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引文資料
題名:
Empirical Study of Chaotic Behavior in the Taiwanese Stock Market
書刊名:
Pan-Pacific Management Review
作者:
彭康麟
/
古永嘉
作者(外文):
Peng, Kang-lin
/
Goo, James Yeong-jia
出版日期:
2004
卷期:
7:1
頁次:
頁19-34
主題關鍵詞:
混沌理論
;
市場異常
;
BDS檢定
;
複歸檢定
;
Chaos theoy
;
Market anomalies
;
BDS tset
;
Close returns test
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:18
混沌理論近年來大量應用於財務金融領域後挑戰了傳統資本資產訂價理論的隨機漫步假說,以往CAPM所無法解釋的市場異常現象,如過度反應、元月效應等;卻發現混沌行為的的碎形市場(fractal market hypothesis)假說可解釋這類異常, 意味著混沌理論補充了傳統資本資產訂價理論於實務應用的不足。至於混沌行為的偵測,早期研究方法主要採用BDS檢定,但此方法難以區別真正的混沌行為且難適用於含有噪音的資料;故本研究採Gilmore(2001)發展出的複歸檢定(close returns test)偵測混沌,此方法特別適合資料數量不足且含有噪音(noise)的財金數據資料。在BDS檢定與複歸檢定的對照比較後,證實台灣股票市場報酬非隨機漫步而符合混沌理論的碎形市場假說。
以文找文
Traditionally, market returns have been assumed to be consistent with the random walk hypothesis. Explaining anomalies in market returns, such as seasonal effects, the weekend effect, and the January effect, is difficult. This study examined time series data on Taiwan Weighted Index returns from the perspective of chaos theory. A topological method, the close returns test, was applied to test whether Taiwan stock market returns exhibited chaotic behavior. The main findings of this study are that close returns test outperformed the traditional BDS (Brock, Dechert, Scheinkman) test and that Taiwan stock market returns exhibit recursive behavior rather than random walk behavior.
以文找文
期刊論文
1.
Hsieh, David A.(1989)。Testing for Nonlinear Dependence in Daily Foreign Exchange Rates。The Journal of Business,62(3),339-368。
2.
Ahmed, E.、Rosser, J. B.、Uppal, J. Y.(1996)。Asset Speculative Bubbles in Emerging Markets: The Case of Pakistan。Pakistan Economic and Social Review,34,97-118。
3.
Blank, S. C.(1991)。Chaos in Futures Markets? A Nonlinear Dynamical Analysis。Journal of Futures Markets,11(6),711-728。
4.
Brorsen, B. W.、Yang, S. R.(1994)。Nonlinear Dynamics and the Distribution of Daily Stock Index Returns。The Journal of Financial Research,17(2),187-203。
5.
Bulter, A.(1990)。A Methodological Approach to Chaos: Are Economists Missing the Point?。Review--Federal Reserve Bank of St. Louis,72(2),36-48。
6.
Cecen, A. A.、Erkal, C.(1996)。Distinguishing Between Stochastic and Deterministic Behavior in High-Frequency Foreign Exchange Rate Returns: Can Nonlinear Dynamics Help Forecasting?。International Journal of Forecasting,12,465-473。
7.
Chwee, V.(1998)。Chaos in Natural Gas Futures?。The Energy Journal,19,149-164。
8.
Decoster, G. P.、Labys, W. C.、Mitchell, D. W.(1992)。Evidence of Chaos in Commodity Futures Prices。Journal of Futures Markets,12,291-305。
9.
Gilmore, C. G.(1993)。A New Test for Chaos。Journal of Economic Behavior and Organization,22,209-237。
10.
Gilmore, C. G.(2001)。An Examination of Nonlinear Dependence in Exchange Rates, Using Recent Methods from Chaos Theory。Global Finance Journal,12,139-151。
11.
Grassberger, P.(1990)。An Optimized Box-assisted Algorithm for Fractal Dimensions。Physics Letters A,148,63-68。
12.
Harris, R. D. F.、Kucukozmen, C. C.(2001)。Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management。European Journal of Operational Research,134,481-492。
13.
Kohers, T.、Pandey, V.、Kohers, G.(1997)。Using Nonlinear Dynamics to Test for Market Efficiency among the Major U.S. Stock Exchanges。The Quarterly Review of Economics and Finance,37,523-545。
14.
