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| Title | 台灣股市的波動外溢效果之研究 |
| Creator | 吳旻容 Wu, Min Jung |
| Contributor | 饒秀華 Rau,Hsiu Hau 吳旻容 Wu, Min Jung |
| Key Words | 多變量 GARCH模型 波動性 外溢效果 不對稱性 multivariate GARCH model volatility spillover effect asymmetry |
| Date | 2007 |
| Date Issued | 18-Sep-2009 14:14:27 (UTC+8) |
| Summary | 本研究使用相關係數隨時間變動的雙變量GARCH(1,1)模型(time-varying correlation bivariate GARCH(1,1) model)，討論台灣股票市場中，大公司與小公司之間的報酬、衝擊(shock)、波動(volatility)是否互為影響為主軸。其次，為了了解不同估計方法、相關係數的設定和解釋變數對結果造成的影響，亦設立了3種模型，作為本研究的比較模型。 本研究發現大公司與小公司過去的報酬，存在雙向的報酬外溢效果。換句話說，大公司與小公司過去的報酬分別都對「本身報酬」有影響外，對「對方的報酬」也有影響。進一步發現到：大公司過去受到的衝擊和波動不僅對本身的條件變異數造成影響，也影響到小公司的條件變異數。但相反地，小公司過去受到的衝擊和波動，只對本身的條件變異數有影響，對大公司的條件變異數沒有影響，所以大、小公司間的衝擊外溢效果和波動外溢效果有不對稱的現象。 從不同模型之比較也發現，在討論大公司與小公司的報酬及波動時，應重視兩者彼此相互影響的關係，在估計時使用多變量的方法，以捕捉彼此相依的條件共變異數及條件變異數之動態過程。除此之外，也應考量兩者的相關係數隨時間變動的特性，及過去的波動對描述對方條件變異數的重要性。 關鍵字：多變量、GARCH模型、波動性、外溢效果、不對稱性 |
| 參考文獻 | [1] 王元章(1990)，交易量、股價波動性及波動性外溢─台灣股市之實證研究，中華財務學會1999年會暨財務金融學術論文研討會，pp.995~1016 [2] 王英明(2007)，台股報酬波動與訊息到達之關係硏究，國立政治大學國際貿易硏究所，碩士論文 [3] 郭俊宏(2004)，多變量條件變異數模型之比較分析，國立台灣大學經濟學硏究所，碩士論文 [4] Akaike(1973)，Information theory and an extension of the maximum likelihood principle. In B.N. Petrov and F. Csaki(eds.)，2nd International Symposium on Information Theory，pp.267~281 [5] Akgiray(1989)，Conditional heteroskedasticity in time series of stock returns: Evidence and forecasts，Journal of Business 62，pp.55~80 [6] B.B.Mandelbrot (1963)，The variation of certain speculative prices， The Journal of Business of the University of Chicago 36，pp.394~419 [7] Bollerslev(1986)，Generalize autoregressive conditional heteroskedasticity.，Journal of Econometrics 31，pp.307~327 [8] Bollerslev, Engle, and Wooldridge(1988)，A capital-asset pricing model with time-varying covariances，Journal of Political Economy 96，pp.116~131 [9] Bollerslev(1990)，Modelling the coherence in short-run nominal exchange rates: Multivariate generalized ARCH approach，Review of Economics and Statistics 72，pp.498~505 [10] Chelley-Steeley and Steeley(1996)，Volatility transmission in the UK equity market.，The European Journal of Finance 2，pp.145~160 [11] Chou, R. F. (1988)，Volatility persistence and stock valuations: Some empirical evidence using GARCH，Journal of Applied Econometrics 3，pp.279~294 [12] Conrad, Gultekin, and Kaul(1991)，Asymmetric predictable of conditional variances.，The Review of Financial Studies 4，pp.597~622 [13] Engle(1982)，Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations.，Journal of Financial Economics 19，pp.987~1007 [14] Engle and Kroner(1995)，Multivariate simultaneous generalized ARCH， Econometric Theory 11，pp.122~150 [15] Engle(2002)，Dynamic conditional correlation: A simple class of multivariate GARCH models，Journal of Business and Economic Statistics 20，pp.339~350 [16] French, Schwert, and Stambaugh(1987)，Expected stock returns and volatility，Journal of Financial Economics 19，pp.3~29 [17] Glosten, Jagamnnathan, and Runkle(1993)，On the relation between the expected value and the volatility of the nominal excess return on stocks，Journal of Finance 48，pp.1779~1801 [18] Hamao,Masulis,and Ng(1990)，Correlation in price changes and volatility across international stock markets，The Review of Financial Studies，pp.281-307 [19] King and Wadhwani (1990)，Transmission of Volatility between Stock Markets.