政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35128
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113656/144643 (79%)
造访人次 : 51734857      在线人数 : 598
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/35128


    题名: 偏態預測:台灣加權指數報酬率之研究
    Predicting conditional skewness:Evidence from the return distribution of the Taiwan Stock Exchange Value-Weighted Index
    作者: 李家昇
    贡献者: 郭炳伸
    李家昇
    关键词: 偏態
    不對稱性
    交易量
    conditional skewness
    skewed Student`s t distribution
    trading volume
    日期: 2006
    上传时间: 2009-09-18 14:13:44 (UTC+8)
    摘要: 此論文研究有什麼因子會影響台灣股票加權指數報酬率之偏態係數。過去的文獻顯示，交易量和報酬率為可能的因子。實證的結果確實發現，交易量和報酬率顯著地影響偏態係數。
    This study examines the determinants for conditional skewness of the return distribution of the Taiwan Stock Exchange Value-Weighted Index. Important driving factors that affect conditional skewness, based on the theory literature, include trading volumes and returns. To capture the skewness in the data, the family of time series model we consider focuses on the specifications of higher-order moments than mean and volatility that conventional models look at. With the specifications, we are able to test whether the factors, volumes and returns, can influence conditional skewnees of the return distribution. Our results suggest the significance of the factors using data from the Taiwan Stock Exchange Value-Weighted Index.
    參考文獻: 1. Bali, T.G., Mo, H., & Tang, Y. 2006, The role of
    autoregressive conditional skewness and kurtosis in the
    estimation of conditional VaR, Available at SSRN.
    2. Black, F. 1976, Studies in stock price volatility
    changes, Proceedings of the 1976 Business Meeting of the
    Business and Economics Statistics Section, American
    Statistical Association, 177-181.
    3. Cao, H., Coval, J., & Hirshleifer, D. 2002, Sidelined
    investors, trading-generated news, and security returns,
    Review of Financial Studies 15, 651–648.
    4. Chen, J., Hong, H., & Stein, J.C. 2001, Forecasting
    crashes: trading volume, past returns and conditional
    skewness in stock prices, Journal of Financial Economics
    61, 345–81.
    5. Christoffersen, P., Heston, S., & Jacobs, K. 2006,
    Option valuation with conditional skewness, Journal of
    Econometrics 131, 253–284.
    6. Hansen, B.E. 1994, Autoregressive conditional density
    estimation, International Economic Review 35, 705–730.
    7. Harvey, C.R., & Siddique, A. 1999, Autoregressive
    conditional skewness, Journal of Financial and
    Quantitative Analysis 34, 465–487.
    8. Harvey, C.R., & Siddique, A. 2000, Conditional skewness
    in asset pricing tests, Journal of Finance 55, 1263–
    1295.
    9. Hong, H., & Stein, J.C. 2003, Differences of opinion,
    short-sales constraints and market crashes, Review of
    Financial Studies 16, 487–525.
    10. Hueng C.J., & McDonald J.B. 2005, Forecasting
    asymmetries in aggregate stock market returns: evidence
    from conditional skewness, Journal of empirical finance
    12, 666–685.
    11. Hueng C.J. 2006, Short-sales constraints and stock
    return asymmetry: evidence from the Chinese stock
    markets, Applied Financial Economics, 16:10, 707–716.
    12. Lamourex, C.G., & Lastrapes, W.D. 1990,
    Heteroskedasticity in stock returns data: Volume versus
    GARCH effects, Journal of Finance 45, 221–229.
    13. Nelson , D.B. 1991, Conditional heteroskedasticity in
    asset returns: A new approach,Econometrica 59, 347–370.
    14. Patton, A.J. 2004, On the out-of-sample importance of
    skewness and asymmetric dependence for asset
    allocation, Journal of Financial Econometrics 2, 130–
    168.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    94351029
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094351029
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    102901.pdf43KbAdobe PDF2873检视/开启
    102902.pdf61KbAdobe PDF2862检视/开启
    102903.pdf12KbAdobe PDF2794检视/开启
    102904.pdf12KbAdobe PDF2745检视/开启
    102905.pdf25KbAdobe PDF21071检视/开启
    102906.pdf69KbAdobe PDF2870检视/开启
    102907.pdf35KbAdobe PDF2870检视/开启
    102908.pdf14KbAdobe PDF2822检视/开启
    102909.pdf15KbAdobe PDF2777检视/开启
    102910.pdf81KbAdobe PDF2787检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