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題名:臺灣股市日內股票報酬波動之研究
書刊名:證券市場發展季刊
作者:江明憲 引用關係陳英生
作者(外文):Chiang, Min-hsienChen, Ying-sheng
出版日期:2001
卷期:13:1=49
頁次:頁99-132
主題關鍵詞:日內股票報酬波動不對稱效果部分調整門檻式自身迴歸異質條件變異數模型Asymmetric effectIntradailyPartial adjustmentThreshold GARCH
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(3) 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:2
  • 共同引用共同引用:0
  • 點閱點閱:23
     本研究結合部分調整模型與門檻式自身迴歸異質條件變異數模型以檢定臺灣股票市場日內股價行為之不對稱性。實證結果發現,股價調整行為對正、負向資訊的發生的確存在不對稱效果,且一天當中的開盤及盤中交易期間,股價對正向資訊的反應速度較負向資訊快,收盤則呈現負向資訊反應較快。同時,也發現臺股指數期貨確有助於不對稱資訊的反應速度。而分週交易之不對稱型態為,正向資訊的反應速度較快、負向資訊的反應速度較慢,尤其是每週的第一個交易日之正向資訊反應特別快。在股價報酬的波動性方面,也發現正向資訊與負向資訊對於股價報酬波動具有不對稱的影響效果,即負向資訊造成的股價報酬波動程度比正向資訊大,尤其在接近收盤的股價報酬波動最大。而分週交易的不對稱型態為負向資訊造成的股價報酬波動程度比正向資訊大。
     The asymmetric behaviors of conditional mean and volatility of intradaily stock index returns on the TSE (Taiwan Stock Exchange) are under investigation. To serve this purpose, the asymmetric partial adjustment price model with threshold GARCH effects is adopted. The empirical evidence shows that the conditional mean and conditional volatility of intradaily index returns asymmetrically respond to past information. In general, within a trading day the conditional intradaily mean adjusts faster in response to past positive returns than to past negative returns in the open and middle of the TSE while the reverse is present in the closing of the TSE. Additionally, the inception of Taiwan Stock Index Futures trading improves the information adjustment speed of the TSE. During a trading week, the conditional intradaily mean responds to market rises quicker, especially the first trading day. Consistent with previous studies, the conditional intradaily volatility tends to be higher during the market declines either in a trading day or during a trading week. That is, there exists the leverage effect.
期刊論文
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7.Susmel, R.、Engel, R. F.(1994)。Hourly volatility spillovers between international equity markets。Journal of International Money and Finance,13(1),3-25。  new window
8.Smirlock, M.、Starks, L.(1986)。Day-of-the-Week and Intraday Effects in Stock Returns。Journal of Financial Economics,17(1),197-210。  new window
9.Hasbrouck, Joel、Ho, Thomas S. Y.(1987)。Order arrival, quote behavior, and the return-generating process。Journal of Finance,42,1035-1048。  new window
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13.Harris, Lawrence(1986)。Cross-security Tests of the Mixture of Distributions Hypothesis。Journal of Financial and Quantitative Analysis,21(1),39-46。  new window
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19.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
20.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
21.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
22.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
23.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
24.Cross, F.(1973)。The Behaviour of Stock Prices on Fridays and Mondays。Financial Analysts Journal,Nov./ Dec.,67-69。  new window
25.H. McInish, Thomas、Wood, Robert A.(1990)。A Transactions Data Analysis of the Variability of Common Stock Returns During 1980-1984。Journal of Banking & Finance,14(1),99-113。  new window
26.Admati, A. R.、Pfleiderer, P.(1988)。Selling and Trading on Information in Financial Markets。The American Economic Review,78,96-104。  new window
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28.Dann, L. Y.、Mayers, D.、Raab, R. J.(1977)。Trading Rules, Large Blocks and the Speed of Price Adjustment。Journal of Financial Economics,4,3-22。  new window
29.Jordan, J. V.、Seale, W. E.、Dnehart, N. C.、Kenyon, D. E.(1988)。Transactions Data Tests of the Black Model for Soybean Futures Options。The Journal of Futures Markets,7,535-555。  new window
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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.林楚雄(1998)。不對稱GARCH模型之建立:我國股票市場之實證研究,0。new window  延伸查詢new window
 
 
 
 
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