，Review of Financial Studies 3，pp.5~33 [20] Lo and Mackinlay(1990)，When are contrarian profits due to stock market over-reaction?，Review of Financial Studies 3，pp.175~205 [21] Nelson(1991)，Conditional heteroskedasticity in asset returns: A new approach， Econometrica 59，pp.347~370 [22] Pyun, Lee, and Nam(2000)，Volatility and information flows in emerging equity market: A case of the Korean stock exchange.，International Review of Financial Analysis 9，pp.405~420 [23] Reyes(2001)，Asymmetric volatility spillover in the Tokyo stock exchange.”，Journal of Economics and Finance 25，pp.206~213 [24] Ross(1989)，Information and volatility: The no-arbitrate martingale approach to timing and resolution irrelevancy.，Journal of Finance 44，pp.1~17 [25] Schwert and Seguin(1990)，Heteroskedasticity in stock returns，Journal of Finance 45，pp.1129~1156 [26] Tse and Tsui(2002)，A multivariate GARCH model with time-varying correlations，Journal of Business & Economic Statistics 10，pp.351~362 |
| Description | 碩士 國立政治大學 國際經營與貿易研究所 95351021 96 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0095351021 |
| Type | thesis |
| dc.contributor.advisor | 饒秀華 | zh_TW |
| dc.contributor.advisor | Rau,Hsiu Hau | en_US |
| dc.contributor.author (Authors) | 吳旻容 | zh_TW |
| dc.contributor.author (Authors) | Wu, Min Jung | en_US |
| dc.creator (作者) | 吳旻容 | zh_TW |
| dc.creator (作者) | Wu, Min Jung | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:14:27 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:14:27 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:14:27 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095351021 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35133 | - |
| 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) | 95351021 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 本研究使用相關係數隨時間變動的雙變量GARCH(1,1)模型(time-varying correlation bivariate GARCH(1,1) model)，討論台灣股票市場中，大公司與小公司之間的報酬、衝擊(shock)、波動(volatility)是否互為影響為主軸。其次，為了了解不同估計方法、相關係數的設定和解釋變數對結果造成的影響，亦設立了3種模型，作為本研究的比較模型。 本研究發現大公司與小公司過去的報酬，存在雙向的報酬外溢效果。換句話說，大公司與小公司過去的報酬分別都對「本身報酬」有影響外，對「對方的報酬」也有影響。進一步發現到：大公司過去受到的衝擊和波動不僅對本身的條件變異數造成影響，也影響到小公司的條件變異數。但相反地，小公司過去受到的衝擊和波動，只對本身的條件變異數有影響，對大公司的條件變異數沒有影響，所以大、小公司間的衝擊外溢效果和波動外溢效果有不對稱的現象。 從不同模型之比較也發現，在討論大公司與小公司的報酬及波動時，應重視兩者彼此相互影響的關係，在估計時使用多變量的方法，以捕捉彼此相依的條件共變異數及條件變異數之動態過程。除此之外，也應考量兩者的相關係數隨時間變動的特性，及過去的波動對描述對方條件變異數的重要性。 關鍵字：多變量、GARCH模型、波動性、外溢效果、不對稱性 | zh_TW |
