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政大典藏 > College of Commerce > Department of International Business > Theses > 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:	[Department of International Business] Theses

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