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題名: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
書刊名:臺灣金融財務季刊
作者:莊忠柱 引用關係
作者(外文):Chuang, Chung-chu
出版日期:2000
卷期:1:1
頁次:頁21-39
主題關鍵詞:股價指數期貨星期效果週末效果一般化自我迴歸條件異質變異數不對稱效果
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(5) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:5
  • 共同引用共同引用:60
  • 點閱點閱:40
     本文利用1997年6月19日至1999年8月27日的臺灣證券交易所之 發行量加權股價指數,探討股價指數期貨上市對現貨市場價格波動性不對稱效果 的結構性改變。根據修正後Levene統計量檢定與AR(|1,9|)-EGARCH(1,1)模型, 檢測出股價指數期貨上市後,現貨價格波動性不對稱效果結構在長、中、短期, 皆無顯著的改變。另外,就現貨市場價格波動性而言,發現其長期、中期、短期 皆可被前一期的波動性解釋。就不對稱效果而言,長期現貨市場價格波動性的不 對稱效果存在,但中期、短期而言,現貨市場價格波動性的不對稱效果卻不存在。 此外,在現貨報酬率條件平均數方面,除了在長、中、短期,現貨價格具有顯著 的星期效果與週末效果外,亦由其現貨報酬率自我迴歸落後9期所解釋,但自我 迴歸落後1期項目僅在長期才有解釋能力。
Other
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期刊論文
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3.林建甫、張焯然(19960900)。ARCH族模型估計與檢定的問題。經濟論文叢刊,24(3),339-355。new window  延伸查詢new window
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7.Najand, Mohammad、Yung, Kenneth(1994)。A GARCH Examination of the Relationship between Volume and Price Volatility in Futures Markets。Journal of Future Markets,11,613-621。  new window
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10.林楚雄、劉維琪、吳欽杉(19990300)。臺灣股票店頭市場股價報酬波動行為的研究。企業管理學報,44,165-191。new window  延伸查詢new window
11.Edwards, F. R.(1988)。Does futures trading increase stock market volatility?。Financial Analysts Journal,44(1),63-69。  new window
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13.Lakonishok, Josef、Levi, Maurice(1982)。Weekend Effects on Stock Returns: A Note。Journal of Finance,37(3),883-889。  new window
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15.王甡(19950100)。報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析。證券市場發展,7(1)=25,125-161。new window  延伸查詢new window
16.劉曦敏、葛豐瑞(19960100)。臺灣股價指數報酬率之線性及非線性變動。經濟研究. 臺北大學經濟學系,34(1),73-109。new window  延伸查詢new window
17.Braun, P. A.、Nelson, D. B.、Sunier, A. M.(1995)。Good News, Bad News, Volatility, and Betas。Journal of Finance,50(5),1575-1603。  new window
18.Rabemananjara, R.、Zakoïan, J. M.(1993)。Threshold ARCH Models and Asymmetries in Volatility。Journal of Applied Econometrics,8,31-49。  new window
19.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
20.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。  new window
21.French, Kenneth R.(1980)。Stock Returns and the Weekend Effect。Journal of Financial Economics,8(1),55-69。  new window
22.Lakonishok, Josef、Maberly, Edwin(1990)。The Weekend Effect: Trading Patterns of Individual and Institutional Investors。Journal of Finance,45(1),231-243。  new window
23.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
24.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。  new window
25.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
26.沈中華、黃河泉(19940700)。股價波動性與結構性轉變之探討--不同漲跌幅限制下的分析。臺大管理論叢,5(2),23-45。new window  延伸查詢new window
27.Ding, Zhuanxin、Granger, Clive W. J.、Engle, Robert F.(1993)。A long memory property of stock market returns and a new model。Journal of Empirical Finance,1(1),83-106。  new window
28.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
29.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
30.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
會議論文
1.Black, Fisher(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of Business and Economic Statistics Section。American Statistical Association。177-181。  new window
學位論文
1.李憲杰(1994)。一般化自迴歸條件異質性變異數模型參數之選定、估計與檢定(碩士論文)。國立成功大學。  延伸查詢new window
其他
1.李存修(1996)。台灣股價指數期貨上市交易之影響面面觀。  延伸查詢new window
2.沈中華、周賓凰(1997)。張跌幅限制下台灣股市的星期效應與自我相關-GibbsSampler的應用。  延伸查詢new window
3.林楚雄、劉維琪、吳欽杉(1997)。台灣股票市場報酬的期望值與條件波動之關係。  延伸查詢new window
4.黃伯農(1995)。多國性股價報酬率的統計特性及星期效果研究。  延伸查詢new window
5.Akgiray, V.(1989)。Conditional Heter-oskedasticity in Time Series of Stock Returns: Evidence and Forecasts。  new window
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18.Lee, S. B. and K. Y. Ohk(1992)。Stock Index Futures Listing and Structure Change in Time-VaryingVolatility。  new window
19.Nelson, D.(1991)。Conditional Heterosked-asticity in Asset Returns: A New Approach。  new window
20.Pettengill, G. N. and D. E. Buster(1994)。Variation in Return Signs: Announcements and the Weekday Anomaly。  new window
21.Rystrom, D. and E. Benson(1989)。Investor Psychology and the Day-of -the Week Effect。  new window
22.Sias, R. and L. Starks(1994)。Institutions, Individuals and Return Autocorrelations。  new window
23.Zakolin, L. M.(1994)。Threshold Heterosked- astic Models。  new window
 
 
 
 
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