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題 名 | An Intraday Seasonality Test of Taiwan's Stock Market with the Models Specifying Conditional Heteroskedasticity=臺灣股市日內效應之GARCH模型檢定 |
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作 者 | 楊踐為; | 書刊名 | 科技學刊 |
卷 期 | 8:3 1999.07[民88.07] |
頁 次 | 頁225-231 |
分類號 | 563.53 |
關鍵詞 | 一般化自身迴歸異質條件變異數; 季節性; 日內效應; GARCH; Seasonality; Intraday; |
語 文 | 英文(English) |
中文摘要 | 本文之主要目的係利用一般化自身迴歸異質條件變異數模型,來檢定臺灣股價加 權指數之季節性異常現象,測試的目標為日內效應;亦即探討加權指數之報酬率變化是否於 每個交易日內呈隨機漫步而無一定系統之型態?研究之重點為每二十分鐘之報酬率變化,採 用了六年(民國八十年一月至八十五年十二月)將近一萬筆之分時資料。實證結果顯示:加 權指數每二十分鐘之報酬率變化具有顯著的時間依存效應。此外,每日開盤後的二十分鐘, 報酬率呈明顯的上揚,而於收盤前的二十分鐘,報酬率則呈現顯著的下跌。總之,臺灣股價 加權指數之報酬率變化似乎呈現出某一特定系統之型態,值得後續學者繼續加以探討。 |
英文摘要 | Via the application of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models, this paper examines the seasonality enigma of Taiwan's stock market by testing the intraday effect. Specifically, the returns of the stock index every twenty minutes have been examined to see whether a day-end effect exists on the Taiwan Stock Exchange. In this study a trading period of six years (1991-1996) with around 10,000 observations within the return intervals is investigated. The results indicate the stock index in the opening twenty minutes exhibits abnormally high returns and significantly low returns in the closing twenty minutes. Thus, the stock index returns in Taiwan, to a great extent, display a systematic movement and deserve further elucidating. |
本系統中英文摘要資訊取自各篇刊載內容。