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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85304


    Title: 股價指數報酬率厚尾程度之研究
    Authors: 李佳晏
    Contributors: 饒秀華
    李佳晏
    Keywords: 一般化柏拉圖分配
    樣本分割預測檢定
    累積平方和檢定
    Generalized Pareto Distribution
    Sample Split Prediction Test
    Cusum of Squares Test
    Date: 2001
    Issue Date: 2016-04-18 16:24:30 (UTC+8)
    Abstract: 許多觀察到的時間序列資料，多呈現高峰厚尾（leptokurtic）的現象，本文引用時間序列資料為Paretian分配之假設，估計各個國家股價指數報酬率於不同頻率資料下之最大級數動差，以觀察其厚尾程度。實證結果發現，各個國家指數報酬率於不同頻率資料下之四級以上動差大部分存在，且不隨資料之頻率不同，而有不同的表現。由此可推論，各個國家股價指數報酬率之歷史分配，其離群值之活動並不嚴重。接著，利用樣本分割預測檢定（Sample Split Prediction Test）來檢定所觀察各個國家股價指數報酬率於同一樣本期間內，其左右尾之厚尾程度是否一致，及檢定所觀察各個國家指數報酬率於跨期間左尾或右尾之厚尾程度是否穩定。在同一樣本期間，檢定時間序列之左右尾之厚尾程度是否一致之檢定中，發現各個國家指數報酬率在所觀察樣本期間內，其左右尾之厚尾程度大致相同；而在跨期間之樣本分割預測檢定中，發現各個國家指數報酬率在像是1987年10月美國股市大崩盤、1990年至1991年間之波斯灣戰爭、1997年亞洲金融風暴等事件前後，其左（右）尾之厚尾程度有顯著差異。最後提出Cusum of Squares檢定，係用於檢定一時間序列資料在所觀察之樣本期間內，其非條件變異數是否為一常數。
    Reference: 中文部份
    葉志鴻（民65年），「證券市場的效率：臺灣股票交易的實證研究」，國立政治大學經研究所碩士論文。
    陳盈賢（民86年），「台灣外匯資產報酬率波動性之實證研究—厚尾分配下的極值匯率報酬」，國立暨南大學經濟研究所碩士論文。
    英文部份
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    88351004
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001517
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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