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| Title: | 報酬率、連續波動度與跳躍項之因果關係-美國與歐洲期貨市場之實證研究
Causality Effect of Returns, Continuous Volatility and Jumps: Evidence from the U.S. and European Index Futures Markets |
| Authors: | 廖志偉
Liao, Chih Wei |
| Contributors: | 廖四郎
Liao, Szu Lang
廖志偉
Liao, Chih Wei |
| Keywords: | 高頻資料
因果關係
槓桿效果
波動度回饋效果
跳躍
High-frequency data
Causality
Leverage effect
Volatility feedback effect
Jumps |
| Date: | 2017 |
| Issue Date: | 2017-08-10 09:47:03 (UTC+8) |
| Abstract: | 本研究旨在探討金融危機期間，美國與歐洲金融市場之日內報酬率、實質波動度、連續波動度與跳躍風險行為之日內因果關係，並採用美國三大指數期貨(S&P 500, Dow Jones, Nasdaq)及歐洲期數期貨(FTSE, DAX, CAC)之高頻資料，檢定是否具有顯著槓桿效果(Leverage Effect)與波動度回饋效果(Volatility Effect)、在報酬率與跳躍風險之間具有相互影響效果。探討在金融危機發生前、後期間其日內報酬率、實質波動度、連續波動度與跳躍項間在1分鐘、5分鐘及60分鐘之抽樣頻率下之日內行為。因此，實證研究包含金融市場之上升及下降趨勢，顯示在金融危機發生後，日內波動度與跳躍項之槓桿效果(Leverage Effect)與波動度回饋效果(Volatility Effect)受到叢聚(Clustering)現象影響且顯著增加。不同抽樣頻率下之因果關係效果在金融危機發生前、中、後期間，特別在5分鐘及60分鐘之抽樣頻率方式，跳躍風險受到波動度回饋效果影響呈顯著增加，此實證結果對政策制定者及投資人具有重要之意涵。
This study examines the intraday causality between returns, volatility and jumps in the U.S. and European markets during the financial crisis. examine whether during the financial crisis, the S&P 500, Dow Jones, Nasdaq, FTSE, DAX and CAC index futures markets have a significant impact on the leverage and volatility feedback effects, as well as whether these interactions also occur between returns and jumps. The intraday behavior of 1-min, 5-min and 60-min sampling of returns, volatility and jumps is examined by employing data from the period between financial crisis. The study covers the major upward and downward trends in the market. Our empirical data indicate the main leverage and volatility feedback effects caused by intraday volatility and jump clustering significantly increased after the financial crisis. The causality effects with different sampling frequencies before, during and after the financial crisis show that jumps have increased the volatility feedback effect, especially when in a 5-min and 60-min sampling frequency is used. These findings have important implications for both policymakers and investors. |
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| Description: | 博士
國立政治大學
金融學系
99352503 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0993525033 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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