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題名 | Asymmetric Volatility: Pre and Post Asian Financial Crisis=金融風暴前後亞洲股票市場波動性不對稱現象之研究 |
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作者姓名(中文) | 楊踐為; 游淑禎; | 書刊名 | 管理學報 |
卷期 | 20:4 2003.08[民92.08] |
頁次 | 頁805-827 |
分類號 | 563.53 |
關鍵詞 | 波動性不對稱; EGARCH模型; 亞洲金融風暴; Asymmetric volatility; EGARCH; Asian financial crisis; |
語文 | 英文(English) |
中文摘要 | 很多研究都發現金融資產之報酬率存在波動性不對稱現象,此不對稱現象主要反映投資人對壞訊息比對好訊息產生較強烈的反應。鑑於投資人在遭受重大財物損失後風險規避程度增加,壞消息所產生的衝擊變得更嚴重,本研究以EGARCH模型驗證金融風暴後亞洲股票市場波動性更加不對稱之假說。以香港、日本、馬來西亞、新加坡、南韓、泰國與台灣股市日報酬資料進行之研究結果顯示,除泰國外,其餘股票市場的波動性不對稱程度,在金融風暴後皆顯著增加,符合預期假說。 |
英文摘要 | The asymmetric response of volatility to return shocks has been well evidenced for various financial assets. The asymmetric volatility reflects investors' stronger reaction to bad news than to good news. Investors become more risk averse and overweigh the potentials of negative news once when they suffer severe loss. Thus it is hypothesized that the asymmetric effect gets more prominent after the precipitous fall of stock returns during Asian financial crisis. An EGARCH model, capturing the time varying volatility with asymmetric responses to innovations, is employed in examining daily stock return series for Hong Kong, Japan, Malaysia, Singapore, South Korea, Taiwan, and Thailand. A higher degree of asymmetry after the Asian financial crisis is confirmed for these markets except Thailand. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。