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題名：Asymmetric Volatility: Pre and Post Asian Financial Crisis
書刊名：管理學報
作者：楊踐為 引用關係／游淑禎
作者(外文)：Yang, Jack J. W.／You, Shwu-jen
出版日期：2003
卷期：20:4
頁次：頁805-827
主題關鍵詞：波動性不對稱；EGARCH模型；亞洲金融風暴；Asymmetric volatility；EGARCH；Asian financial crisis
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:5
  • 點閱點閱:70
很多研究都發現金融資產之報酬率存在波動性不對稱現象，此不對稱現象主要反映投資人對壞訊息比對好訊息產生較強烈的反應。鑑於投資人在遭受重大財物損失後風險規避程度增加，壞消息所產生的衝擊變得更嚴重，本研究以EGARCH模型驗證金融風暴後亞洲股票市場波動性更加不對稱之假說。以香港、日本、馬來西亞、新加坡、南韓、泰國與台灣股市日報酬資料進行之研究結果顯示，除泰國外，其餘股票市場的波動性不對稱程度，在金融風暴後皆顯著增加，符合預期假說。
The asymmetric response of volatility to return shocks has been well evidenced for various financial assets. The asymmetric volatility reflects investors' stronger reaction to bad news than to good news. Investors become more risk averse and overweigh the potentials of negative news once when they suffer severe loss. Thus it is hypothesized that the asymmetric effect gets more prominent after the precipitous fall of stock returns during Asian financial crisis. An EGARCH model, capturing the time varying volatility with asymmetric responses to innovations, is employed in examining daily stock return series for Hong Kong, Japan, Malaysia, Singapore, South Korea, Taiwan, and Thailand. A higher degree of asymmetry after the Asian financial crisis is confirmed for these markets except Thailand.
期刊論文
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22.楊踐為(20000500)。The Leverage Effect and Herding Behaviour in Taiwan's Stock Market。風險管理學報，2(1)，69-86。new window  new window
23.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
24.Pindyck, Robert S.(1984)。Risk, Inflation, And The Stock Market。American Economic Review，74，334-351。  new window
25.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
26.Kimball, M. S.(1990)。Precautionary Saving in the Small and in the Large。Econometrica，58(1)，53-73。  new window
27.Cheung, Yin-Wong、Ng, L. K.(1992)。Stock Price Dynamics and Firm Size: An Empirical Investigation。The Journal of Finance，47(5)，1985-1997。  new window
28.Koutmos, G.(1999)。Asymmetric index stock returns: evidence from the G-7。Applied Economics Letters，6(4)，817-820。  new window
29.Marsh, T. A.、Kuwahara, H.(1992)。The Pricing of Japanese Equity Warrants。Management Science，38，1610-1641。  new window
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31.Levy, H.(1994)。Absolute and relative risk aversion: An experimental study。Journal of Risk and Uncertainty，8(3)，289-307。  new window
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33.Ng, V. K.、Masulis, R. W.(1995)。Overnight and Daytime Stock-return Dynamics on the London Stock Exchange: The Impact of 'Big Bang' and the 1987 Stock-market Crash。Journal of Business & Economic Statistics，13(4)，365-378。  new window
34.Pang, Eul-Soo(2000)。The financial crisis of 1997-98 and the end of the Asian developmental state。Contemporary Southeast Asia，22(3)，570-593。  new window
35.Root, H.(2001)。Asia's Bad Old Ways: Reforming Business by Reforming its Environment。Foreign Affairs，80(2)，9-14。  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
圖書
1.Yates, F.(1992)。Risk-Taking Behavior。New York, NY：John Wiley & Sons, Inc.。  new window
2.Kassarjian, Harold H.、Robertson, Thomas S.(1991)。Handbook of Consumer Behavior。Upper Saddle River, NJ：Prentice-Hall。  new window
3.Arrow, Kenneth Joseph(1965)。Aspects of the Theory of Risk-Bearing。Helsinki：Yrjö Jahnssonin Säätiö。  new window
4.Baron, J.(1994)。Thinking and Deciding。Thinking and Deciding。Cambridge, UK。  new window
5.(1987)。Surveys in the Economics of Uncertainty。Surveys in the Economics of Uncertainty。Oxford, UK。  new window
6.Yates, F.(1993)。Judgement and Decision Making。Judgement and Decision Making。Englewood Cliffs, NJ。  new window
 
 
 
 
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