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| 研究生： |
李家昇 |
|---|---|
| 論文名稱： |
偏態預測:台灣加權指數報酬率之研究 Predicting conditional skewness:Evidence from the return distribution of the Taiwan Stock Exchange Value-Weighted Index |
| 指導教授： | 郭炳伸 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2007 |
| 畢業學年度： | 95 |
| 語文別： | 英文 |
| 論文頁數： | 32 |
| 中文關鍵詞： | 偏態 、不對稱性 、交易量 |
| 外文關鍵詞： | conditional skewness, skewed Student's t distribution, trading volume |
| 相關次數： | 點閱：130 下載：82 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
此論文研究有什麼因子會影響台灣股票加權指數報酬率之偏態係數。過去的文獻顯示，交易量和報酬率為可能的因子。實證的結果確實發現，交易量和報酬率顯著地影響偏態係數。
This study examines the determinants for conditional skewness of the return distribution of the Taiwan Stock Exchange Value-Weighted Index. Important driving factors that affect conditional skewness, based on the theory literature, include trading volumes and returns. To capture the skewness in the data, the family of time series model we consider focuses on the specifications of higher-order moments than mean and volatility that conventional models look at. With the specifications, we are able to test whether the factors, volumes and returns, can influence conditional skewnees of the return distribution. Our results suggest the significance of the factors using data from the Taiwan Stock Exchange Value-Weighted Index.
Abstract I
Table of Contents II
Chapter 1. Introduction 1
Chapter 2. Model 7
2.1 Mean and Volatility Equation 8
2.2 Error Distribution 9
2.3 Laws of Motion for Shape Parameters 10
2.4 Complete Model 14
Chapter 3. Empirical results 17
3.1 Data Descriptions 17
3.2 Model Diagnostics 17
3.3 Estimation Results 19
3.3.1 Mean and Volatility Equations 19
3.3.2 Trading Volume on Skewness 19
3.3.3 Return on Skewness 21
3.3.4 Relationship between Past Skewness
and Current Skewness 22
Chapter 4. Conclusion 23
References 25
The List of tables 27
The List of Figures 29
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