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題 名 | 臺灣股市日內股票報酬波動之研究=A Study on the Conditional Mean and the Conditional Volatility of Intradaily Stock Index Returns for the Taiwan Stock Market |
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作 者 | 江明憲; 陳英生; | 書刊名 | 證券市場發展季刊 |
卷 期 | 13:1=49 2001.04[民90.04] |
頁 次 | 頁99-132 |
分類號 | 563.53 |
關鍵詞 | 日內股票報酬波動; 不對稱效果; 部分調整; 門檻式自身迴歸異質條件變異數模型; Asymmetric effect; Intradaily; Partial adjustment; Threshold GARCH; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究結合部分調整模型與門檻式自身迴歸異質條件變異數模型以檢定臺灣股票市場日內股價行為之不對稱性。實證結果發現,股價調整行為對正、負向資訊的發生的確存在不對稱效果,且一天當中的開盤及盤中交易期間,股價對正向資訊的反應速度較負向資訊快,收盤則呈現負向資訊反應較快。同時,也發現臺股指數期貨確有助於不對稱資訊的反應速度。而分週交易之不對稱型態為,正向資訊的反應速度較快、負向資訊的反應速度較慢,尤其是每週的第一個交易日之正向資訊反應特別快。在股價報酬的波動性方面,也發現正向資訊與負向資訊對於股價報酬波動具有不對稱的影響效果,即負向資訊造成的股價報酬波動程度比正向資訊大,尤其在接近收盤的股價報酬波動最大。而分週交易的不對稱型態為負向資訊造成的股價報酬波動程度比正向資訊大。 |
英文摘要 | The asymmetric behaviors of conditional mean and volatility of intradaily stock index returns on the TSE (Taiwan Stock Exchange) are under investigation. To serve this purpose, the asymmetric partial adjustment price model with threshold GARCH effects is adopted. The empirical evidence shows that the conditional mean and conditional volatility of intradaily index returns asymmetrically respond to past information. In general, within a trading day the conditional intradaily mean adjusts faster in response to past positive returns than to past negative returns in the open and middle of the TSE while the reverse is present in the closing of the TSE. Additionally, the inception of Taiwan Stock Index Futures trading improves the information adjustment speed of the TSE. During a trading week, the conditional intradaily mean responds to market rises quicker, especially the first trading day. Consistent with previous studies, the conditional intradaily volatility tends to be higher during the market declines either in a trading day or during a trading week. That is, there exists the leverage effect. |
本系統中英文摘要資訊取自各篇刊載內容。