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頁籤選單縮合
題 名 | 臺鹽實業公司之股票市場報酬的實證研究:GARCH-M模型之應用=The Practical Study of Stock Market Return for the Taiwan Salt Industrial Corporation: An Application of the GARCH-M Model |
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作 者 | 洪萬吉; 程淑樺; | 書刊名 | 德明學報 |
卷 期 | 28 2007.01[民96.01] |
頁 次 | 頁1-16 |
分類號 | 563.54 |
關鍵詞 | 臺灣加權股價指數; 匯率; 不對稱效果; 臺鹽實業公司; Stock price index return of Taiwan; Exchange rate; GARCH-M; Asymmetric effect; Taiwan salt industrial corporation; |
語 文 | 中文(Chinese) |
中文摘要 | 股票市場之管理者與投資者在國際化及自由化的趨勢下,面對多變的市場,而影響股票市場的風險因素很多,如受大盤市場報酬、匯率的影響。本文是一個實證研究,且依Bollerslev (1990)所提之GARCH-M模型探討臺鹽實業公司之股票報酬的模型建構與其是否受到臺灣加權股價指數報酬與匯率波動的影響,研究資料採用2000年1月4日到2005年10月4日的日資料。而由實證結果顯示MA(2)-GARCH(2,1)-M模式對擬合臺鹽實業公司股票市場報酬的波動過程是合適的。實證也得知,臺灣加權股價指數報酬是顯著影響臺鹽實業公司之股票報酬且是正面的影響,而在研究樣本期間匯率波動是不顯著影響臺鹽實業公司之股票報酬,但也受臺灣加權股價指數報酬與匯率波動交互作用之影響及受風險溢酬之影響。實證結果也發現,臺灣加權股價報酬前一天平方項的波動也確實影響臺鹽公司股價報酬之波動的風險。此外,在研究樣本期間臺鹽實業公司股價報酬之波動過程是不具有不對稱效果,此也顯示臺鹽公司的股票價格是穩健的。 |
英文摘要 | Under the trends of the internationalization and liberalization, the administrator and investor on the stock market are need to face to the changeable market, it is a lot of risk factors to affect the stock market, such as receiving the influence of the return of deep bid market and exchange rate. This paper will do a practical research, and the GARCH-M model of Bollerslev (1990) is utilized to study the stock price return model of the Taiwan Salt Industrial Corporation and to study its influence with the stock price index return of Taiwan and the volatility of exchanges rate, the studying materials are adopts period from January 4, 2000 to October 4, 2005. Practical results are shown that MA(2)-GARCH(2,1)-M is suitable for the stock price return model of the Taiwan Salt Industrial Corporation. Practical results also tell us, the stock price index return of Taiwan will affect the stock price return of the Taiwan Salt Industrial Corporation, and its influence is positive; the volatility of exchange rate will not direct affect the stock price return of the Taiwan Salt Industrial Corporation underlying the study sample periods; but the interaction of the stock price index return of Taiwan and the volatility of exchange rate will direct affect the stock price return of the Taiwan Salt Industrial Corporation underlying the study sample periods, and risk premium will direct affect the stock price return of the Taiwan Salt Industrial Corporation. Practical results also tell us, the volatility of the square item of the Taiwan weighted stock price return's day before is also truly affects the risk of volatility for the Taiwan Salt Industrial Company stock price return. Besides, the volatility process of stock price return for Taiwan Salt Industrial Corporation does not have the asymmetric effect underlying the study sample periods, this result also demonstrates that the stock price of the Taiwan Salt Industrial Corporation is steady. |
本系統中英文摘要資訊取自各篇刊載內容。