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題名：臺灣股票店頭市場股價報酬波動行為的研究
書刊名：企業管理學報
作者：林楚雄 引用關係／劉維琪 引用關係／吳欽杉
作者(外文)：Lin, Chu-hsiung／Liu, Victor W.／Wu, Chin-shun
出版日期：1999
卷期：44
頁次：頁165-191
主題關鍵詞：波動；不對稱性；條件異質性模型；資訊影響曲線；Volatility；Asymmetry；GARCH model；News impact curves
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(14) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:8
  • 共同引用共同引用:57
  • 點閱點閱:36
　　　　　本文設定以往文獻中的六個不對稱 GARCH 模型，探討臺灣股票店頭市場條件波動 的行為。資料期間是從 1995 年 11 月 3 日到 1997 年 11 月 3 日的日資料進行分析。實 證結果顯示我國店頭市場股價波動除了具有異質性之外，而且波動具有不對稱的現象：好消 息引發的波動較壞消息引發的波動為大，不同於我國股票集中市場股價波動不對稱性的方向 。在六個不對稱 GARCH 模型的配適上，發現符號轉換 GARCH 模型，較能掌握波動行為的不 對稱性。 此點與 Engle 與 Ng （ 1993 ）認為 GJR 模型是一個最好的不對稱 GARCH 模型 並不相同。
　　　　　This paper sets 6 asymmetric GARCH models to study the asymmetric behavior of the conditional volatility in Taiwan OTC stock market. The data collected here are from November 3, 1995 to November 3, 1997. The empirical results show that the conditional volatility of stock returns is heteroskedastic and asymmetric: good news induces the volatility larger than bad one. This effect is different in nature from the finding of auction stock market. We find the Sign-Switching GARCH model is better than the other asymmetric GARCH models in capturing the asymmetric effect. This result also is not the same as the findings of Engle and Ng (1993) that the best model is the one proposed by Glosten, Jagannathan, and Runkle.
期刊論文
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4.Harvey, A. C.、Ruiz, E.、Shephard, N.(1994)。Multivariate stochastic variance models。Review of Economic Studies，61(2)，247-264。  new window
5.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。  new window
6.Higgins, Matthew L.、Bera, Anil K.(1992)。A Class of Nonlinear ARCH Models。International Economic Review，33(1)，137-158。  new window
7.Yang, S. R.、Brorsen, B. W.(1993)。Nonlinear dynamics of daily futures prices: conditional heteroskedasticity or chaos?。Journal of Futures Markets，13(2)，175-191。  new window
8.Akaike, H.(1981)。Likelihood of a Model and Information Critera。Journal of Econometrics，16，3-14。  new window
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12.Hull, J.、White, A.(1987)。The Pricing of Options with Stochastic Volatilities。Journal of Finance，42(2)，281-300。  new window
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14.Engle, R. F.、Lilien, D.、Robins, R.(1987)。Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model。Econometrica，55，391-407。  new window
15.黃柏農(19950100)。多國性股價報酬率的統計特性及星期效果研究--自相關條件異質性模型之應用。中國財務學刊，2(2)，43-76。new window  延伸查詢new window
16.Akaike, H.(1969)。Fitting Autoregressive Models for Prediction。Annals of the Institute of Statistical Mathematics，21，243-247。  new window
17.Bessembinder, H.(1993)。Price Volatility, Trading Volume and Market Depth: Evidence from Futures Markets。Journal of Finance and Quantitative Analysis，28，21-39。  new window
18.Karpoff, J. M.(1986)。A theory of Trading Volume。Journal of Finance，41，1069-1088。  new window
19.Milhoj, A.(1985)。The Moment Structure of ARCH Process。Scandinavian Journal of Statistics，12，281-292。  new window
20.Subba Rao, T.、Gabar, M. M.(1980)。A Test for Linearity of Stationary Time Series。Journal of Time Series Analysis，1，145-158。  new window
21.Nelson, D. B.(1990)。ARCH Models as Diffusion Approximations。Journal of Econometrics，45(1/2)，7-38。  new window
22.Nelson, D.、Foster, D.(1994)。Asymptotic Filtering Theory for Univariate ARCH Models。Econometrica，62，1-41。  new window
23.Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control，18(5)，931-955。  new window
24.Schwert, G. W.(1990)。Stock Volatility and the Crash of '87。The Review of Financial Studies，3，77-102。  new window
25.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement，3(4)，653-665。  new window
