政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/5075
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    Title: 外資、投機行為與股市不穩定性
    Other Titles: Foreign Capital, Speculation and Equity Market Volatility
    Authors: 朱美麗
    Keywords: 外資;投機行為;股市不穩定性
    Foreign Capital;Speculation and Equity Market Volatility
    Date: 2001
    Issue Date: 2007-04-18 18:27:22 (UTC+8)
    Publisher: 臺北市:國立政治大學經濟學系
    Abstract: 本文建構一涵蓋外資理性投機的股票市場隨機模型,分析外資投機行為對股市穩定性的影響,研究結果發現:理性的外資投機者風險偏好增加,是否會降低股價的條件變異數,與突發性衝擊是否會影響外資所欲持有的最適股票資產的數量有關。突發性衝擊發生時,若外資所欲持有的最適股票資產數量不變,則因股價偏離長期均衡值所導致的短期投機行為,反而有助於股市的穩定性;但若其所欲持有的最適股票資產數量會改變,則外資的參與就可能會擴大股市的波動。此外,本文也將資本管制引進此一股票市場隨機模型,探討資本管制的影響,發現由於外資的參與可能穩定、也可能擴大股市波動,因此是否應採取資本管制,亦與突發性衝擊是否會導致外資調整其所欲持有的最適股票資產數量而定。
    This paper sets up a stochastic model of the equity market with foreign rational investors to investigate whether foreign capital stabilizes or destabilizes the local equity market. The finding is that an increase in foreign speculators' taste for risk may decrease or increase the conditional variance of the equity price depending on whether an unanticipated disturbance will change the desired holdings of equity assets held by foreign speculators in that period. If the desired optimal holdings of equity assets are unchanged, then the foreign speculators stabilize the local equity market. However, if the desired optimal positions of equity assets have to be adjusted, the speculative foreign capitals may lead to a more volatile local equity market. Thus, the developing countries should be very careful if they attempt to take control over foreign capitals. Capital controls can be justified sometime, but may not be right all the times.
    Description: 核定金額:634200元
    Data Type: report
    Appears in Collections:[Department of Economics] NSC Projects

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