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題名:國會開會效應對日經225股價報酬與波動性之影響--多空頭期間之檢驗
書刊名:管理科學研究
作者:王譯賢 引用關係陳金伶盧永璋朱盈璇
作者(外文):Wang, Yi-hsienChen, Chin-linLu, Yong-ZhangChu, Ying-hsuan
出版日期:2007
卷期:4:2
頁次:頁1-14
主題關鍵詞:國會效應多空頭市場波動性不對稱Congressional effectBull and bear marketVolatility
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(0) 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:0
  • 共同引用共同引用:6
  • 點閱點閱:35
本研究利用不對稱GARCH模型探討日本國會開會效應對日經225股市之影響。實證結果發現,在1%顯著水準下,日本眾議院開會期間,對日經225股價報酬有顯著性降低,而日經風險則有明顯增大之現象。此外,在日經多頭期間,日本國會效果對日經225股價報酬則無影響,然日經風險卻明顯更加擴大。
期刊論文
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