26.Breusch, T. S.、Pagan, A. R.(1978)。A Simple Test for Heteroskedastic City and Random Coefficient Variation。Econometrica，46，1287-1294。  new window
27.Gourieroux, C.、Monfort, A.(1992)。Qualitative Threshold ARCH Models。Journal of Econometrics，52，159-199。  new window
28.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics，39，71-104。  new window
29.MacDonald, J. A.、Shawky, H. A.(1995)。On Estimating Stock Market Volatility: An Exploratory Approach。The Journal of Financial Research，18(4)，449-463。  new window
30.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22(1)，109-126。  new window
31.王甡(19950100)。報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析。證券市場發展，7(1)=25，125-161。new window  延伸查詢new window
32.劉曦敏、葛豐瑞(19960100)。臺灣股價指數報酬率之線性及非線性變動。經濟研究. 臺北大學經濟學系，34(1)，73-109。new window  延伸查詢new window
33.Braun, P. A.、Nelson, D. B.、Sunier, A. M.(1995)。Good News, Bad News, Volatility, and Betas。Journal of Finance，50(5)，1575-1603。  new window
34.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics，6(2)，461-464。  new window
35.Rabemananjara, R.、Zakoïan, J. M.(1993)。Threshold ARCH Models and Asymmetries in Volatility。Journal of Applied Econometrics，8，31-49。  new window
36.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance，44(5)，1115-1153。  new window
37.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics，45(1/2)，264-290。  new window
38.Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics，10(4)，407-432。  new window
39.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance，48(5)，1749-1778。  new window
40.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
41.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
42.Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews，5(1)，1-50。  new window
43.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
44.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
45.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
46.Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews，11(2)，143-172。  new window
47.Bollerslev, Tim(1988)。On The Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process。Journal of Time Series Analysi，9(2)，121-131。  new window
48.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society，48(4)，817-838。  new window
49.Ding, Zhuanxin、Granger, Clive W. J.、Engle, Robert F.(1993)。A long memory property of stock market returns and a new model。Journal of Empirical Finance，1(1)，83-106。  new window
50.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。  new window
51.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。  new window
52.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
53.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
54.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。  new window
會議論文
1.許鎮明、謝嘉晉(1995)。台灣股價之非線性檢定分析及預測。第四屆證券暨企融市場理論與實務研討會。高雄。  延伸查詢new window
2.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。The 2nd International Symposium on Information Theory。Akademiai Kiado。267-281。  new window
3.Black, F.(1976)。Studies of Stock, Price Volatility Changes。American Statistical Association: Business and Economic Statistics Section，177-181。  new window
研究報告
1.Fornari, F.、Mele, A.(1995)。Sign- and Volitility- Switching ARCH Model: Theory and Applications to International Stock Market。University of Paris。  new window
圖書
1.Fomari, F.、Mele, A.(1994)。Weak Convergence and Distributional Assumpions for The Asymmetric Power ARCH Model。University of Paris X：Mimeo。  new window
2.Harvey, A.、Shepherd, N.(1993)。Estimation and Testing of Stochastic Variance Models。Londen School of Economics：Mimeo。  new window
3.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
單篇論文
1.林建甫，張焯然(1994)。ARCH族模式的估計檢定與台灣股票市場的實證。  延伸查詢new window
圖書論文
1.Bollerslev, T.、Engle, R. F.、Nelson, D.(1994)。ARCH Models。Handbook of Econometrics。  new window
 
 
 
 
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