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題名 偏態預測:台灣加權指數報酬率之研究
Predicting conditional skewness:Evidence from the return distribution of the Taiwan Stock Exchange Value-Weighted Index
作者 李家昇
貢獻者 郭炳伸
李家昇
關鍵詞 偏態
不對稱性
交易量
conditional skewness
skewed Student`s t distribution
trading volume
日期 2006
上傳時間 18-九月-2009 14:13:44 (UTC+8)
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。
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.
參考文獻 1. Bali, T.G., Mo, H., & Tang, Y. 2006, The role of
autoregressive conditional skewness and kurtosis in the
estimation of conditional VaR, Available at SSRN.
2. Black, F. 1976, Studies in stock price volatility
changes, Proceedings of the 1976 Business Meeting of the
Business and Economics Statistics Section, American
Statistical Association, 177-181.
3. Cao, H., Coval, J., & Hirshleifer, D. 2002, Sidelined
investors, trading-generated news, and security returns,
Review of Financial Studies 15, 651–648.
4. Chen, J., Hong, H., & Stein, J.C. 2001, Forecasting
crashes: trading volume, past returns and conditional
skewness in stock prices, Journal of Financial Economics
61, 345–81.
5. Christoffersen, P., Heston, S., & Jacobs, K. 2006,
Option valuation with conditional skewness, Journal of
Econometrics 131, 253–284.
6. Hansen, B.E. 1994, Autoregressive conditional density
estimation, International Economic Review 35, 705–730.
7. Harvey, C.R., & Siddique, A. 1999, Autoregressive
conditional skewness, Journal of Financial and
Quantitative Analysis 34, 465–487.
8. Harvey, C.R., & Siddique, A. 2000, Conditional skewness
in asset pricing tests, Journal of Finance 55, 1263–
1295.
9. Hong, H., & Stein, J.C. 2003, Differences of opinion,
short-sales constraints and market crashes, Review of
Financial Studies 16, 487–525.
10. Hueng C.J., & McDonald J.B. 2005, Forecasting
asymmetries in aggregate stock market returns: evidence
from conditional skewness, Journal of empirical finance
12, 666–685.
11. Hueng C.J. 2006, Short-sales constraints and stock
return asymmetry: evidence from the Chinese stock
markets, Applied Financial Economics, 16:10, 707–716.
12. Lamourex, C.G., & Lastrapes, W.D. 1990,
Heteroskedasticity in stock returns data: Volume versus
GARCH effects, Journal of Finance 45, 221–229.
13. Nelson , D.B. 1991, Conditional heteroskedasticity in
asset returns: A new approach,Econometrica 59, 347–370.
14. Patton, A.J. 2004, On the out-of-sample importance of
skewness and asymmetric dependence for asset
allocation, Journal of Financial Econometrics 2, 130–
168.
描述 碩士
國立政治大學
國際經營與貿易研究所
94351029
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094351029
資料類型 thesis
dc.contributor.advisor 郭炳伸zh_TW
dc.contributor.author (作者) 李家昇zh_TW
dc.creator (作者) 李家昇zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 18-九月-2009 14:13:44 (UTC+8)-
dc.date.available 18-九月-2009 14:13:44 (UTC+8)-
dc.date.issued (上傳時間) 18-九月-2009 14:13:44 (UTC+8)-
dc.identifier (其他 識別碼) G0094351029en_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) 94351029zh_TW
dc.description (描述) 95zh_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 I
Table of Contents II
Chapter 1. Introduction 1
Chapter 2. Model 7
2.1 Mean and Volatility Equation 8
2.2 Error Distribution 9
2.3 Laws of Motion for Shape Parameters 10
2.4 Complete Model 14
Chapter 3. Empirical results 17
3.1 Data Descriptions 17
3.2 Model Diagnostics 17
3.3 Estimation Results 19
3.3.1 Mean and Volatility Equations 19
3.3.2 Trading Volume on Skewness 19
3.3.3 Return on Skewness 21
3.3.4 Relationship between Past Skewness
and Current Skewness 22
Chapter 4. Conclusion 23
References 25
The List of tables 27
The 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/#G0094351029en_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 skewnessen_US
