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題 名 | 流動性修正風險值在臺灣股票期貨的實證研究=Research of Liquidity-adjusted Value at Risk in Taiwan Stock Futures |
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作 者 | 吳亞靜; 蔡垂君; | 書刊名 | 風險管理學報 |
卷 期 | 17:1 2015.06[民104.06] |
頁 次 | 頁59-87 |
分類號 | 561.76 |
關鍵詞 | 臺灣股票期貨; 流動性調整風險值; 內在流動性風險; 外在流動性風險; 買賣價差; 持有期間; SSF; LVaR; Exogenous liquidity risk; Endogenous liquidity risk; Bid-ask spread; Holding period; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究結合Bangia et al. (1999) 以及Al Janabi (2008, 2010, 2012) 的實證觀點,針對台灣股票期貨進行流動性調整風險值 (LVaR) 實證研究,首先建構外在流動性調整風險值,接著置入內在流動性風險值,最後計算出總流動性調整風險值。在2013 年1 月1 日起至2014 年5 月31 日期間當中,共有40 檔股票期貨符合樣本擷取條件,實證結果如下:(1) 傳統風險值介於0.387 至27.210,經回溯測試的結果,共有7 項股票期貨未通過回溯測試。(2) 在流動性風險值的部份,當價差分配規模因子a=2 時,風險值介於1.389 至38.710,經回溯測試的結果,則有2 項股票期貨未通過回溯測試;當a=4.5 時,所有數據均通過回溯測試,風險值介於3.333 至190.01。相較於以流動性修正風險為題的實證研究,本文整合內在流動性風險與外在流動性風險雙重概念,建構較全方位的流動性風險值衡量方式。 |
英文摘要 | This paper surveys the liquidity-adjusted VaR (LVaR) of Taiwan single stock futures (SSF). With the empirical concepts of Bangia et al. (1999) and Al Janabi (2008, 2010, 2012), we modify the liquidity risk based upon the traditional VaR. According to Bangia's bid-ask spread, we measure exogenous liquidity risk; then we plus the Al Janabi's holding period opinion into previous model and value the endogenous liquidity risk. In the final, we measure LVaR and validate the back testing. The study findings of empirical period of 40 Taiwan SSF from 1st Jan. 2013 to 31th May 2015 are: (a) The traditional VaR is between 0.387 to 27.210. There are 7 futures don't validate the back testing. (b) To integrate the exogenous risk and endogenous risk, as the distribution scaling factor is at 2, the LVaR is between 1.389 to 38.710. There are 2 futures don't pass the back testing. (c) The same integration as above, as the distribution scaling factor is at 4.5, the LVaR is between 3.333 to 190.01. All futures pass the back testing. To compare with other similar issues on SSF, our investigation on LVaR is more completely. |
本系統中英文摘要資訊取自各篇刊載內容。