The Non-linear Effect of Macroeconomic Factors and Financial Indicators on the Return of Electronic Industry in Taiwan under the Variation of Business Cycle
碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === This study adopts the empirical model of Gonza''lez, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the GDP variable. This research use Regression Model to analyze the nonlinear impact of GDP...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/44792335104835436027 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === This study adopts the empirical model of Gonza''lez, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the GDP variable. This research use Regression Model to analyze the nonlinear impact of GDP on return among electric industry in Taiwan.
The results show that there are significant positive effect of exchange rate and sales revenues and significant negative effect of debt ratio on ROA during the lower region where GDP is less than -0.1065%. When GDP is larger than 0.1065%, there still are significant positive effect of sales revenues and significant negative effect of debt ratio on ROA during the upper region. But the exchange rate is not significant.
There are significant positive effect of debt ratio and significant negative effect of exchange rate and sales revenue on stock price during the lower region where GDP is less than -0.0867%. When GDP is larger than 0.0867%, there are significant positive effect of exchange rate and sales revenues and significant negative effect of debt ratio on stock price during the upper region.
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