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題名 以隨時間改變向量自我回歸模型分析--台灣與國際股市間的市場效率程度
Time varying VAR model -- Degree of market efficiency between Taiwan and International stock market作者 游書豪 貢獻者 徐士勛
游書豪關鍵詞 時間修改模型
VAR
一致性檢定
結構性改變
市場效率程度日期 2014 上傳時間 1-Jul-2015 15:00:02 (UTC+8) 摘要 本文有別於傳統效率性的計算方式,改採用 Ito Regression 估計單一市場的效率程度。實證結果發現,在各個單一市場皆看到市場呈現無效率的狀態,因此再用 VAR 的架構檢驗多國市場間的效率程度,結論明顯指出組合市場比單一市場還來的有效率,但同時考慮多個市場的有效率性必須在嚴謹的挑選市場下才能達到效率市場的目標。 參考文獻 朱正修(2004),台灣股市與國際股市連動性之研究,成功大學碩士班論文。金鐵英、王昭文、吳訂宜(2007),台股之弱勢效率市場檢定,高苑學報 13, 191--220。徐清俊、王聰雄(2003),金融機構股票報酬及波動行為研究--GARCH模型之應用,臺灣經濟金融月刊,頁15--31。陳信宏、陳昱志、鄭舜仁(2006),以時間數列模型檢定台灣股票市場弱式效率性之研究,管理科學與統計決策 3 卷 4 期,頁8--17。郭樂平(1993),實證 1981 到 1990 美、日總私人國內投資和七個經濟指標間的相關分析,第八屆全國技術及職業教育研討會,屏東,頁147-154。練有為、鄭素珍(2012),效率市場假說再審視：台灣期貨市場個案研究(2004--2011),大漢學報 26 期,頁55-77。Brealey and Myers (1981). Principles of corporate finance. McGraw-Hill.Eun and Shim (1989). International transmission of stock market movements. Journal of financial and quantitative.24, 241--256.Fama (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance,25, 383--417.Fama (1991). Efficient capital markets: II. The journal of Finance,46, 1575--1617.Hansen,B E (1992). Testing for parameter instability in linear models Journal of policy Modeling,14, 517--533.Ito, M. (2007). A New Method for Estimating Economic Models with General Time-Varying Structures. Keio Economic Society Discussion Paper Series, 07-08.Ito, M. and Sugiyama, S. (2009). Measuring the Degree of Time Varying Market Inefficiency. Economics Letters,103, 62--64.Ito, M. ,Akihiko Noda and Tatsuma Wada (2014). International stock market efficiency: a non-Bayesian time-varying model approach. Applied Economics,46:23, 2744--2754.Kalman, R.E. (1960). A new approach to linear filtering and prediction problems. Journal of Basic Engineering,103, 1575--1617.Lo, A. W. (2004). The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective. Journal of Portfolio Management,30, 15--29.Lo, A. W. (2005). Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis. Journal of Portfolio Management,7, 21--44.Lutkepohl, H. (2005). New Introduction to Multiple Time Series Analysis, Springer.Malkiel, B. G. (2003). The Efficient Market Hypothesis and its Critics. Journal of Economic Perspectives,17, 59--82.Malkiel, B. G., Mullainathan, S., and Stangle, B. E. (2005). Market Efficiency versus Behavioral Finance. Journal of Applied Corporate Finance,17, 124--136.Mathur and Subrahmanyam (1990). Interdependencies among the Nordic and US stock markets. The Scandinavian Journal of Economics.92, 587--597.Nyblom, J. (1989). Testing for the Constancy of Parameters Over Time. Journal of the American Statistical Association,84, 223--230.R. MacDonald and M. Taylor (1988). Metals prices, efficiency and cointegration: some evidence from the London Metal Exchange. Bulletin of Economic Research,40, 235--240.R. MacDonald and M. Taylor (1989). Foreign exchange market efficiency and cointegration: Some evidence from the recent float. Economics Letters,29, 63--68.Schwert, G.W. (2003). Anomalies and Market Efficiency. Handbook of the Economics of Finance, eds. Constantinides, G. M., Harris, M., and Stulz, R. M., North-Holland}, chap 15, 937--972.Tsutsui and Hirayama (2004). Applied Financial Economics,14, 1017--1025. 描述 碩士
國立政治大學
經濟學系
102258031
