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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳宜廷(Yi-Ting Chen) | |
| dc.contributor.author | Chun-Yao Chao | en |
| dc.contributor.author | 趙俊堯 | zh_TW |
| dc.date.accessioned | 2021-06-13T01:48:50Z | - |
| dc.date.available | 2010-07-16 | |
| dc.date.copyright | 2007-07-16 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-10 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/30283 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T01:48:50Z (GMT). No. of bitstreams: 1 ntu-96-R93723002-1.pdf: 353668 bytes, checksum: 6ddd7220a941df5a8fa4fc91eb1fa0d7 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 1 Introduction 1
2 The Economic Hypotheses 5 2.1 The Leverage Effect . . . . . . . . . . . .. . . . . . 5 2.2 The Volatility-Feedback Effect . . . . . . . . . . . . . 5 2.3 The Bubble Theory . . . . . . . . . . . . . . . .. . . 6 2.4 The Investor-Heterogeneity Theory . . . . . . . . . . . 7 3 The Autoregressive Conditional Density Models 9 4 The Empirical Study 13 4.1 Model Specifications . . . . . . . . . . . . . . . . . 13 4.2 Data and Empirical Results . . . . . . . . . . . . . . 17 5 Conclusions 27 A Appendix: Gauss Code for Estimating the ARCD Model 32 | |
| dc.language.iso | en | |
| dc.subject | 波動非對稱性 | zh_TW |
| dc.subject | 報酬率非對稱性 | zh_TW |
| dc.subject | return asymmetry | en |
| dc.subject | volatility asymmetry | en |
| dc.title | 報酬率非對稱性與波動度非對稱性之實證研究 | zh_TW |
| dc.title | An Empirical Study on Volatility Asymmetry and Return Asymmetry | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 管中閔(Chung-Ming Kuan) | |
| dc.contributor.oralexamcommittee | 何泰寬(Tai-Kuang Ho) | |
| dc.subject.keyword | 波動非對稱性,報酬率非對稱性, | zh_TW |
| dc.subject.keyword | volatility asymmetry,return asymmetry, | en |
| dc.relation.page | 35 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-10 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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