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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/31007
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31007


    Title: 以狀態轉換模型檢視台灣產業與市場之相關結構
    Regime Switching in Correlations:the Case of Industry and Market Portfolios in Taiwan
    Authors: 葉柏良
    Yeh, Po Liang
    Contributors: 盧敬植
    葉柏良
    Yeh, Po Liang
    Keywords: 狀態轉換
    Date: 2007
    Issue Date: 2009-09-14 09:03:00 (UTC+8)
    Abstract: 國內外股市普遍發現:在多頭市場下,個股與市場關連性低;空頭市場下,個股與市場關連度高。造成多數投資人往往在股市多頭上方獲利受阻,反而在空頭市場下承擔更多的下方風險。最早將此議題至入資產分配的是Ang and Bekaert (2002)之馬可夫狀態轉換模型,他們將相關程度高、波動度高、預期報酬低視為一種狀態;相關程度低、波動度低、預期報酬高視為另一種狀態。然而考慮這種絕對關係在台灣可能不明顯下,本研究僅僅將狀態設定為高相關程度與低相關程度,因為我們希望能透過馬可夫狀態轉換模型,根據台灣個別產業與市場相關之特性,尋找出由產業組成之投資組合,同時具有風險分散並追求高獲利能力,以因應不同的市場環境。本研究並會針對歸類出的產業,提供投資台股組合配置的建議。
    Reference: Hamilton, James D., 1988, Rational Expectation Economic Analysis of Changes in Regimes: An Investigation of the Term Structure of Interest Rates, Journal of Economic Dynamic and Control, 1,385-423.
    Diebold, Francis X., Joon-Haeng Lee, and Gretchen C. Weinbach, 1994, Regime Switching with Time-Varying Transition Probabilities, in Colin P. Hargreaves,
    ed.: Nonstationary time series analysis and cointegration (Advanced Texts in Econometrics.Oxford and New York: Oxford University Press).
    Gray, Stephen F., 1995, An Analysis of Conditional Regime Switching Models,(Duke University).
    Gray, Stephen F., 1996, Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process, Journal of Financial Economics 42, 27-62.
    Hamilton, James D., 1990, Analysis of Time Series Subject to Changes in Regime,Journal of Econometrics 45, 39-70.
    Hamilton, James D., 1994. Time series analysis (Princeton: Princeton University Press).
    Cai, Jun.,1994, A Markov Model of Switching-Regime ARCH, Journal of Business and Economic Statistics, 12,309-316.
    Garcia, Rene and Pierre Perron, P., 1996, An Analysis of the Real Interest Rate under Regime Shifts, The Review of Economics and Statistics, 78,112-125.
    Bekaert, Geert, Robert J. Hodrick, and David A. Marshall, 1997, Peso Problem Expectaton for Term Structure Anomalies, Journal of Economics 48, 241-270.
    Ang, Andrew and Geert Bekaert. (2002a), International Asset Allocation with Regime Shifts. Review of Financial Studies, vol. 15, no. 4(Fall):1137-1187.
    Ang, Andrew and Geert Bekaert. (2002b). Regime Switches in Interest Rates. Journalof Business and Economic Statistics, vol. 20, no. 2 (April): 163-182.
    Ang, Andrew and Geert Bekaert. (2002c). Short Rate Nonlinearities and Regime Switches. Journal of Economic Dynamics and Control, vol. 26, no. 7-8 (July): 1243-1274.
    Ang, Andrew and Geert Bekaert (2003), How Do Regimes Affect Asset Allocation?,NBER. Working Paper 10080.
    Pelletier, Denis, 2006, Regime Switching for Dynamic Correlations, Journal of Econometrics 131, 445-473.
    沈中華, 1993,台灣遠期美元外匯市場效率性之再檢定—兩狀態Markov 模型的應用,經濟論文叢刊,第21 卷第1 期,87-115
    林向愷、黃裕烈與管中閔, 1998,台灣景氣循環轉折點認定與經濟成長率預測,經濟論文叢刊,第26 卷第4 期,431-457
    林常青、洪茂蔚與管中閔, 1998, 台灣短期利率的動態行為:狀態轉換模型的應用,經濟論文叢刊,第30 卷,29-55
    黎明淵, 2001,馬可夫轉換模型應用性與合用性探討,政治大學國際貿易學研究所博士論文
    黃裕烈, 1996, Markov Switching Model:台灣實質GDP 的應用,台灣大學經濟學系研究所博士論文
    Description: 碩士
    國立政治大學
    財務管理研究所
    95357019
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095357019
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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