| dc.description.tableofcontents | 目錄 1.緒論…………………………………………………………………………….6 2.文獻探討……………………………………………………………………….7 3.研究方法……………………………………………………………………….14 3.1單變量GARCH(1,1)模型 ─[模型1]：單變量GARCH(1,1)模型…………………………………….15 3.2多變量GARCH(1,1)模型…………………………………………………..19 3.2.1[模型2]：雙變量GARCH(1,1)模型─相關係數為固定常數………19 3.2.2[主要模型]：雙變量GARCH(1,1)模型─相關係數隨時間變動…...23 3.2.3[模型3]：雙變量GARCH(1,1)模型─相關係數隨時間變動………24 (沒有考慮波動外溢效果) 4.觀察資料說明………………………………………………………………….26 4.1使用資料……………………………………………………………………26 4.2敘述性統計量及資料特性…………………………………………………26 5.實證結果……………………………………………………………………….30 5.1變數篩選……………………………………………………………………30 5.2模型檢查……………………………………………………………………32 5.3外溢效果……………………………………………………………………33 6.結論…………………………………………………………………………….42 參考文獻…………………………………………………………………………43 表目錄 表1：本研究與過去相關研究的比較…………………………………………12 表2：本研究使用的模型………………………………………………………15 表3：使用資料之敘述性統計量………………………………………………27 表4：使用資料之單根檢定……………………………………………………30 表5：使用資料在AR(p)模型,p=0~10時的AIC值…………………………..31 表6：使用資料在AR(4)模型時的係數估計………………………………….32 表7：[模型1]、[模型2]、[主要模型]、[模型3]的模型檢查……………….33 表8：[模型1]的估計結果……………………………………………………...34 表9：[模型2]的估計結果……………………………………………………...36 表10：[主要模型]的估計結果…………………………………………………38 表11：[模型3]的估計結果…………………………………………………….40 表12：本研究使用模型的實證結果…………………………………………..41 圖目錄 圖1：大公司與小公司的日報酬率取自然對數之後的樣本相關係數………...22 圖2：TWN50日報酬率取自然對數的ACF和PACF………………………….28 圖3：TM100日報酬率取自然對數的ACF和PACF…………………………..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/#G0095351021 | en_US |
| dc.subject (關鍵詞) | 多變量 | zh_TW |
| dc.subject (關鍵詞) | GARCH模型 | zh_TW |
| dc.subject (關鍵詞) | 波動性 | zh_TW |
| dc.subject (關鍵詞) | 外溢效果 | zh_TW |
| dc.subject (關鍵詞) | 不對稱性 | zh_TW |
| dc.subject (關鍵詞) | multivariate | en_US |
| dc.subject (關鍵詞) | GARCH model | en_US |
| dc.subject (關鍵詞) | volatility | en_US |
| dc.subject (關鍵詞) | spillover effect | en_US |
| dc.subject (關鍵詞) | asymmetry | en_US |
| dc.title (題名) | 台灣股市的波動外溢效果之研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | [1] 王元章(1990)，交易量、股價波動性及波動性外溢─台灣股市之實證研究，中華財務學會1999年會暨財務金融學術論文研討會，pp.995~1016 | zh_TW |
| dc.relation.reference (參考文獻) | [2] 王英明(2007)，台股報酬波動與訊息到達之關係硏究，國立政治大學國際貿易硏究所，碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | [3] 郭俊宏(2004)，多變量條件變異數模型之比較分析，國立台灣大學經濟學硏究所，碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | [4] Akaike(1973)，Information theory and an extension of the maximum likelihood principle. In B.N. Petrov and F. Csaki(eds.)，2nd International Symposium on Information Theory，pp.267~281 | zh_TW |
| dc.relation.reference (參考文獻) | [5] Akgiray(1989)，Conditional heteroskedasticity in time series of stock returns: Evidence and forecasts，Journal of Business 62，pp.55~80 | zh_TW |
| dc.relation.reference (參考文獻) | [6] B.B.Mandelbrot (1963)，The variation of certain speculative prices， The Journal of Business of the University of Chicago 36，pp.394~419 | zh_TW |
| dc.relation.reference (參考文獻) | [7] Bollerslev(1986)，Generalize autoregressive conditional heteroskedasticity.，Journal of Econometrics 31，pp.307~327 | zh_TW |
| dc.relation.reference (參考文獻) | [8] Bollerslev, Engle, and Wooldridge(1988)，A capital-asset pricing model with time-varying covariances，Journal of Political Economy 96，pp.116~131 | zh_TW |
| dc.relation.reference (參考文獻) | [9] Bollerslev(1990)，Modelling the coherence in short-run nominal exchange rates: Multivariate generalized ARCH approach，Review of Economics and Statistics 72，pp.498~505 | zh_TW |
| dc.relation.reference (參考文獻) | [10] Chelley-Steeley and Steeley(1996)，Volatility transmission in the UK equity market.，The European Journal of Finance 2，pp.145~160 | zh_TW |
