變異數分解之結果顯示，盈餘與股價之影響方向，因公司而異，而以獨立關係居多、盈餘影響股價次之、而以股價影響盈餘和回饋關係最少。　　In investment stock studies, the investor must take its investment company earnings per share profit ability; in the stock market, whether the company earnings per share can be rapid reflected in the stock prices, and based on company earnings per share financial information, which establish an investment data for investor as their decision-making tool, so it a very important subject.A company stock price often may reflect the company’s operation status, this research shows that during the time from 2000 to 2005, use Taiwan’s stock in chemical firm as an example for purpose of study, according to ADF (Augmented Dickey-Fuller Test), Granger causality test, VAR Model, cointegration test, variance decomposition and impulse response, and use EViews5 to analyze the connection Taiwan’s stock prices and Earnings Per Share.　　　From the impact response analysis, when each variable has separate the spontaneous disturbance, by the first issue of influence is most remarkable, after that its reduce immediately and tends to back to normal.　　　Result of demonstration by GRANGER of causal relation examination and variance decomposition shown that, Influence direction of the earnings and stock price, depends on different companies, therefore most are in the individual relation, the earnings influence the stock price, the influence of earnings on stock price and the back coupling relations are least.
Appears in Collections:	[Department of Business Administration, Master/Ph.D Program in Management Sciences] Disserations and Theses(Master and Doctoral Program in Management Sciences)

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