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https://ah.lib.nccu.edu.tw/handle/140.119/54699| 題名: | 風險與報酬之間的關係-不對稱MIDAS模型的應用 The Relation between Risk and Return-The Application of ASYMIDAS model |
作者: | 蔡宗泰 | 貢獻者: | 饒秀華、徐士勛 蔡宗泰 |
關鍵詞: | 風險 報酬 GARCH ICAPM GED分配 |
日期: | 2011 | 上傳時間: | 30-Oct-2012 | 摘要: | 風險和報酬彼此之間的關係常常都是資產持有者所關心的，人們願意承受高風險以換取高報酬的情形，似乎相當地合乎直覺，然而學者使用不同模型來估計風險趨避係數，卻發現結果大不相同，而本文採2000年到2010年的台灣加權股價指數報酬率為樣本，延續前人研究利用了不對稱每日報酬平方(Asymmetric MIDAS) 、三個不對稱GARCH in Mean模型: Asymmetric GARCH(1,1)-M，Exponential GARCH(1,1)-M還有考慮金融資產報酬率通常非為常態分配的設定下採取的Exponential GARCH(1,1)-M(GED分配)所計算的條件變異數來替代風險，置入跨期資本資產定價模型(Intertemporal CAPM, ICAPM)來估計風險趨避係數。結果發現Asymmetric MIDAS估計者為正值且顯著，而不對稱GARCH模型下僅有EGARCH(1,1)-M(GED分配)所估計者於金融風暴兩年子樣本期間為正值但不顯著外，其餘皆為負值且不顯著。 | 參考文獻: | Allen L. and J. Jagtiani（2000）,”The Risk Effects of Combining Banking, Securities, and Insurance Activities.” Journal of Economic and Business, 52, 485-497.\n\nBaillie, R.T., DeGennaro, R.P. (1990) “Stock returns and volatility” Journal of Financial and Quantitative Analysis, 25(2), 203–214.\n\nBlack, Fischer, Michael C. Jensen and Myron Scholes. (1972) “The Capital Asset Pricing Model: Some Empirical Tests” Studies in the Theory of Capital Markets. Michael C. Jensen, ed. 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資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0099258010 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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