淡江大學機構典藏:Item 987654321/80313
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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/80313


    Title: 美國存託憑證與其標的股票之波動性 – 跳躍與門檻自我迴歸模型之應用
    Other Titles: The Dynamic Relationships between ADR and the Underlying Stocks: The Application in ARJI and TAR Model
    Authors: 蘇欣玫;鄒易凭;鄭婉秀
    Contributors: 淡江大學財務金融學系
    Keywords: ARJI模型;偏態t分配;門檻自我迴歸模型;跳躍頻率;美國存託憑證
    Date: 2007-05
    Issue Date: 2013-01-21 19:00:06 (UTC+8)
    Publisher: 新北市:輔仁大學
    Abstract: 本文以Chan and Maheu (2002)所提出ARJI (Autoregressive Conditional Jump Intensity)模型探討台積電、聯電與日月光等三檔美國存託憑證(ADR)及其標的物之波動性,同時考量報酬率呈現非常態之特性,因此採用偏態t分配 (Skewed student t distribution) 進行實證分析。再者,本文進一步納入Hansen (1996)所提出之門檻自我迴歸模型(Threshold Autoregression model, TAR),估計ADR報酬率之門檻值,將樣本區分為高報酬與低報酬區間,並將其與波動性相對應,分析在高報酬區間之波動行為與低報酬區間之波動行為有何差異。最後,選取樣本期間內之重大事件,探討事件期間ADR與其現貨之特性。由ARJI模型估計結果顯示,不連續跳躍過程是影響報酬率不可忽視的重要現象,而當ADR與現貨報酬落入低報酬區間時,其平均跳躍頻率及機率都相對較大,表示異常負面消息的衝擊反應較為強烈,存在不對稱效果。在重大事件的衝擊影響方面,美國911事件所造成之衝擊最為強烈,其次為國內319 槍擊案,其餘事件下之反應則因各檔股票之差異而有不同。
    Relation: 輔仁管理評論 14(2),頁27-45
    DOI: 10.29698/FJMR.200705.0002
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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