查詢結果分析
相關文獻
- 臺灣股價指數報酬率之線性及非線性變動
- 非預期性衝擊對實質產出之實證檢視
- 個股波動不對稱性之實證研究:以臺灣股票市場為例
- 臺灣股票店頭市場股價報酬波動行為的研究
- A Complete Resolution of the Efficient Rent-Seeking Paradox
- Dawn-Dusk Asymmetry of the Pulsations Observed at Very Low Latitude
- 匯率轉嫁效果之不對稱性研究--以臺灣為例
- 高效能液相層析ODS管柱分離效率評估方法之探討
- 進口物價的匯率轉嫁與不對稱性:臺灣的實證研究
- 臺股指數期貨上市與現貨價格非對稱波動性的結構性改變--臺灣的早期經驗
頁籤選單縮合
題名 | 臺灣股價指數報酬率之線性及非線性變動=Variations in Mean and Volatility of Taiwan's Stock Index Returns |
---|---|
作 者 | 劉曦敏; 葛豐瑞; | 書刊名 | 經濟研究. 臺北大學經濟學系 |
卷期 | 34:1 1996.01[民85.01] |
頁次 | 頁73-109 |
分類號 | 563.53 |
關鍵詞 | 一般化自我迴歸條件異質變異; 週天效果; 季節效果; 交易量效果; 不對稱性; GARCH; Day-of-the-week effect; Seasonal effect; Volume effect; Asymmetry; |
語文 | 中文(Chinese) |
中文摘要 | 本文利用包括不周因子的GARCH (1,1)-M模型,有系統地探討了臺灣股價指數月、週及日報酬率之線性及非線性變動。在對稱模型中,GARCH現象隨著資料頻率的降低逐漸減弱,但季節性在月報酬上最為顯著。殘差呈分配的假設明顯優於t分配的假設,應與我國股市的漲跌幅限制有關。對臺灣股價的日報酬而言,包括交易量變數、季節效果及週天效果的不稱GARCH (1,1)-M模型表現最優。日報酬均數的季節效果及週六效果基本上是穩定而顯著的,變異數的週一效果則會因為模型納入交易量變數、或考量變異數的不對稱性而消失。又負的風險貼水始終與日報酬均數的不對稱性同時出現。最後,顯著的不對稱性透露,臺灣股市有價何追漲的現象,日報酬的波動亦可能因股價下跌、投資人意見紛歧而加劇。 |
英文摘要 | This study explores variations in mean and volatility of Taiwan's stock index returns using assorted GARCH(1,1)-M models. Conditional heteroskedasticity weakens gradually as sampling intervals increase form days to months in symmetric models. But seasonality appears most strongly in monthly returns series. Normal distributions suit error terms better than t distributions. Concerning the daily returns, and asymmetric model including volume and market anomaly variables ahs the best performance. Seasonal and Saturday effects are significant in the mean equation, whereas there is a trade-off between Monday effect and volume effect, as well as asymmetry, in the variance equation. Negative risk premium always accompanies mean asymmetry. In addition, traders in Taiwan's stock market tend to buy more when prices are increasing, and have relatively inconsistent opinions when prices are decreasing. Daily returns thus become more volatile as prices are decreasing. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。