Larrain, M.(1991)。Testing Chaos and Nonlinearities in T-Bill Rates。Financial Analysts Journal,47(5),51-62。
15.
Mandelbrot, B. B.、Wallis, J. R.(1969)。Robustness of the Rescaled Range R/S in the Measurement of Noncyclic Long-Run Statistical Dependence。Water Resources Research,5,967-988。
16.
Mandelbrot, B. B.(1972)。Statistical Methodology for Nonperiodic Cycles: From the Covariance to R/S Analysis。Annals of Economic and Social Measurement,1,259-290。
17.
Manson, S. M.(2001)。Simplifying Complexity: A Review of Complexity theory。Geoforum,32(1),405-414。
18.
McKenzie, M. D.(2001)。Chaotic Behavior in National Stock Market Indices--New Evidence from the Close Returns Test。Global Finance Journal,12,35-53。
19.
Mouck, T.(1998)。Capital Markets Research and Real World Complexity: The Emerging Challenge of Chaos Theory。Accounting, Organizations and Society,23,189-215。
20.
Papaioannou, G.、Karytinos, A.(1995)。Nonlinear time series analysis of the stock exchange: The case of an emerging market。International journal of Bifurcation and Chaos,5,1557-1575。
21.
Peters, Edgar E.(1989)。Fractal Structure in the Capital Markets。Financial Analysts Journal,45(5),32-37。
22.
Ruelle, D.(1991)。Deterministic chaos: The Science and The fiction。Proceedings of the Royal Society of London, Series A,427,241-248。
23.
Sakai, H.、Tokumaru, H.(1980)。Autocorrelations of a certain chaos。IEEE Transactions on Acoustics, Speech, and Signal Processing,28(5),588-590。
24.
Savit, R.(1988)。When Random is Not Random: An Introduction to Chaos in Market Prices。The Journal of Futures Markets,8(3),271-289。
25.
Serletis, A.、Gogas, P.(1997)。Chaos in East European Black Market Exchange Rates。Research in Economics,51,359-385。
26.
Sewell, S. P.、Stansell, S. R.、Lee, I.、Below, S. D.(1996)。Using Chaos Measures to Examine International Capital Market Integration。Applied Financial Economics,6,91-101。
27.
Vaidyanathan, R.、Krehbiel, T.(1992)。Does the S&P 500 Futures Mispricing Series Exhibit Nonlinear Dependence accrwoss Time?。Journal of Futures Markets,12,659-677。
28.
Willey, T.(1992)。Testing for Nonlinear Dependence in Daily Stock Indices。Journal of Economics and Business,44,63-74。
29.
Barkoulas, J.、Travlos, N.(1998)。Chaos in an Emerging Capital market? The Case of Athens Stock Exchange。Applied Financial Economics,8,231-243。
30.
Barnett, W. A.、Serletis, A.(2000)。Martingales, Nonlinearity, and Chaos。Journal of Economic Dynamics and Control,24,703-724。
31.
Hsieh, D. A.(1991)。Chaos and Nonlinear Dynamics: Application to financial Market。Journal of Finance,46(5),1839-1875。
32.
May, Robert M.(1976)。Simple Mathematical models with very complicated dynamics。Nature,261(5560),459-467。
33.
Grassberger, P.、Procaccia, I.(1983)。Measuring the Strangeness of Strange Attractors。Physica D.,9,189-208。
圖書
1.
Brock, W. A.、Dechert, W. D.、Scheinkman, J. A.(1987)。A test for independence based on the correlation dimension。WI:Department of Economics, University of Wisconsin。
2.
Cohen, B.(1997)。The Edge of Chaos: Financial Booms, Bubbles, Crashes and Chaos。John Wiley & Sons, Inc.。
3.
Peters, Edgar E.(1994)。Fractal Market Analysis。New York:John Wiley & Sons。
4.
Stewart, I.(1987)。The Problems of Mathematics。Oxford:Oxford University press。
5.
Waldrop, M. M.(1992)。Complexity: The Emerging Science at the Edge of Order and Chaos。Commonwealth Publishing Co.。
6.
Haugen, R. A.(1999)。The New Finance: The Case Against Efficient Markets。Prentice Hall。
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