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題名:股價指數期貨上市與現貨價格波動性的結構性改變--以臺灣為例
書刊名:臺灣銀行季刊
作者:莊忠柱 引用關係
出版日期:2000
卷期:51:4
頁次:頁176-189
主題關鍵詞:股價指數期貨修正後levene統計量星期效果週末效果一般化自我迴歸條件異質變異數
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(1) 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:1
  • 共同引用共同引用:15
  • 點閱點閱:2
     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的結構性改變。根據修正後levene統計量檢定與AR(1,9)-GARCH(1,1)模型,檢測出股價指數期貨上市後,現貨價格波動性結構在長、中、短期,皆無顯著的改變。另外,就現貨市場價格波動性而言,發現其長期可被前一期波動性與誤差平方和解釋,即服從GARCH(1,1);但中期、短期而言,現貨市場價格波動性卻未從GARCH(1,1)。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。
期刊論文
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研究報告
1.Sias, R.、Starks, L.(1994)。Institutions, Individuals and Return Autocorrelations。University of Texas。  new window
 
 
 
 
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