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Title: 以隨時間改變向量自我回歸模型分析--台灣與國際股市間的市場效率程度
Time varying VAR model -- Degree of market efficiency between Taiwan and International stock market
Authors: 游書豪
Contributors: 徐士勛
Keywords: 時間修改模型
Date: 2014
Issue Date: 2015-07-01 15:00:02 (UTC+8)
Abstract: 本文有別於傳統效率性的計算方式,改採用 Ito Regression 估計單一市場的效率程度。實證結果發現,在各個單一市場皆看到市場呈現無效率的狀態,因此再用 VAR 的架構檢驗多國市場間的效率程度,結論明顯指出組合市場比單一市場還來的有效率,但同時考慮多個市場的有效率性必須在嚴謹的挑選市場下才能達到效率市場的目標。
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Description: 碩士
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Data Type: thesis
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