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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31666

    Title: 臺灣股市波動性結構轉折之探討
    Other Titles: Structural change in volatility of Taiwan stock market.
    Authors: 王金萬;Wang, Chin-wan
    Contributors: 淡江大學財務金融學系碩士班
    李命志;Lee, Ming-chih
    Keywords: 波動性;變異數異質性;結構性轉折點;Volatility;GARCH;structural break
    Date: 2005
    Issue Date: 2010-01-11 01:06:46 (UTC+8)
    Abstract: 本研究利用Bai and Perron(1998)提出內生結構性轉折點之程序,來尋找台灣股市在1980年至2004年之間,是否存在結構性轉折點並且進行相關之探討。實證結果如下:
    2.依循Bai and Perron(1998)結構性轉折點之程序,所找出的結構轉折點為1988
    In this paper we review the factors that lead to change on volatility of stock market and use alternative methodologies of endogenous breakpoint detection in order to analyze whether the volatility of Taiwan stock market has changed significantly over the period 1980-2004. We follow the framework of Bai and Perron(1998) and use their sequential procedure and estimated critical value.
    The main finding of this research are summarized as follows :
    1. In the sample GARCH(1,1) without break. We can find the GARCH effect is signifiicant. The variance is modeled as deterministic of past variances and error term.
    2. We use the framework of Bai and Perron(1998). We can find the sup LR statistic to the last week of December 1988 is maximum and the statistic above the critical. So the last week of December 1988 is structural break. The main reason is the global crash if stock market.
    3. We consider the structural break in the mean equation. We still find the GARCH effect is significent. The constant term are not significantly different. But the lag return are significantly different.
    4. We consider the structural break in the variance equation. We still can find the GARCH effect is significant.
    5. When we consider the structure break in the mean equation and variance equation, we find the sup LR statistic to March 1987 is maximum.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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