dc.subject (關鍵詞) skewed Student`s t distributionen_US
dc.subject (關鍵詞) trading volumeen_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 Indexen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Bali, T.G., Mo, H., & Tang, Y. 2006, The role ofzh_TW
dc.relation.reference (參考文獻) autoregressive conditional skewness and kurtosis in thezh_TW
dc.relation.reference (參考文獻) estimation of conditional VaR, Available at SSRN.zh_TW
dc.relation.reference (參考文獻) 2. Black, F. 1976, Studies in stock price volatilityzh_TW
dc.relation.reference (參考文獻) changes, Proceedings of the 1976 Business Meeting of thezh_TW
dc.relation.reference (參考文獻) Business and Economics Statistics Section, Americanzh_TW
dc.relation.reference (參考文獻) Statistical Association, 177-181.zh_TW
dc.relation.reference (參考文獻) 3. Cao, H., Coval, J., & Hirshleifer, D. 2002, Sidelinedzh_TW
dc.relation.reference (參考文獻) investors, trading-generated news, and security returns,zh_TW
dc.relation.reference (參考文獻) Review of Financial Studies 15, 651–648.zh_TW
dc.relation.reference (參考文獻) 4. Chen, J., Hong, H., & Stein, J.C. 2001, Forecastingzh_TW
dc.relation.reference (參考文獻) crashes: trading volume, past returns and conditionalzh_TW
dc.relation.reference (參考文獻) skewness in stock prices, Journal of Financial Economicszh_TW
dc.relation.reference (參考文獻) 61, 345–81.zh_TW
dc.relation.reference (參考文獻) 5. Christoffersen, P., Heston, S., & Jacobs, K. 2006,zh_TW
dc.relation.reference (參考文獻) Option valuation with conditional skewness, Journal ofzh_TW
dc.relation.reference (參考文獻) Econometrics 131, 253–284.zh_TW
dc.relation.reference (參考文獻) 6. Hansen, B.E. 1994, Autoregressive conditional densityzh_TW
dc.relation.reference (參考文獻) estimation, International Economic Review 35, 705–730.zh_TW
dc.relation.reference (參考文獻) 7. Harvey, C.R., & Siddique, A. 1999, Autoregressivezh_TW
dc.relation.reference (參考文獻) conditional skewness, Journal of Financial andzh_TW
dc.relation.reference (參考文獻) Quantitative Analysis 34, 465–487.zh_TW
dc.relation.reference (參考文獻) 8. Harvey, C.R., & Siddique, A. 2000, Conditional skewnesszh_TW
dc.relation.reference (參考文獻) in asset pricing tests, Journal of Finance 55, 1263–zh_TW
dc.relation.reference (參考文獻) 1295.zh_TW
dc.relation.reference (參考文獻) 9. Hong, H., & Stein, J.C. 2003, Differences of opinion,zh_TW
dc.relation.reference (參考文獻) short-sales constraints and market crashes, Review ofzh_TW
dc.relation.reference (參考文獻) Financial Studies 16, 487–525.zh_TW
dc.relation.reference (參考文獻) 10. Hueng C.J., & McDonald J.B. 2005, Forecastingzh_TW
dc.relation.reference (參考文獻) asymmetries in aggregate stock market returns: evidencezh_TW
dc.relation.reference (參考文獻) from conditional skewness, Journal of empirical financezh_TW
dc.relation.reference (參考文獻) 12, 666–685.zh_TW
dc.relation.reference (參考文獻) 11. Hueng C.J. 2006, Short-sales constraints and stockzh_TW
dc.relation.reference (參考文獻) return asymmetry: evidence from the Chinese stockzh_TW
dc.relation.reference (參考文獻) markets, Applied Financial Economics, 16:10, 707–716.zh_TW
dc.relation.reference (參考文獻) 12. Lamourex, C.G., & Lastrapes, W.D. 1990,zh_TW
dc.relation.reference (參考文獻) Heteroskedasticity in stock returns data: Volume versuszh_TW
dc.relation.reference (參考文獻) GARCH effects, Journal of Finance 45, 221–229.zh_TW
dc.relation.reference (參考文獻) 13. Nelson , D.B. 1991, Conditional heteroskedasticity inzh_TW
dc.relation.reference (參考文獻) asset returns: A new approach,Econometrica 59, 347–370.zh_TW
dc.relation.reference (參考文獻) 14. Patton, A.J. 2004, On the out-of-sample importance ofzh_TW
dc.relation.reference (參考文獻) skewness and asymmetric dependence for assetzh_TW
dc.relation.reference (參考文獻) allocation, Journal of Financial Econometrics 2, 130–zh_TW
dc.relation.reference (參考文獻) 168.zh_TW