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# 各個迴歸模型之 EViews 實證結果

## 第六章 研究結論與政策建議

### C、 各個迴歸模型之 EViews 實證結果

Dependent Variable: SQR Method: Least Squares Date: 06/08/14 Time: 17:06 Sample (adjusted): 1979 2013

Variable Coefficient Std. Error t-Statistic Prob.

C 0.323971 0.092323 3.509108 0.0017

DSQN 1.96E-05 4.94E-06 3.958005 0.0005

SWR -0.208788 0.084603 -2.467853 0.0205

UR -2.555841 0.678401 -3.767448 0.0009

URSD 0.270487 3.758383 0.071969 0.9432

DPCGDP -7.49E-08 4.57E-07 -0.163991 0.8710

DTAIEX 1.04E-06 4.19E-06 0.247387 0.8066

TAIEXV 0.084082 0.044403 1.893596 0.0695

T 0.003289 0.001251 2.630096 0.0142

R-squared 0.704008 Mean dependent var 0.074819

Adjusted R-squared 0.612933 S.D. dependent var 0.041637 S.E. of regression 0.025904 Akaike info criterion -4.251785 Sum squared resid 0.017447 Schwarz criterion -3.851839 Log likelihood 83.40624 Hannan-Quinn criter. -4.113724

F-statistic 7.730011 Durbin-Watson stat 1.791156

Prob(F-statistic) 0.000029

Dependent Variable: SQR Method: Least Squares Date: 06/08/14 Time: 15:03

## ‧

Variable Coefficient Std. Error t-Statistic Prob.

C 0.346580 0.086272 4.017300 0.0005

DSQN 2.23E-05 4.62E-06 4.830269 0.0001

SWR(-1) -0.233729 0.079587 -2.936778 0.0070

UR(-1) -2.079830 0.668028 -3.113389 0.0046

URSD(-1) -1.139808 3.523765 -0.323463 0.7490

DPCGDP(-1) -4.49E-07 4.48E-07 -1.001803 0.3260

DTAIEX(-1) 8.31E-06 3.91E-06 2.125418 0.0436

TAIEXV(-1) 0.086478 0.043032 2.009620 0.0554

T 0.003140 0.001266 2.480113 0.0202

R-squared 0.754707 Mean dependent var 0.074613

Adjusted R-squared 0.676214 S.D. dependent var 0.042245 S.E. of regression 0.024038 Akaike info criterion -4.396415 Sum squared resid 0.014446 Schwarz criterion -3.992378 Log likelihood 83.73905 Hannan-Quinn criter. -4.258627

F-statistic 9.614883 Durbin-Watson stat 1.912239

Prob(F-statistic) 0.000005

### 二、 普考兩模型

Dependent Variable: DJQR Method: Least Squares Date: 06/08/14 Time: 19:11 Sample (adjusted): 1979 2013

Variable Coefficient Std. Error t-Statistic Prob.

C 0.175892 0.077080 2.281950 0.0309

JQN -1.05E-06 4.09E-06 -0.255929 0.8000

JWR -0.207487 0.084834 -2.445809 0.0215

UR -0.523258 0.810319 -0.645744 0.5241

URSD -1.298893 3.290041 -0.394795 0.6962

DPCGDP -2.22E-07 4.01E-07 -0.553724 0.5845

DTAIEX 4.69E-06 4.04E-06 1.159487 0.2568

TAIEXV -0.004423 0.040178 -0.110080 0.9132

T 0.001997 0.001252 1.595199 0.1228

## ‧

Adjusted R-squared 0.100586 S.D. dependent var 0.023990 S.E. of regression 0.022752 Akaike info criterion -4.511304 Sum squared resid 0.013459 Schwarz criterion -4.111357 Log likelihood 87.94782 Hannan-Quinn criter. -4.373243

F-statistic 7.376495 Durbin-Watson stat 2.255262

Prob(F-statistic) 0.021408

Dependent Variable: DJQR Method: Least Squares Date: 06/08/14 Time: 16:11 Sample (adjusted): 1980 2013

Variable Coefficient Std. Error t-Statistic Prob.

C -0.049243 0.092315 -0.533419 0.5985

JQN 3.83E-06 4.25E-06 0.901512 0.3759

JWR(-1) 0.043294 0.101543 0.426360 0.6735

UR(-1) 1.275887 0.803280 1.588347 0.1248

URSD(-1) -3.387248 3.600732 -0.940711 0.3559

DPCGDP(-1) -1.38E-07 4.48E-07 -0.308232 0.7605

DTAIEX(-1) 7.72E-06 4.32E-06 1.785511 0.0863

TAIEXV(-1) 0.025948 0.044007 0.589631 0.5607

T -0.001538 0.001424 -1.080233 0.2903

R-squared 0.248705 Mean dependent var -0.000239

Adjusted R-squared 0.008291 S.D. dependent var 0.024264 S.E. of regression 0.024163 Akaike info criterion -4.386066 Sum squared resid 0.014596 Schwarz criterion -3.982029 Log likelihood 83.56312 Hannan-Quinn criter. -4.248278

F-statistic 5.172435 Durbin-Watson stat 2.228973

Prob(F-statistic) 0.043731

## ‧

《Guide to The Stock Exchang》

O．Donner，（1934），《Die Kursbildung am

Aktienmarkt》

J．Mindell，（1948），《The Stock Market》

G．L．Leffler，（1951），《The Stock Market》

S．S．Pratt，（1903），《The Work of Wall Street》

J．Moody，（1906），《The Art of Wall Street Investing》

S．S．Huebner，（1934），《The Stock Market》

Eiteman，（1952），《Stock Market》

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