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題名:大型權值股之風險、報酬、波動性與同期交易量的關係--以亞洲金融風暴過後華人地區股市的實證分析
書刊名:臺灣銀行季刊
作者:劉映興陳英豪陳家彬 引用關係
出版日期:2010
卷期:61:3
頁次:頁301-323
主題關鍵詞:大型權值股亞洲金融風暴
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(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:1
  • 點閱點閱:71
本文主旨在探討華人地區之台灣、香港、新加坡、上海及深圳等地的股票市場,研究其股價的波動風險、報酬、條件波動性與同期 (contemporaneous) 交易量之間的關係。驗證期間為 1999年 1月 2日起至 2004年 11月 12日為止,觀察亞洲金融風暴過後的日交易資料,比較分析華人地區股票市場大型權值股之股價的波動習性。本文共採計 40家個別公司的股票資料,最後經由實證歸納以下結論:一、華人地區股票市場股價報酬波動均具有群聚性與持續性。另外,我們的結果也支持股價波動與同期交易量為正相關,尤其以已開發市場(香港和新加坡)較新興市場(台灣、上海與深圳)的股市對於同期交易量在解釋股價波動的能力上更加明顯。二、發現新興市場的股市明顯存有風險溢酬,而且他們比已開發市場有更多證據顯示股價的波動具有不對稱性及槓桿效果。
期刊論文
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圖書
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