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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 唐代彪(De-Piao Tang) | |
| dc.contributor.author | Yu-Chen Liang | en |
| dc.contributor.author | 梁育宸 | zh_TW |
| dc.date.accessioned | 2022-11-24T03:19:36Z | - |
| dc.date.available | 2021-11-08 | |
| dc.date.available | 2022-11-24T03:19:36Z | - |
| dc.date.copyright | 2021-11-08 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-09-28 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/80864 | - |
| dc.description.abstract | 本研究透過芝加哥交易所(CBOE)以及台灣經濟新報(TEJ)，選取新冠疫情於2020年1月全球爆發，至2021年5月台灣本土案例出現之日資料。本研究蒐集變數各340筆日資料作為研究樣本，包括加權指數、電子類股價指數以及金融保險類股價指數，探討其對於恐慌指數之反應，其中包括台指恐慌指數、CBOE恐慌指數以及富邦期恐慌指數，並利用QQ迴歸模型觀察不同恐慌指數對不同產業別之影響。透過模型可得以下結果： 第一，三個股價指數和台指VIX整體為負向關係。當股價指數在低分位量以及高分位量時，具有負向顯著的關係。然而股價在中位數時，卻有顯著的正向關係，且在台指VIX處於低分位及高分位時更為明顯，亦即恐慌指數的上升有推升股價的效果。 第二，三個股價指數和CBOE VIX整體為正向關係。當股價指數在低分位量以及高分位量時，具有顯著的正向關係。特別是股價在中位數時，擁有顯著的正向關係且較高的估計係數。 第三，加權指數和富邦期VIX的關係整題為負向，加權指數處於中位數時系數為正，但效果並不顯著。統計迴歸結果和台指VIX對加權指數的影響相似，在加權指數處於中位數時，與富邦期VIX有正向關係。 台指VIX對於台股來說具有避險的效果，尤其在股價報酬率暴漲暴跌更為有效。CBOE VIX對於台股來說避險效果較差，甚至沒有辦法避險。儘管富邦期VIX在股價漲跌幅較高時具有避險效果，但相較台指VIX避險效果較差。原因可能是富邦期VIX收費過高導致，VIX指數的漲跌福被較高的經理費、管理費等等費用抑制，導致避險效果較差。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-24T03:19:36Z (GMT). No. of bitstreams: 1 U0001-2709202114424400.pdf: 2521472 bytes, checksum: 099ce07cbd12adbc7f036b4bc8f56e2c (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | 摘要 .................................................................................................................................. 6 第一章 緒 論 .............................................................................................................. 8 第一節 研究動機與背景 ...................................................................................... 8 第二節 研究目的 ................................................................................................ 10 第二章 相關理論回顧與文獻探討 .......................................................................... 12 第一節 疫情對金融市場影響 ............................................................................ 12 第二節 VIX對股票市場影響 ............................................................................ 15 第三節 十年期國債殖利率對股票市場影響 .................................................... 17 第四節 多重分量迴歸相關文獻 ........................................................................ 18 第三章 研究方法 ........................................................................................................ 21 第一節 研究架構 ................................................................................................ 21 第二節 單根檢定 ................................................................................................ 22 第三節 共整合關係 ............................................................................................ 24 第四節 多重分量迴歸 ........................................................................................ 26 第四章 資料來源與處理 ............................................................................................ 28 第一節 資料來源 ................................................................................................ 28 第二節 資料處理 ................................................................................................ 28 第三節 單根檢定結果 ........................................................................................ 37 第四節 共整合檢定結果 .................................................................................... 40 第五節 多重分量模型建立 ................................................................................ 41 第五章 實證結果與分析 ............................................................................................ 42 第一節 簡單迴歸及分量迴歸 ............................................................................ 42 第二節 多重分量迴歸結果 ................................................................................ 52 第六章 結論與建議 .................................................................................................... 58 第一節 結論 ........................................................................................................ 58 第二節 後續研究建議 ........................................................................................ 60 2 參考文獻 ........................................................................................................................ 61 附錄A ............................................................................................................................ 64 附錄B ............................................................................................................................ 67 | |
| dc.language.iso | zh-TW | |
| dc.subject | QQ迴歸 | zh_TW |
| dc.subject | 恐慌指數 | zh_TW |
| dc.subject | VIX | zh_TW |
| dc.subject | 新冠疫情 | zh_TW |
| dc.subject | VIX | en |
| dc.subject | QQ regression | en |
| dc.subject | panic index | en |
| dc.subject | Covid-19 | en |
| dc.title | 新冠疫情下VIX與股票市場之關係研究 | zh_TW |
| dc.title | A Study on the Relations between VIX and Taiwan Stock Market During the Covid-19 Pandemic | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張倉耀(Hsin-Tsai Liu),劉炳麟(Chih-Yang Tseng),高惠娟 | |
| dc.subject.keyword | 新冠疫情,恐慌指數,VIX,QQ迴歸, | zh_TW |
| dc.subject.keyword | Covid-19,panic index,VIX,QQ regression, | en |
| dc.relation.page | 80 | |
| dc.identifier.doi | 10.6342/NTU202103394 | |
| dc.rights.note | 同意授權(限校園內公開) | |
| dc.date.accepted | 2021-09-29 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 國家發展研究所 | zh_TW |
| 顯示於系所單位： | 國家發展研究所 | |
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