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題名:股價波動性與結構性轉變之探討--不同漲跌幅限制下的分析
書刊名:臺大管理論叢
作者:沈中華 引用關係黃河泉
作者(外文):Shen, Chung-huaHuang, Ho-chan
出版日期:1994
卷期:5:2
頁次:頁23-45
主題關鍵詞:價格限制隨時間變化波動性Price limitTime-varying volatility
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(6) 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:5
  • 共同引用共同引用:0
  • 點閱點閱:45
本文針對股價漲跌限幅對臺灣平均股價報酬率、波動程度和結構模型的影響作一有系統的探討。和以往文獻最大不同在於本文模型允許股價報酬和波動可以互相影響,並考慮在不同漲跌限幅之下有無結構性改變。 本文發現漲跌限幅由5%縮小為3%,平均報酬率雖有上升但統計上不顯著,當由5%放寬為7%,則平均報酬率顯著地下跌。至於股價波動在三個不同漲跌限幅期間均顯著地不同,放寬漲跌幅的確使波動增大。最後我們發現股價波動產生模型並不受漲跌限幅的影響,所有係數均沒產生結構性改變。
The effect of price limit on the stock return, volatility and the structural change is pursued through a generalized autoregressive conditional heterscedasticity (GARCH) model. The interaction between stock returns and its volatility is permitted in each price limit regime. While the stock return does not go up when the price limit decreases from 5% to 3%, the return significantly drop when the price limit increases from 5% to 7%. The stock volatility, however, is substantially different across three regimes. The higher the price limit, the larger is the volatility. Finally, the GARCH model does not suffer from the structural change when price limits change.
期刊論文
1.李又剛(19890100)。股價漲跌限幅措施下的我國股市與美、日、港三國股市之比較。臺北市銀月刊,20(1)=232,14-26。  延伸查詢new window
2.李又剛、林志強(19891100)。中、美、英、日、港五國股市近期之表現。臺北市銀月刊,20(11)=242,6-20。  延伸查詢new window
3.Brown, M. B.、Forsythe, A. B.(1974)。Robust Tests for Equality of Variances。Journal of American Statistical Association,69,364-367。  new window
4.Kodres, L. E.(1993)。Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heterascedastickity。Journal of Business,66,463-490。  new window
5.Lamoureus, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume Versus GARCH Effect。Journal of Finance,45,221-230。  new window
6.Lee, S. B.、Ohk, K. Y.(1992)。Stock Index Futures Listing and Structural Change in Time-Varying Volatility。Journal of Future Market,12,493-509。  new window
7.Najand, M.、Rahman, H.、Yung, K.(1992)。Inter-Currency Transmission of Volatility in Foreign Exchange Futures。Journal of Future Market,12,609-620。  new window
8.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。  new window
9.Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews,5(1),1-50。  new window
10.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
11.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。  new window
12.Fama, Eugene F.(1965)。The Behavior of Stock-Market Prices。Journal of Business,38(1),34-105。  new window
13.Lamoureux, Christopher G.、Lastrapes, William D.(1990)。Persistence in Variance, Structural Change, and the GARCH Model。Journal of Business and Economic Statistics,8(2),225-234。  new window
14.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
15.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
研究報告
1.Bera, A. K.、Jarque, C. M.(1981)。An Efficient Large-Sample Test for Normality of Observations and Regression Residuals。Canberra:Australian National University。  new window
學位論文
1.胡秀琴(1991)。股價波動性、交易制度及停板限制---台灣股市之實證分析(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.林炯垚、盛偉德(1988)。股價漲跌幅限制對股市市場機能影響之研究。中華民國證券市場發展基金會。  延伸查詢new window
2.Efron, B.(1982)。The Jackknife, the Bootstrap and Resampling Plans。Philadelphia:Society for Industrial and Applied Mathematics。  new window
3.Mills, T. C.(1990)。Time Series Techniques for Economists。Cambridge:Cambridge Express。  new window
圖書論文
1.Levene, H.(1960)。Robust Tests for Equality of Variances。Contributions to Probability and Statistics。Palo Alto, CA:Stanford University Press。  new window
 
 
 
 
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