| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 袁明道 | zh_TW |
| dc.creator (作者) | 袁明道 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 01:54:17 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 01:54:17 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 01:54:17 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097357004 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/48957 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 97357004 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本文主要針對隔夜情緒影響的不對稱性進行研究，本研究以今日開盤的波動率指數(VIX)與昨日收盤的VIX相減代表隔夜資訊，而波動率指數又稱為恐慌指數，就理論上而言，當市場出現恐慌時，波動率指數亦會上升，本文將以區分市場在恐慌普通與樂觀情緒下，波動度與成交量的關係是否有變化，其中成交量又細分為Total volume, Expected volume與Unexpected volume，此成交量分類的概念源自Illueca and Lafuente (2007)，而波動度與交易量的關係則是參考Darrat et al.(2007)中VAR 的方法來探討。本文以台灣股價指數期貨與台灣股價指數作為研究標的。本文的實證結果顯示在不同的情況下，各種成交量與波動度的因果關係及影響方向均有變化，在隔夜有重要資訊發生時(恐慌或樂觀)，開盤時的預期成交量與未預期成交量和波動度的因果關係會發生變化，若是普通情緒下，則各種成交量與波動度之間皆有雙向的因果關係，惟影響方向不同。開盤時段下，預期成交量除了在樂觀情緒下，會預期成交量使得波動度增加，恐慌與普通情緒下，預期成交量會使得波動度減少，類似提供流動性的角色，但極端情緒下，波動度卻無法對未預期成交量產生影響，代表在極端情緒下，波動度是由未預期成交量所導致，表示未預期成交量為波動的製造者，此與本研究推測未預期成交量帶有較大資訊含量相符。 | zh_TW |
| dc.description.tableofcontents | 第壹章 緒論 1第一節 研究背景與動機 1第二節 研究目的與問題 2第三節 研究架構 3第四節 研究流程圖 4第貳章 文獻探討 5第一節 資料選取 12第二節 模型建構 12第三節 雙門檻(Double-threshold)模型 18第肆章 實證結果 20第一節 成交量與波動度的因果關係 20第五章 結論 27參考文獻 31附錄 35 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097357004 | en_US |
| dc.subject (關鍵詞) | 波動度 | zh_TW |
| dc.subject (關鍵詞) | 成交量 | zh_TW |
| dc.subject (關鍵詞) | 台指期貨 | zh_TW |
| dc.subject (關鍵詞) | VAR | zh_TW |
| dc.title (題名) | 隔夜恐慌情緒對日內台指現貨波動度與成交量之間的影響探討 | zh_TW |
| dc.title (題名) | The effect of overnight emotion on the intraday relationship between TAIEX volatility and trading volume | en_US |
| dc.type (資料類型) | thesis | en |
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