| dc.relation.reference (參考文獻) | [11] Chou, R. F. (1988)，Volatility persistence and stock valuations: Some empirical evidence using GARCH，Journal of Applied Econometrics 3，pp.279~294 | zh_TW |
| dc.relation.reference (參考文獻) | [12] Conrad, Gultekin, and Kaul(1991)，Asymmetric predictable of conditional variances.，The Review of Financial Studies 4，pp.597~622 | zh_TW |
| dc.relation.reference (參考文獻) | [13] Engle(1982)，Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations.，Journal of Financial Economics 19，pp.987~1007 | zh_TW |
| dc.relation.reference (參考文獻) | [14] Engle and Kroner(1995)，Multivariate simultaneous generalized ARCH， Econometric Theory 11，pp.122~150 | zh_TW |
| dc.relation.reference (參考文獻) | [15] Engle(2002)，Dynamic conditional correlation: A simple class of multivariate GARCH models，Journal of Business and Economic Statistics 20，pp.339~350 | zh_TW |
| dc.relation.reference (參考文獻) | [16] French, Schwert, and Stambaugh(1987)，Expected stock returns and volatility，Journal of Financial Economics 19，pp.3~29 | zh_TW |
| dc.relation.reference (參考文獻) | [17] Glosten, Jagamnnathan, and Runkle(1993)，On the relation between the expected value and the volatility of the nominal excess return on stocks，Journal of Finance 48，pp.1779~1801 | zh_TW |
| dc.relation.reference (參考文獻) | [18] Hamao,Masulis,and Ng(1990)，Correlation in price changes and volatility across international stock markets，The Review of Financial Studies，pp.281-307 | zh_TW |
| dc.relation.reference (參考文獻) | [19] King and Wadhwani (1990)，Transmission of Volatility between Stock | zh_TW |
| dc.relation.reference (參考文獻) | Markets.，Review of Financial Studies 3，pp.5~33 | zh_TW |
| dc.relation.reference (參考文獻) | [20] Lo and Mackinlay(1990)，When are contrarian profits due to stock market over-reaction?，Review of Financial Studies 3，pp.175~205 | zh_TW |
| dc.relation.reference (參考文獻) | [21] Nelson(1991)，Conditional heteroskedasticity in asset returns: A new approach， Econometrica 59，pp.347~370 | zh_TW |
| dc.relation.reference (參考文獻) | [22] Pyun, Lee, and Nam(2000)，Volatility and information flows in emerging equity market: A case of the Korean stock exchange.，International Review of Financial Analysis 9，pp.405~420 | zh_TW |
| dc.relation.reference (參考文獻) | [23] Reyes(2001)，Asymmetric volatility spillover in the Tokyo stock exchange.”，Journal of Economics and Finance 25，pp.206~213 | zh_TW |
| dc.relation.reference (參考文獻) | [24] Ross(1989)，Information and volatility: The no-arbitrate martingale approach to timing and resolution irrelevancy.，Journal of Finance 44，pp.1~17 | zh_TW |
| dc.relation.reference (參考文獻) | [25] Schwert and Seguin(1990)，Heteroskedasticity in stock returns，Journal of Finance 45，pp.1129~1156 | zh_TW |
| dc.relation.reference (參考文獻) | [26] Tse and Tsui(2002)，A multivariate GARCH model with time-varying correlations，Journal of Business & Economic Statistics 10，pp.351~362 | zh_TW |
| dc.relation.reference (參考文獻) | zh_TW |