本文主要以Park (2007)的模型為架構，探討台灣花卉批發市場共整合關係。欲探討市場整合情形，其概念是由單一價格法則延伸而來。
單一價格法則的意義在於，若不考慮交易成本時，產品會從價格低的市場流向價格高的市場，直到各地市場的價格達到一致。
然而，在交易成本存在的情況下，單一價格法則的假設卻是有問題的，兩市場間的價差超過交易成本時，套利行為有可能會發生。
因此本文利用門檻共整合方法分析台灣花卉批發市場間的整合關係。結果顯示，台灣花卉批發市場間長期存在共移關係且具有明顯的門檻效果。
除此之外，本文以Park (2007)提出變動門檻值的觀點分析台灣花卉批發市場是否可能存在季節性套利行為的現象。
結果發現，由於門檻值的變動，即使批發市場間相同的價差，在不同的季節會落在不同的門檻區域內，導致季節性的套利現象。

In the purpose of this study we examine the long run relationship between the flower wholesale markets in Taiwan
by the theory of Park (2007). The market integration is analyzed from the viewpoint of the Law of One Price (LOP).
The LOP means that the products flow from the lower price markets to the higher price ones without transaction cost
utill everywhere have the same price. However, in a situation that the transaction cost exists, the assumption of LOP is
questionable. When the price difference between two markets exceeds the transaction cost, there is an arbitrage opportunity.
This study examine the relationship between the flower wholesale markets in Taiwan by threshold cointegration theory.
The result is that there indeed exists long run relationship and threshold effects. In addition, we consider a time-varing threshold
cointegration model in Park (2007), to see whether there are different arbitrage behavious depending on the season between
the flower wholesale markets. Finally, we have a result that the same price gap between markets in different season will be
in different regime because of the change of the value of threshold. And it causes the seasonal arbitrage behavious.

目錄

1 緒論
1.1 前言.........................................................................................1
1.2 研究目的與動機.....................................................................3
1.3 研究架構.................................................................................4

2 經濟理論與文獻回顧
2.1 經濟理論.................................................................................5
2.2 文獻回顧.................................................................................5

3 研究方法
3.1 單根檢定................................................................................12
3.1.1 Dickey-Fuller檢定.............................................................13
3.1.2 Augmented Dickey-Fuller檢定.......................................15
3.1.3 Phillips-Perron檢定.........................................................19
3.1.4 DF-GLS .............................................................................20
3.2 傳統共整合檢定....................................................................21
3.2.1 Engle and Granger兩階段估計法..................................23
3.2.2 Johansen最大概似估計法............................................. 25
3.2 門檻共整合模型....................................................................29
3.2.1 模型....................................................................................30
3.2.2 估計....................................................................................33
3.2.3 檢定....................................................................................34
3.4 變動門檻值的估計................................................................34

4 實證結果分析
4.1 資料來源說明.........................................................................36
4.2 單根檢定結果.........................................................................36
4.3 共整合檢定結果.....................................................................38
4.3.1 Engle and Granger兩階段估計法檢定結果...................39
4.3.2 Johansen最大概似估計法結果.......................................40
4.4 門崁向量誤差修正模型.........................................................46
4.5 變動門檻估計結果.................................................................48

5 結論與建議
5.1 結論.........................................................................................51
5.2 建議.........................................................................................52

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附錄

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