| dc.contributor | 金融系 | |
| dc.creator (作者) | 趙世偉 | |
| dc.date (日期) | 2016-09 | |
| dc.date.accessioned | 7-Apr-2026 13:17:33 (UTC+8) | - |
| dc.date.available | 7-Apr-2026 13:17:33 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Apr-2026 13:17:33 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181935 | - |
| dc.description.abstract (摘要) | 實證分析顯示股票與債券報酬間的正相關在 1990 年代晚期之後似乎出現改變，取而代之的是較多的負相關時期。若債券市場中部分投資人僅偏好某種特定期間的債券，此種習慣性偏好(preferred habitat)行為可能弱化原本緊密的長短期利率連動關係。由於股票報酬與短期利率關係密切，習慣性偏好的存在可能減弱股票與債券報酬間的正相關。此外，當外在環境不佳致使套利型投資人(arbitrageurs)減少交易時，習慣性偏好的角色可能更為重要，甚至導致股票與債券報酬的負相關。因此本研究計畫在簡單的資產訂價模型中加入習慣性偏好，以了解此特徵是否有助於掌握股債連動的時間序列性質與近十年來較常出現的股債報酬反向走勢。 | |
| dc.description.abstract (摘要) | The empirical evidence indicates that the stock and bond returns display a modest pos-itive correlation on average. However, this correlation exhibited substantial fluctuations over time and often turned negative in the past decade. This research attempts to study this correlation using a model featuring the behavior of preferred habitat investors in bond markets. This behavior could weaken the comovement of interest rates of different maturities. Since the short rate drives stock returns, it is possible to generate a weak correlation of stock and bond returns on average, which is consistent with the data. In addition, preferred habitat together with very risk averse arbitrageurs might produce negative stock-bond correlation in the bad states. This research will empirically examine whether this framework can capture the time-varying stock-bond correlation, especially the more frequent negative phases in the past decade. | |
| dc.format.extent | 115 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST103-2410-H004-021, 103.08-104.07 | |
| dc.subject (關鍵詞) | 習慣性偏好; 股債連動 | |
| dc.subject (關鍵詞) | preferred habitat; stock-bond correlation | |
| dc.title (題名) | 習慣性偏好與股債連動 | |
| dc.title (題名) | Preferred Habitat and the Comovement of Stock and Bond Retruns | |
| dc.type (資料類型) | report | |
