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引文資料
題名:
混合分配假說、風險、交易量、股票報酬與波動不對稱之研究--以臺灣股市為例
書刊名:
明道學術論壇
作者:
劉映興
/
何亮君
/
陳家彬
作者(外文):
Liu, Ying-sing
/
Ho, Liang-chun
/
Chen, Chia-pin
出版日期:
2007
卷期:
3:2
頁次:
頁81-90
主題關鍵詞:
混合分配假說
;
價量關係
;
條件異質不對稱性
;
EGARCH(1,1)-M模型
;
MDH
;
Volatility-volume relations
;
Asymmetric volatility
;
EGARCH-M
原始連結:
連回原系統網址
相關次數:
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:
1
共同引用:0
點閱:23
本文主要運用AR (p)-cum-volume & EGARCH (1,1)-M-cum-volume模型來探討股票市場價量關係與混合分配假說(mixture of distributions hypothesis; MDH) (Clark, 1973)。我們研究台灣股票集中交易市場的ETF50成份股中前25家權值較大的普通股(以2004.10.15爲統計基準)。這個模型的特色是可同時檢定五個基本假設,以及探討股票市場是否符合混合分配假說。其中五個基本假設分別爲:(H1)同期性的日交易量對股票日報酬是具有影響性;(H2)股票日報酬波動是具有波動群聚現象與持續性;(H3)股票報酬波動具有不對稱性,亦即具有槓桿效應(leverage effect);(H4)同期性的日交易量對股票報酬條件波動是具有影響性;(H5)股票日報酬具有風險溢酬。根據實證結果發現:台灣股票市場個別股的日報酬波動具有持續性與群聚現象,同時波動存有異質條件不對稱性。其次,也發現大多數股票的同期性日交易量對日報酬或條件報酬波動均存在顯著的正向關係,支持風險溢酬的存在。最後,由本研究的實證結果傾向支持台灣股票市場符合混合分配假說。
以文找文
In this study, we adopted the AR (p)-cum-volume & EGARCH (1,1)-M-cum- volume model to explore the mixture of distributions hypothesis (MDH), and risk-return-volume relationship in the Taiwan stock market. This model features simultaneously examining five hypotheses as well as the ability to probe into whether or not the stock markets conforms to the Clarks' (1973) MDH. These hypotheses: (H1) contemporaneous volume effects daily stock return; (H2) daily stock volatility appears the phenomena of clustering and persistence; (H3) stock return volatility appears an asymmetry effect, showing the leverage effect; (H4) contemporaneous volume effects to the conditional volatility of the daily stock return; (H5) daily stock return appears risk premium. The objects of this study were the top 25 listed stocks based on the ETF 50 value in the Taiwan stock market. According to the result of our research, we observed that, on the Taiwan stock market, the daily stock return volatility is with the phenomena of clustering and persistence, and the said conditional volatility appears asymmetric. We also found, for most of the stocks, the contemporaneous volume appears a significant direct proportion to the daily stock return and the conditional volatility. This finding supports the existing of the risk premium. The results of our study support that the Taiwan stock market can be predicated by Clarks' (1973) mixture of distributions hypothesis.
以文找文
期刊論文
1.
Chan, K. C.、Karolyi, G. A.、Stulz, R.(1992)。Global financialmarkets and the risk premium on U.S. equity。Journal of Financial Economics,32(2),137-167。
2.
Fomari, F.、Mele, A.(1997)。Sign- and volatility-switching ARCH model: theory and application to international stock market。Journal of Applied Econometrics,12(1),49-65。
3.
Fong, W. M.(2003)。Time reversibility tests of volume-volatility dynamics for stock returns。Economics letters,81(1),39-45。
4.
Lee, C. F.(2001)。Stock returns and volatility on China's stock market。Journal of Financial Research,24(4),523-543。
5.
Poon, P. S.(1994)。An empirical examination of the return volatility-volume relation in related methods: the case of stock and options。Financial Review,29(4),473-496。
6.
Poshakwale, S.、Murinde, V.(2001)。Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland。Applied Financial Economics,11(4),445-456。
7.
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8.
Engle, R. F.、Ng, V.、Rothschild, M.(1990)。Asset pricing with a factor ARCH covariance structure: empirical estimates for Treasury Bills。Journal of Econometrics,45(1/2),213-238。
9.
Epps, W.、Epps, M.(1976)。The stochastic dependence of security price changes and transaction volumes: Implications for the mixture of distribudistributions hypothesis。Econometrica,44(2),305-321。
10.
Hafner, C. M.(1998)。Estimating high-frequency foreign exchange Rate volatility with nonparametric ARCH models。Journal of Statistical Planning and Studies,3(2),281-307。
11.
Salman, F.(2002)。Risk-return-volume relationship in an emerging stock market。Applied Economics Letters,9(8),549-552。
12.
Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。
13.
Tauchen, G. E.、Pitts, M.(1983)。The price variability-volume relationship on speculative markets。Econometrica,51(2),485-506。
14.
Andersen, Torben G.(1996)。Return volatility and trading volume: An information flow interpretation of stochastic volatility。Journal of Finance,51(1),169-204。
15.
Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。The Journal of Finance,45(1),221-229。
16.
Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。
17.
Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。
18.
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。
19.
Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。
20.
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。
21.
Ding, David K.、Lau, Sie Ting(2001)。An Analysis of Transactions Data for the Stock Exchange of Singapore: Patterns, Absolute Price Change, Trade Size and Number of Transactions。Journal of Business Finance & Accounting,28(1/2),151-174。
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