報酬率非對稱性與波動度非對稱性之實證研究

Abstract

近來已有不少實證研究嘗試利用泡沫理論以及異質性投資者理論來預測股價指數報酬率的非對稱性。然而，這些實證研究並未得到一致的結論。在本論文中，我們注意到這兩項經濟理論或許可用來預測波動度非對稱性，但是未必可用於預測報酬率分配的非對稱性。我們藉由Hansen (1994) 的自我迴歸條件分配 (ARCD 模型)，搭配不同的非對稱條件變異設定方式進一步驗證我們的論點。

There are certain recent studies that attempt to predict return asymmetry using the bubble theory and the investor - heterogeneity theory. However, their empirical findings are not conclusive. In this thesis, we demonstrate that these economic theories may be useful for predicting volatility asymmetry but not necessarily useful for predicting return asymmetry. We also examine this point by applying the autoregressive conditional density models of Hansen~(1994, International Economic Review, 705--730) with various volatility asymmetry specifications to an empirical study of stock index returns, and find that the empirical results are consistent with our viewpoint.