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102258031 資料類型 thesis dc.contributor.advisor 徐士勛 zh_TW dc.contributor.author (Authors) 游書豪 zh_TW dc.creator (作者) 游書豪 zh_TW dc.date (日期) 2014 en_US dc.date.accessioned 1-Jul-2015 15:00:02 (UTC+8) - dc.date.available 1-Jul-2015 15:00:02 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2015 15:00:02 (UTC+8) - dc.identifier (Other Identifiers) G0102258031 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76248 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 102258031 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 本文有別於傳統效率性的計算方式,改採用 Ito Regression 估計單一市場的效率程度。實證結果發現,在各個單一市場皆看到市場呈現無效率的狀態,因此再用 VAR 的架構檢驗多國市場間的效率程度,結論明顯指出組合市場比單一市場還來的有效率,但同時考慮多個市場的有效率性必須在嚴謹的挑選市場下才能達到效率市場的目標。 zh_TW dc.description.tableofcontents 1緒論 32文獻回顧 43研究方法 7 3.1Non-Bayesian Time-Varying AR Model 7 3.2Time-Varying Impluse Responese and Time-Varying Long-Run Multipliers 10 3.3Monte Carlo Method for TV-VAR Estimations 114資料 125實證結果 13 5.1單根檢定與落後項的選定 13 5.2一致性檢定 14 5.3衝擊反應與長期乘數 15 5.4同時考慮多個市場下的效率程度衡量 16 5.4.1中國市場 16 5.4.2兩岸市場 17 5.4.3亞洲市場 176結論 18參考文獻 20A附錄表 23B附錄圖 29 zh_TW dc.format.extent 2290972 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102258031 en_US dc.subject (關鍵詞) 時間修改模型 zh_TW dc.subject (關鍵詞) VAR zh_TW dc.subject (關鍵詞) 一致性檢定 zh_TW dc.subject (關鍵詞) 結構性改變 zh_TW dc.subject (關鍵詞) 市場效率程度 zh_TW dc.title (題名) 以隨時間改變向量自我回歸模型分析--台灣與國際股市間的市場效率程度 zh_TW dc.title (題名) Time varying VAR model -- Degree of market efficiency between Taiwan and International stock market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 朱正修(2004),台灣股市與國際股市連動性之研究,成功大學碩士班論文。金鐵英、王昭文、吳訂宜(2007),台股之弱勢效率市場檢定,高苑學報 13, 191--220。徐清俊、王聰雄(2003),金融機構股票報酬及波動行為研究--GARCH模型之應用,臺灣經濟金融月刊,頁15--31。陳信宏、陳昱志、鄭舜仁(2006),以時間數列模型檢定台灣股票市場弱式效率性之研究,管理科學與統計決策 3 卷 4 期,頁8--17。郭樂平(1993),實證 1981 到 1990 美、日總私人國內投資和七個經濟指標間的相關分析,第八屆全國技術及職業教育研討會,屏東,頁147-154。練有為、鄭素珍(2012),效率市場假說再審視：台灣期貨市場個案研究(2004--2011),大漢學報 26 期,頁55-77。Brealey and Myers (1981). Principles of corporate finance. McGraw-Hill.Eun and Shim (1989). International transmission of stock market movements. Journal of financial and quantitative.24, 241--256.Fama (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance,25, 383--417.Fama (1991). Efficient capital markets: II. The journal of Finance,46, 1575--1617.Hansen,B E (1992). Testing for parameter instability in linear models Journal of policy Modeling,14, 517--533.Ito, M. (2007). A New Method for Estimating Economic Models with General Time-Varying Structures. Keio Economic Society Discussion Paper Series, 07-08.Ito, M. and Sugiyama, S. (2009). Measuring the Degree of Time Varying Market Inefficiency. Economics Letters,103, 62--64.Ito, M. ,Akihiko Noda and Tatsuma Wada (2014). International stock market efficiency: a non-Bayesian time-varying model approach. Applied Economics,46:23, 2744--2754.Kalman, R.E. (1960). A new approach to linear filtering and prediction problems. Journal of Basic Engineering,103, 1575--1617.Lo, A. W. (2004). The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective. Journal of Portfolio Management,30, 15--29.Lo, A. W. (2005). Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis. Journal of Portfolio Management,7, 21--44.Lutkepohl, H. (2005). New Introduction to Multiple Time Series Analysis, Springer.Malkiel, B. G. (2003). The Efficient Market Hypothesis and its Critics. Journal of Economic Perspectives,17, 59--82.Malkiel, B. G., Mullainathan, S., and Stangle, B. E. (2005). Market Efficiency versus Behavioral Finance. Journal of Applied Corporate Finance,17, 124--136.Mathur and Subrahmanyam (1990). Interdependencies among the Nordic and US stock markets. The Scandinavian Journal of Economics.92, 587--597.Nyblom, J. (1989). Testing for the Constancy of Parameters Over Time. Journal of the American Statistical Association,84, 223--230.R. MacDonald and M. Taylor (1988). Metals prices, efficiency and cointegration: some evidence from the London Metal Exchange. Bulletin of Economic Research,40, 235--240.R. MacDonald and M. Taylor (1989). Foreign exchange market efficiency and cointegration: Some evidence from the recent float. Economics Letters,29, 63--68.Schwert, G.W. (2003). Anomalies and Market Efficiency. Handbook of the Economics of Finance, eds. Constantinides, G. M., Harris, M., and Stulz, R. M., North-Holland}, chap 15, 937--972.Tsutsui and Hirayama (2004). Applied Financial Economics,14, 1017--1025. zh_TW
