English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51510/86705 (59%)
Visitors : 8270158      Online Users : 103
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    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.
    台灣股市波動性結構轉折之探討
    臺灣股市波動性結構轉折點之探討
    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:
    1.在未考慮結構性轉折點之前,台灣股市的週報酬有明顯的變異數異質的現象存
    在,代表當期的變異數會受前期變異數以及前期誤差所影響。
    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
    年12月的第4週。主要原因為全球性股災。
    3.加入結構轉折點的平均數方程式,台灣股價週報酬仍然有顯著的GARCH現
    象。經過進ㄧ步的檢測發現,常數項並無顯著性差異,但是,前期自我相關向
    呈現顯著性的差異。同時考慮常數項以及前期自我相關項並無發現顯著性的差
    異。
    4.將結構轉折點加入平均數方程式以及變異數方程式,台灣股價週報酬仍然有顯
    著的GARCH現象。
    5.將結構轉折點加入平均數方程式以及變異數方程式所尋找出的結構轉折點為
    1987年3月,原因亦為全球性股災。
    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

    Files in This Item:

    File SizeFormat
    0KbUnknown216View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback