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題名:類神經網路在臺灣人壽保險業股票風險溢酬預測的應用
書刊名:資訊管理學報
作者:黃金生 引用關係施東河劉建利
作者(外文):Huang, Chin-shengShih, Dong-herLiu, Chien-li
出版日期:1996
卷期:3:1
頁次:頁63-80
主題關鍵詞:類神經網路股票風險溢酬套利定價理論一般化自迴歸條件異質變異數Artifical neural networkStock risk premiumsArbitrage pricing theoryGARCH
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(1) 專書(0) 專書論文(0)
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  • 點閱點閱:45
本研究嘗試以類神經網路及GARCH模型來預測台灣人壽保險業股票之風險溢酬。基於Ross(1976)的套利定價理論,本研究的預測模型擴充原Chen, Roll and Ross(1986)及Mei and Saunders(1994)之 財務預測模型,並涵蓋台灣保險業市場特徵及政治環境變數。本研究經由類神經網路模型之訓練及測試以及GARCH的統計檢定,來確認影響台灣保險業風險溢酬之重要經濟變數。本研究結果指出保險產業特徵及政治變數對風險溢酬有顯著貢獻,同時台灣壽險產業與不動產業間亦存在外溢效果。實證結果顯示本類神經網路模型將提供保險業風險溢酬之財務預測領域另一有潛力之方向。
In this study, we employ an artificial neural network model and GARCH model as finan-cial vehicles for forecasting risk premiums on Taiwan life insurance industry. Specifically, in the spirit of Ross's(l976) arbitrage pricing theory, our models of this research extend the origin-nal Chen, Roll, and Ross(1986), and Mei and Saunders(l994) to include the characteristics of Taiwan insurance market and variables of political environment. Our neural network model and GARCH model are able to identify the important economic variables of risk premium on insurer stocks. Moreover, the insurance industry characteristics and political variable are shown significantly contributing to the insurance risk premium. Meanwhile, there is significant spill-over effect between Taiwan life insurer and real estate industry. The encouraging results of this study suggest this neural network model is promising in the field of risk premium forecast-ing on insurer stocks.
期刊論文
1.Funahashi, K.-I.(1989)。On the approximate realization of continuous mappings by neural networks。Neural Networks,2(3),183-192。  new window
2.Fama, Eugene F.、French, Kenneth R.(1989)。Business Conditions and Expected Returns on Stocks and Bonds。Journal of Financial Economics,25(1),23-49。  new window
3.Huang, Chin-Sheng、Dorsey, Rossey E.、Boose, Mary Ann(1994)。Life insurer financial distress prediction: A neural network model。Journal of Insurance Regulation,13(2),131-167。  new window
4.Liu, C. H.、Mei, J.(1992)。The predictability of returns on equity REITs and their co-movement with other assets。Journal of Real Estate Finance and Economics,5(4),401-418。  new window
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7.李志忠(19870700)。臺灣不動產業之概況。人與地,43,20-27。  延伸查詢new window
8.邱靖博(19890700)。臺灣保險市場現況與未來發展方向。經濟前瞻,15,43-49。  延伸查詢new window
9.Campbell, J. Y.(1987)。The Term Structure of Euromarket Interest Rates: An Empirical Investigation。Journal of Monetary Economics,19,25-44。  new window
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17.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
18.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
19.Ross, Stephen A.(1976)。The Arbitrage Theory of Capital Asset Pricing。Journal of Economic Theory,13(3),341-360。  new window
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會議論文
1.Hecht-Nielsen, R.(1987)。Kolmogorov's Mapping Neural Network existence Theorem。IEEE First International Conference on Neural Networks,11-14。  new window
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學位論文
1.黃理哲(1994)。台灣股票市場股票報酬解釋因素之探討(碩士論文)。國立中山大學。  延伸查詢new window
2.余榮聰(1974)。重要事件對我國股價影響之研究(碩士論文)。國立政治大學。  延伸查詢new window
3.許雅惠(1994)。臺灣人壽保險業經營策略與經營績效之相關研究(碩士論文)。國立臺灣大學。  延伸查詢new window
4.葉俊雄(1993)。外匯市場非線型時間序列之實證研究--自迴歸條件異質變異數與類神經網路模式分析法(碩士論文)。國立政治大學。  延伸查詢new window
5.呂家彥(1993)。台灣地區壽險市場規模經濟之研究(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.葉怡成(1993)。類神經網路模式應用與實作。台北:儒林圖書公司。  延伸查詢new window
2.Hertz, J.、Krough, A.、Palmer, R. G.(1991)。Introduction to the Theory of Neural Computation。Reed-wood City, Calif:Addison-Wesley Publishing Company, Inc.。  new window
3.Hecht-Nielsen, Robert(1990)。Neurocomputing。Addison-Wisley。  new window
圖書論文
1.Rumelhart, D. E.、Hinton, G. E.、Williams, R. J.(1986)。Learning internal representations by error propagation。Parallel Distributed Processing: Explorations in the Microstructure of Cognition。Cambridge, MA:MIT Press。  new window
2.Rumelhart, D. E.、Hilton, G. E.、McClenland, J. L.(1986)。A General Frarework for Parallel Distributed Processing。Parallel Distributed Processing: Exploration in the Microstructures of Cognition。Mass:MIT Press。  new window
3.White, H.(1988)。Economic Prediction using Neural Networks: The Case of IBM daily Stock Return。Neural Networks in Finance and Investing。Chicago,:Probus Publishing Co。  new window
4.Black, Fischer、Jensen, Michael C.、Scholes, Myron(1972)。The Capital Asset Pricing Model: Some Empirical Tests。Study in the Theory of Capital Markets。Praeger。  new window
 
 
 
 
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