English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113822/144841 (79%)
Visitors : 51808372      Online Users : 379
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/88306


    Title: 臺灣股票報酬率分配之實證研究
    An Empirical Study - The Distribution of Taiwan`s Stock Returns
    Authors: 謝育萍
    Hsieh, Yu-Ping
    Contributors: 李桐豪
    Lee, Tung-Hao
    謝育萍
    Hsieh Yu-Ping
    Keywords: 股票報酬率分配
    常態分配
    穩定分配
    序列隨機
    The Distribution of Stock Returns
    Normal Distribution
    Stable Distribution
    Serial Random
    Date: 1994
    1993
    Issue Date: 2016-04-29 15:17:32 (UTC+8)
    Abstract: 本文主要目的在檢定臺灣股票報酬率是否為序列隨機;臺灣股票報酬率分
    配是否符合常態分配、穩定分配。其中實證結果發現:拒絕臺灣股票報酬
    率為序列隨機;拒絕臺灣股票報酬率分配呈常態分配、穩定分配。由於拒
    絕臺灣股票報酬率為序列隨機,故將原資料隨機化後再次進行常態、穩定
    分配之檢定、結果發現拒絕隨機化後之臺灣股票報酬率分配呈常態分配,
    但不能拒絕隨機化後之臺灣股票報酬率分配呈穩定分配。
    Reference: [1] 伍忠謙(民國75年),台灣股票市場價格變動習性為隨機漫步假定之再驗證,淡江大學管理科學研究所管理經濟組碩士論文。
    [2] 林玩香(民國80年),SAS使用手冊(下),儒林圖書公司印行。
    [3] 林啟淵(民國68年),貨幣供給對台灣股票市場影響之研究,政治大學企業管理研究所碩士論文。
    [4] 林煜宗(民國67年),“市場因素對台灣證券市場股票變動之影響”,證交資料,194期,1-9。
    [5] 徐世豪(民國68年),台灣證券有效性之研究-過濾法投資效益之評估,政治大學企業管理研究所碩士論文。
    [6] 張金桂(民國69年),台灣股票市場股價行為之實證研究,大同工學院事業經營研究所碩士論文。
    [7] 簡仁德(民國70年),台灣證券市場價格變動習性為隨機漫假定之實證分析,淡江大學管理科學研究所博士論文。

    英文部份:
    [8]Alexander, S. S. (1961), "Price Movements in Speculative Markets:
    Trends or Random Walks," Industrial Management Reviews II, 7-26.
    [9]Alexander, S. S. (1964), "Price Movements in Speculative Markets:
    Trends or Random Walks, No.2" Industrial Management Reviews V,
    25-46.
    [10]Blattberg, R. C., and Gonedes, N. J. (1974), "A Comparison of Stable
    and Student Distributions as Statistical Models for Stock Prices,"
    Journal of Business, 47, 244-280.
    [ll]Cootner, P. H. (1962), "Stock Prices: Random V.S . Systematic

    Changes," Industrial Management Review III, 25-45.
    [12]DuMouchel, W. H. (1971), "Stable Distributions in Statistical
    Inference, " Unpublished Ph. D. dissertation, Yale University.
    [13]Fama, E. F. (1965), "The Behavior of Stock Market Prices," Journal of
    Business, 38, 34-105.
    [14]Fama E. F. (1976), Foundations of Finance 0 •
    [15]Fama, E. F., and Roll, R. (1968), "Some Properties of Symmetric
    Stable Distributions," Journal of the American Statistical Association,
    63,817-836.
    [16]Fama, E. F., and Roll, R. (1971), "Parameter Estimates for S yrrunetric
    Stable Distributions," Journal of the American Statistical Association,
    66, 331-338.
    [17]Feller, W. (1971), An Introduction to Probability Theory and its
    Applications, II, 2nd ed.
    [18]Fielitz, B. D., and Rozelle, 1. P. (1983), "Stable Distributions and
    Mixtures of Distributions Hypotheses for Common Stock Returns,"
    Journal of the American Statistical Association, 78, 28-36.
    [19]Fielitz, B. D., and Smith, E. W. (1972), "Asymmetric Stable
    Distributions of Stock Price Changes," Journal of the American
    Statistical Association, 67, 813-814.
    [20] Granger, C. W. 1., and Morgenstern, O. (1963), "Spectral Analysis of
    New York Stock Market Prices," Kyklos 16, 1-27.
    [21]Hagerman, R. L. (1978) "More Evidence on the Distribution of Security
    Returns," Journal of Finance 33, 1213-1221.
    [22]Holt, D. R., and Crow, E. L. (1973), "Tables and Graphs of the Stable
    Probability Density Functions," Journal of the American Statistical
    Association, 77B, 143-198.
    [23]Hsu, D. A., Miller, R. B., and Wichel1\\ D. W. (1974), "On the Stable
    Paretian Behavior of Stock Market Prices," Journal of the American
    Statistical Association, 69, 108-113.
    [24]Kendall, M. G. (1953), "The Analysis of Economic Time-Series Part I:Prices," Journal of the Royal Statistical Society, 96, 11-25.
    [25]Kon, S. J. (1 984), "Models of Stock Returns-A Comparison," Journal of Finance, 39, 147-165.
    [26]Leitch, R. A., and Paulson A. S. (1975), "Estimation of Stable Law
    Parameters: Stock Price Behavior Application," Journal of the
    American Statistical Association, 70, 690-697.
    [27]Mandlebrot, B. (1963), "The Variation of Certain Speculative Prices,"Journal of Business, 36, 394-419.
    [28]McCulloch, J. H. (1986), "Simple Consistent Estimators of Stable
    Distribution Parameters," Communications in Statistics: Simulation and
    Computation, 15, 1109-1136.
    [29]Moore, A. B .(1960), "Some Characteristics of Changes in Common
    Stock Prices" Ph. D. Dissertation (Abstract) Graduate School of
    Business, University of Chicago.
    [30]Press, S. J. (1972), "Estimation in Univariate and Multivariate Stable
    Distributions, " Journal of the American Statistical Association, 67,
    842-846.
    [31]Solnik, B. H. (1973), "Note on the Validity of the Random Walk for
    European Stock Prices" Journal of Finance, 28, 1151-1159.
    [32]Tucker, A. L. (1992), "A Reexamination of Finite - and
    InfInite-Variance Distributions as Models of Daily Stock Returns,"
    Journal of Business & Economic Statistics, 10, 73-81.
    [33]Westerfield, R. (1977),"The Distribution of Common Stock Prices
    Changes: An Application of Transactions Time and Subordinated
    Stochastic Models," Journal of Financial and Quantitative
    Analysis,743-765.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    81351014
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002003781
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2223View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback