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題名 臺灣股票報酬率分配之實證研究
An Empirical Study - The Distribution of Taiwan`s Stock Returns作者 謝育萍
Hsieh, Yu-Ping貢獻者 李桐豪
Lee, Tung-Hao
謝育萍
Hsieh Yu-Ping關鍵詞 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日期 1994
1993上傳時間 29-Apr-2016 15:17:32 (UTC+8) 摘要 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。 參考文獻 [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 [12]DuMouchel, W. H. (1971), "Stable Distributions in Statistical Inference, " Unpublished Ph.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. 描述 碩士
國立政治大學
國際經營與貿易學系
81351014資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003781 資料類型 thesis dc.contributor.advisor 李桐豪 zh_TW dc.contributor.advisor Lee, Tung-Hao en_US dc.contributor.author (Authors) 謝育萍 zh_TW dc.contributor.author (Authors) Hsieh Yu-Ping en_US dc.creator (作者) 謝育萍 zh_TW dc.creator (作者) Hsieh, Yu-Ping en_US dc.date (日期) 1994 en_US dc.date (日期) 1993 en_US dc.date.accessioned 29-Apr-2016 15:17:32 (UTC+8) - dc.date.available 29-Apr-2016 15:17:32 (UTC+8) - dc.date.issued (上傳時間) 29-Apr-2016 15:17:32 (UTC+8) - dc.identifier (Other Identifiers) B2002003781 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88306 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 81351014 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.tableofcontents 第一章 緒論 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .１ 1.1 研究動機、對象與目的. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .１ 1.2 研究方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .３ 第二章 理論基礎與文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .５ 2.1 穩定分配之簡介. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .５ 2.2 穩定分配特性指數α估計之主要方法. . . . . . . . . . . . . . . . . . . . . . . . . .１０ 2.3 文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .１４ 第三章 實證方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .２３ 3.1 資料說明. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .２３ 3.2 隨機性檢定方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .２５ 3.3 常態分配之檢視與檢定方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .２８ 3.4 穩定分配之檢定方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .２９ 第四章 實證結果分析. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .３２ 4.1 隨機性檢定結果與隨機化方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .３２ 4.2 常態分配檢視、檢定結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .４５ 4.3 穩定分配檢定結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .５６ 第五章 結論與建議. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .６４ 5.1 結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .６４ 5.2 建議. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .６５ 參考文獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .６７ zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003781 en_US dc.subject (關鍵詞) 股票報酬率分配 zh_TW dc.subject (關鍵詞) 常態分配 zh_TW dc.subject (關鍵詞) 穩定分配 zh_TW dc.subject (關鍵詞) 序列隨機 zh_TW dc.subject (關鍵詞) The Distribution of Stock Returns en_US dc.subject (關鍵詞) Normal Distribution en_US dc.subject (關鍵詞) Stable Distribution en_US dc.subject (關鍵詞) Serial Random en_US dc.title (題名) 臺灣股票報酬率分配之實證研究 zh_TW dc.title (題名) An Empirical Study - The Distribution of Taiwan`s Stock Returns en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [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. zh_TW
