政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/86455

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 50970261 Online Users : 933

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/86455

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86455

Title:	台灣股票市場波動之研究 The research of Taiwan`s stock market volatility
Authors:	陳功業 Chen, Kuang-Yeh
Contributors:	饒秀華 Rao, Hsiu-Hua 陳功業 Chen, Kuang-Yeh
Keywords:	股票市場波動性基本面與交易面一般自我迴歸異質條件變異數模型 Stock market volatility GARCH , TGARCH Turnover , trading volume growth VAR(12) , SUR(5)
Date:	1997
Issue Date:	2016-04-27 11:22:26 (UTC+8)
Abstract:	本文主要在探討影響台灣股票市場波動的因素，除了考慮以之前學者設定的 VAR(12)模型研究，另外以 SUR(5)模型來討論股市波動與基本面、交易面間的關係；最後，再以自我迴歸異質條件變異數模型來分析股市波動的特性。最重要的是，我們會根據誤差項的各類檢定結果來判定研究股市波動性質的最佳模型。 My essay`s topic focuses on discussing the factors that influence stock market volatility in Taiwan`s stock market. Besides VAR(12) model as previous researchers have studied, I tries to set up SUR(5) models analyzing the relationship among the stock market volatility、the foundamental variables`volatilities and trading activities; Then I cited ARCH models ( autoregressive conditional heteroskedisticity models ) to find out the characteristics of stock market volatility. Most important of all, according to each misspecification test ( residual test ), I would specify the better models to describe the stock market volatility.
Description:	碩士國立政治大學國際經營與貿易學系 85351006
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002001907
Data Type:	thesis
Appears in Collections:	[國際經營與貿易學系 ] 學位論文

Files in This Item:

File	Size	Format
index.html	0Kb	HTML2	332	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...