| dc.contributor.advisor | 郭炳伸 | zh_TW |
| dc.contributor.author (Authors) | 李家昇 | zh_TW |
| dc.creator (作者) | 李家昇 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:13:44 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:13:44 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:13:44 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094351029 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35128 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 94351029 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 此論文研究有什麼因子會影響台灣股票加權指數報酬率之偏態係數。過去的文獻顯示，交易量和報酬率為可能的因子。實證的結果確實發現，交易量和報酬率顯著地影響偏態係數。 | zh_TW |
| dc.description.abstract (摘要) | This study examines the determinants for conditional skewness of the return distribution of the Taiwan Stock Exchange Value-Weighted Index. Important driving factors that affect conditional skewness, based on the theory literature, include trading volumes and returns. To capture the skewness in the data, the family of time series model we consider focuses on the specifications of higher-order moments than mean and volatility that conventional models look at. With the specifications, we are able to test whether the factors, volumes and returns, can influence conditional skewnees of the return distribution. Our results suggest the significance of the factors using data from the Taiwan Stock Exchange Value-Weighted Index. | en_US |
| dc.description.tableofcontents | Abstract ITable of Contents IIChapter 1. Introduction 1Chapter 2. Model 72.1 Mean and Volatility Equation 82.2 Error Distribution 92.3 Laws of Motion for Shape Parameters 102.4 Complete Model 14Chapter 3. Empirical results 173.1 Data Descriptions 173.2 Model Diagnostics 173.3 Estimation Results 193.3.1 Mean and Volatility Equations 193.3.2 Trading Volume on Skewness 193.3.3 Return on Skewness 213.3.4 Relationship between Past Skewness and Current Skewness 22Chapter 4. Conclusion 23References 25The List of tables 27The List of Figures 29 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094351029 | en_US |
| dc.subject (關鍵詞) | 偏態 | zh_TW |
| dc.subject (關鍵詞) | 不對稱性 | zh_TW |
| dc.subject (關鍵詞) | 交易量 | zh_TW |
| dc.subject (關鍵詞) | conditional skewness | en_US |
| dc.subject (關鍵詞) | skewed Student`s t distribution | en_US |
| dc.subject (關鍵詞) | trading volume | en_US |
| dc.title (題名) | 偏態預測:台灣加權指數報酬率之研究 | zh_TW |
| dc.title (題名) | Predicting conditional skewness:Evidence from the return distribution of the Taiwan Stock Exchange Value-Weighted Index | en_US |
| dc.type (資料類型) | thesis | en |
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