政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53828
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53828


    Title: 股票交易量與價格變動高階動差相依關係之探討---copula方法的應用
    Other Titles: A Study on the Dependence between Trading Volume and the Higher Moments of Stock Return---A Copula Approach
    Authors: 杜化宇
    Contributors: 國立政治大學財務管理學系
    行政院國家科學委員會
    Keywords: 價量關係;copula 方法;選擇權資訊內涵
    price-volume relationship;copula method;Information content of options
    Date: 2009
    Issue Date: 2012-10-22 11:11:08 (UTC+8)
    Abstract: 本研究探討股票交易量與價格變動高階動差(higher moments)(波動度、偏態)之間的 關係，並驗證Mixture of Distribution Hypothesis 以及Representative Investor Theory(versus Investor Heterogeneity Theory)。與過去研究不同，本研究使用copula 的方法以避免過去 研究中對於股票報酬作常態分配假設的偏誤。此外copula 方法不但可觀察價格變動與交 易量之間相依程度，而且尚可瞭解其相依的結構(如不對稱，尾端相依等)。其次，本研 究使用指數選擇權隱含的波動度及偏態(implied volatility and skewness)，而非過去研究 常用的實現(realized)的波動度及偏態。我們選用Bakshi et al.(2003)所發展的無模型限制 (model-free)的隱含波動度及偏態以避免由於Black-Scholes 模型所造成的偏差，並藉此 驗證選擇權市場的效率性。
    The dependence between volume and higher-moments of stock returns (volatility and skewness) is examined to test the Mixture of Distribution Hypothesis (MDH) and the Representative Investor Theory (versus Investor Heterogeneity Theory, proposed by Hong and Stein (2003)). Copula method is employed because of its capacity in modelling the dependence degree and structure between variables without the constraint of distribution assumption. In particular, it can describe their tail dependence once the extreme event happens. Instead of the realized volatility and skewness used widely in the previous studies, we use the model-free option-implied volatility and skewness as proxies of higher-moments of stock returns.
    Relation: 應用研究
    學術補助
    研究期間:9808~ 9907
    研究經費:520仟元
    Data Type: report
    Appears in Collections:[Department of Finance] NSC Projects

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