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    题名: 漲跌停板限制下之股票報酬機率分配
    作者: 葉宜欣
    Yeh, Yi-Shian
    贡献者: 郭維裕
    葉宜欣
    Yeh, Yi-Shian
    关键词: 機率分配
    股票報酬率
    厚尾現象
    一般化第二種貝它分配
    最大概似法
    常態分配及對數常態分配
    概似比檢定法
    偏態和峰態
    probability distribution
    stock return
    thick tail
    Generalized Beta of The Second Kind;GB2
    maxmun likelihood estimation
    normal distribution and log-normal distribution
    likelihood ratio test (LR test)
    skewness and kurtosis
    日期: 2000
    上传时间: 2016-03-30 17:43:18 (UTC+8)
    摘要: 股票市場的報酬率相對於金融市埸是非常重要的，因為其背後的真實機率分配對各種資產定價及選擇權的評價模型都有決定性的影響。本文考慮台灣股票市埸具有漲跌停板的限制來驗證實證中股票報酬機率分配的「厚尾」的現象，希望透過我們的研究能對財務理論在國內金融市埸的應用有更進一步的了解。我們選定了常態分配、對數常態分配及一般化第二種貝它分配 (GB2)來當作是台灣股票報酬率的真實機率分配，以動差法比較再以概似比檢定法(LR test)選出一表現最好的機率分配。由選取的25支國內股票中發現一般化第二種貝它分配 (GB2)可以解釋偏態和峰態對報酬率的影響並且也是概似比檢定法所選出的最適報酬率分配，由此可知一般化第二種貝它分配 (GB2)較為適合作為台灣股票報酬的真實機率分配。
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    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    87351019
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002002047
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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