應用Cascaded Logistic Model與Absorbing Markov Chain推估與驗證中國上市公司企業危機時程之研究

A Study of Applying the Cascaded Logistic Model and Absorbing Markov Chain on Estimation and Validation of Enterprises Distress Time of Listed Companies of PRC

周百隆(P. L. Chou) ； 盧俊安(C. A. Lu)

《危機管理學刊》 3卷2期 (2006/09) Pp. 47-58

https://doi.org/10.6459/JCM.200609_3(2).0006

摘要

本研究以中國上市公司之上海和深圳證券交易所之A股為研究對象，以cascaded logistic model建構財務危機預警模型，並以absorbing Markov chain推估危機時程，預測企業由發生危機到退市與發生危機到恢復正常交易所需的時程。本研究先以cascaded logistic model所估計出的機率，將公司分為五群，應用absorbing Markov chain求算ST公司退市或撤銷ST前，停留在ST股的時間。本研究發現在推估撤銷ST公司部份，absorbing Markov chain對於停留時程的估計有一定的準確率。在估算退市公司部份，考量危機機率分佈狀況之模型對於退市公司停留時程之估算有較好的效果。

關鍵字

A股 ； 企業危機 ； 特別處理公司

並列摘要

The paper uses the companies of the A-share in the stock market of Shanghai and Shenzhen as a sample. And uses Cascaded logistic model to construct prediction model and uses absorbing Markov chain to estimate enterprises distress time. The research uses cascaded logistic model to estimate probability and uses the probability to classify five groups and applies absorbing Markov chain to estimate enterprises distress time. The research finds uses absorbing Markov chain to estimate distress time is good.

並列關鍵字

A shares ； Enterprises Distress ； Special Treatment Company

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