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題名：臺灣股價指數報酬率之線性及非線性變動
書刊名：經濟研究. 臺北大學經濟學系
作者：劉曦敏 引用關係／葛豐瑞
作者(外文)：Liu, Shi-miin／Ke, Faung-rate
出版日期：1996
卷期：34:1
頁次：頁73-109
主題關鍵詞：一般化自我迴歸條件異質變異；週天效果；季節效果；交易量效果；不對稱性；GARCH；Day-of-the-week effect；Seasonal effect；Volume effect；Asymmetry
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(15) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:59
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　　　　　本文利用包括不周因子的GARCH (1,1)-M模型，有系統地探討了臺灣股價指數月、週及日報酬率之線性及非線性變動。在對稱模型中，GARCH現象隨著資料頻率的降低逐漸減弱，但季節性在月報酬上最為顯著。殘差呈分配的假設明顯優於t分配的假設，應與我國股市的漲跌幅限制有關。對臺灣股價的日報酬而言，包括交易量變數、季節效果及週天效果的不稱GARCH (1,1)-M模型表現最優。日報酬均數的季節效果及週六效果基本上是穩定而顯著的，變異數的週一效果則會因為模型納入交易量變數、或考量變異數的不對稱性而消失。又負的風險貼水始終與日報酬均數的不對稱性同時出現。最後，顯著的不對稱性透露，臺灣股市有價何追漲的現象，日報酬的波動亦可能因股價下跌、投資人意見紛歧而加劇。
　　　　　This study explores variations in mean and volatility of Taiwan's stock index returns using assorted GARCH(1,1)-M models. Conditional heteroskedasticity weakens gradually as sampling intervals increase form days to months in symmetric models. But seasonality appears most strongly in monthly returns series. Normal distributions suit error terms better than t distributions. Concerning the daily returns, and asymmetric model including volume and market anomaly variables ahs the best performance. Seasonal and Saturday effects are significant in the mean equation, whereas there is a trade-off between Monday effect and volume effect, as well as asymmetry, in the variance equation. Negative risk premium always accompanies mean asymmetry. In addition, traders in Taiwan's stock market tend to buy more when prices are increasing, and have relatively inconsistent opinions when prices are decreasing. Daily returns thus become more volatile as prices are decreasing.
期刊論文
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56.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。  new window
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會議論文
1.Black, Fisher(1976)。Studies in Stock Price Volatility Changes。1976 meeting of the business and economic statistics section。Alexandria：American Statistics Association。177-181。  new window
2.Diebold, F. X.(1987)。Testing for Serial Correlation in the Presence of ARCH。The annual meeting of the American Statistical Association。American statistical association。323-328。  new window
學位論文
1.陳東明(1991)。台灣股市價量關係之研究(碩士論文)。台灣大學。  延伸查詢new window
2.陳柏勳(1992)。股價之非線性時間序列分析--異質條件變異數分析法及泰勒模型之應用(碩士論文)。國立中興大學。  延伸查詢new window
3.賴宏忠(1995)。台灣股市價／量關係與預測--時間數列及技術法則之研究(碩士論文)。國立中興大學。  延伸查詢new window
4.謝嘉晉(1995)。股價之非線性檢定分析及預測(碩士論文)。國立中興大學。  延伸查詢new window
圖書
1.Montgomery, D. C.、Johnson, L. A.、Gardiner, J. S.(1990)。Forecasting and Time Series Analysis。New York：McGraw-Hill。  new window
2.Diebold, F. X.(1988)。Empirical Modeling of Exchange Rates。New York：Springer Verlag。  new window
3.Snedecor, G. W.、Cochran, W. G.(1989)。Statistical Methods。Ames：The Iowa State University Press。  new window
單篇論文
1.張焯然，林建甫(1994)。結構改變的GARCH模型，台灣大學經濟研究所。  延伸查詢new window
2.Glosten, L.，Jagannathan, R.，Runkle, D.(1989)。Relationship Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks，Northwestern University。  new window
圖書論文
1.胡星陽(1993)。台灣股價指數報酬率之時間序列分析。中國財務學會1993論文集。  延伸查詢new window
 
 
 
 
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