台灣塑膠產業獲利因素之研究

A Study on The Factors of Profitability for Taiwan Plastic Industry

林馨雅(Shin-Ya Lin)

指導教授 ： 洪仁杰

國立屏東科技大學/管理學院/財務金融研究所/碩士(2007年)

摘要

在資本市場中，股票一直是投資人最常使用的投資工具之一，每個投資人均希望能藉由一些訊息在股市獲取超額報酬，長久以來一直是投資人及財經學者深入研究的課題。本研究以上市塑膠工業六家為其研究對象，選取1996至2007為研究期間。首先，利用單根檢定ADF、共整合或VAR向量自我迴歸和Granger因果關係檢定統計方法分析，探討獲利能力對股價報酬率的影響。最後，進一步以迴歸分析探討影響獲利能力的因素。經由實證本研究歸納結論如下二點：

1. 經由Granger因果檢定顯示塑膠產業獲利能力對股價報酬率有單向的因果關係。因此，獲利能力會影響股價報酬率的創造。所以，獲利能力可說是評估塑膠產業股價報酬率的良好指標。

2.償債能力因素和成長性因素塑膠產業主要影響獲利能力的因素。

關鍵詞：單根檢定、共整合、向量自我迴歸、Granger因果關係檢定、迴歸模型

關鍵字

單根檢定 ； 共整合 ； 向量自我迴歸 ； Granger因果關係檢定 ； 迴歸模型

並列摘要

Investors prefer to use the stock as one of the important investment instruments in the capital market in Taiwan. Most investors expect to earn excess returns by available news in the stock market. This issue has been studied by economists and the investors for a long time. This study employs the ADF,cointegration,VAR and Granger Causality test to study the relationship between stock returns and profitability of six plastic companies listed in Taiwan stock exchange between 1996 to 2007 The empirical results show that :

1.Profitability uranger cause stock returns,thus the profitability is a good signal of stock returns for plastic companies.

2.Payback and growth factors are important to profitability.

Keywords: Unit Root, Johansen’s Cointegration method, VAR, Granger’s Causality Test, Regression model

並列關鍵字

Unit Root ； Johansen’s Cointegration method ； VAR ； Granger’s Causality Test ； Regression model

參考文獻

Barker, S. H., 1973, “Risk, leverage, and profitability: An Industry Analysis”,The Review of Economic and Statistics,Vol.55 No.4, pp.503-507.

Martikainen, T., 1993, “Stock return and classification pattern of firm-specific financial variables: empirical evidence with finish data”, The journal of Business Finance and Accounting, Vol.20 No.4, pp.537-558.

Nikhil, V. and Roger A., 1987, “The relationship between growth, profitability, and Firm Value”, Strategic Management Journal, Vol.8 No.5, pp.487-497.

Philip, L. C., Rodney, L. R., and Noval, K. M., 1978, “Interdependence of Market Risk Measures”, Journal of Business, Vol.50 No.3, pp.356-369.

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