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題 名 | The Relationship between the Expected Return and the Conditional Volatility in Taiwan Stock Market=臺灣股票市場報酬的期望值與條件波動之關係 |
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作 者 | 林楚雄; 劉維琪; 吳欽杉; | 書刊名 | 交大管理學報 |
卷 期 | 17:3 1997.12[民86.12] |
頁 次 | 頁103-124 |
分類號 | 563.54 |
關鍵詞 | 條件波動; 不對稱性的一般化條件異質變異數模型; 不對稱效果; 成交量; Conditional volatility; Asymmetric GARCH model; Asymmetric effect; Trading volume; |
語 文 | 英文(English) |
中文摘要 | 本文主要是採用不對稱性的 GARCH-M 模式來重新探討臺灣股票市場股價報酬的平均數與波動之間的關係。本文檢定三種波動與期望報酬關係,包括線性,平方根與對數的設 定。 實證結果顯示股價報酬存在有 GARCH 效果,說明股票市場的風險程度是會隨時間的經過而改變。並且發現條件波動存在不對稱性以及不對稱性效果的反轉現象。其次,實證結果發現週資料與月資料上,條件平均數與條件變異數或條件標準差的關係很微弱,但有顯著的對數線性正向關係,顯示投資者重視資產組和的變異數與標準差之外的指標,例如變異數的對數。最後,我們發現成交量可用來預測未來的波動。 |
英文摘要 | This paper uses asymmetric GARCH-M model to examine the relationship between mean returns and volatility in Taiwan stock market. Three alternative specifications for the relationship between volatility and expected stock return are tested. These include linear, square root, and logarithmic specifications. GARCH effect was clearly present in the forecast errors of stock return indicating substantial variation in the degree of uncertainty over time. The asymmetry effect and the inversion of asymmetry effect of the conditional volatility exist. Second, we conclude that the relationship between mean return and own variance or standard deviation is weak. However, we find a significantly positive log-linear relation between conditional expected return and conditional variance in weekly and monthly data. The results suggest that investors consider some other risk measure, i.e. logarithm of variance, to be more important than the variance of or standard deviation of portfolio returns. Finally, we find that trading volume contains information about future volatility. |
本系統中英文摘要資訊取自各篇刊載內容。