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題 名 | The Leverage Effect and Herding Behaviour in Taiwan's Stock Market=臺灣股市槓桿效應與順勢操作行為之研究 |
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作 者 | 楊踐為; | 書刊名 | 風險管理學報 |
卷 期 | 2:1 2000.05[民89.05] |
頁 次 | 頁69-86 |
分類號 | 563.53 |
關鍵詞 | 不對稱自身迴歸異質條件變異數; 槓桿效應; EGARCH; Leverage effect; |
語 文 | 英文(English) |
中文摘要 | 本文之主要目的係利用不對稱自身迴歸異質條件變異數模型,來檢定臺灣股票市場是否存在著所謂的「槓桿效應」,測試的目標為十八種分類股價指數與加權股價指數;研究期間涵蓋了三年(民國八十五年至八十七年)之日報酬率與週轉率資料。實證研究結果指出十九種股價指數中共有十二種呈現出顯著的「槓桿效應」,亦即報酬率與波動性為負相關,而與先進國家股市相同。由於臺灣股市不同於先進股市,政府有設定每日漲跌幅之限制,因此股票這種歷史殘差值會對目前報酬率產生不對稱影響的現象,似乎舉世皆然。此外,週轉率之實證結果顯示投資人喜好追漲殺跌,亦即跟著市場氣氛而順勢操作。 |
英文摘要 | By mainly applying Nelson's EGARCH (Expotentially Generalized Autoregressive Conditional Heteroskedasticity) model, this paper has demonstrated that the leverage effect appears to exist in Taiwan's stock market. The daily returns/turnover of nineteen different stock indexes in a trading period of three years (1996-1998) have been examined. Out of these nineteen indexes, two-thirds of them (twelve) show a significantly negative relation in terms of return and volatility. Therefore, despite the fact that a daily price limit is imposed in Taiwan's stock market, the phenomenon of an asymmetric impact between past innovations and current volatility seems to be a world-wide one. The empirical result from the investigation of turnover points out that investors follow a positive feedback trading strategy. |
本系統中英文摘要資訊取自各篇刊載內容。