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題名 漲跌停板限制下之股票報酬機率分配 作者 葉宜欣
Yeh, Yi-Shian貢獻者 郭維裕
葉宜欣
Yeh, Yi-Shian關鍵詞 機率分配
股票報酬率
厚尾現象
一般化第二種貝它分配
最大概似法
常態分配及對數常態分配
概似比檢定法
偏態和峰態
probability distribution
stock return
thick tail
Generalized Beta of The Second Kind; GB2
maxmun likelihood estimation
normal distribution and log-normal distribution
likelihood ratio test (LR test)
skewness and kurtosis日期 2000 上傳時間 30-Mar-2016 17:43:18 (UTC+8) 摘要 股票市場的報酬率相對於金融市埸是非常重要的，因為其背後的真實機率分配對各種資產定價及選擇權的評價模型都有決定性的影響。本文考慮台灣股票市埸具有漲跌停板的限制來驗證實證中股票報酬機率分配的「厚尾」的現象，希望透過我們的研究能對財務理論在國內金融市埸的應用有更進一步的了解。我們選定了常態分配、對數常態分配及一般化第二種貝它分配 (GB2)來當作是台灣股票報酬率的真實機率分配，以動差法比較再以概似比檢定法(LR test)選出一表現最好的機率分配。由選取的25支國內股票中發現一般化第二種貝它分配 (GB2)可以解釋偏態和峰態對報酬率的影響並且也是概似比檢定法所選出的最適報酬率分配，由此可知一般化第二種貝它分配 (GB2)較為適合作為台灣股票報酬的真實機率分配。 參考文獻 Blattberg. R. C. and N. J. Gonedes (1974). A comparison of the stable and student distributions as statistical models for stock prices. J. Business 47, 244-280. Bookstaber. R M. and J. B. McDonald (1987). A general distribution for describing security price returns. J. Business. McDonald, J. B. and R. M. Bookstaber (1991). Option pricing for generalized distributions. Com- munications in Statistics: Theory and Methods. 20(12), 4053-4068. Bookstaber. R M. and J. B. McDonald (1987). A general distribution for describing security price returns. J. Business 60.401-424. McDonald, J. B.(1996).Probability distributions for Financial models. Handbook of Statistics, Vol.14. McDonald, J. B. and R. Nelson (1993). Beta estimation in the market model: Skewness and Leptokurtosis. Comm. Statist. 22:10. McDonald, J. B. and W. K.. Newey (1988). Partially adaptive estimation of regression models via the generalized T distribution. Econometric Rev. 12, 103-124. McDonald, J. B. and Richards, D. O.(1987).Model selection: Some generalized distributions. Commun. Statist.-Theory Meth.,16(4), 1049-1074. Mandelbrot, B.1963a. New method in statistical economics. Journal of Political Economy 71(October):394-419. Mandelbrot, B. (1963). The variation of certain speculative prices. J. Business. 36, 394-419. Clark. P. K. (1973). A subordinated stochastic process model with finite variance for speculative prices. Economelrica 41. 135-155. Cox. J. C. and S. A. Ross (1976). The valuation of options for alternative stochastic processes. J. Financ. Econom. 3, 145-166. Kon, S. J,(1984).Models of stock returns-a comparison. The Journal of Finance 39(March):147-65. Kim,D. and Kon, S. J.(1994). Alternative models for the conditional heteroscedasticity of stock returns. J. Business 67, no.4. Maddala, G.S.(1983).Dependent and qualitative variables in Econometrics. Praetz, P. D. (1972). The distribution of share price charges. J. Business. 45, 49-55. Fama, E. F. and R. Roll (1968). Some properties for symmetric stable distributions. J. Amer. Statist. Assoc. 63. 81 7-836. Lurie, D., Hartley, H. O. and Stroud. M. R. (1974). A goodness of fit test for censored data. Communications in Statistics 3, 745-753. Barr, D. R. and Davidson, T. (1973). A Kolmogorov-Smirnov test for censored samples. Technometrics 15. 739-757. Smith, R. M. and Bain, L. J. (1976). Correlation type goodness-of-fit statistics with censored sampling. Communications in Statistics A5, 119-132. Turnbull, B. W. (1976). The empirical distribution function with arbitrarily grouped, censored and truncated data. Journal of the Royal Statistical Society, Series B 38, 290-295. Weiss, L. I. (1975). The asymptotic distribution of the likelihood ratio in some nonstandard cases. Journal of the American Statistical Association 70, 204-208. Mittnik, S., Rachev, S (1993), Modeling asset returns with alternative stable models, Econometric Reviews 12, 261-330. Mittnik, S., Rachev, S (1998), Unconditional and conditional distributional models for the Nikkei Index, Asia-Pacific Financial Markets 5, 99-128. Owen, D. B.(1968).A survey of Properties and Applications of the noncentral t-distribution. 描述 碩士
國立政治大學
國際經營與貿易學系
87351019資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002002047 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.author (Authors) 葉宜欣 zh_TW dc.contributor.author (Authors) Yeh, Yi-Shian en_US dc.creator (作者) 葉宜欣 zh_TW dc.creator (作者) Yeh, Yi-Shian en_US dc.date (日期) 2000 en_US dc.date.accessioned 30-Mar-2016 17:43:18 (UTC+8) - dc.date.available 30-Mar-2016 17:43:18 (UTC+8) - dc.date.issued (上傳時間) 30-Mar-2016 17:43:18 (UTC+8) - dc.identifier (Other Identifiers) A2002002047 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83087 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 87351019 zh_TW dc.description.abstract (摘要) 股票市場的報酬率相對於金融市埸是非常重要的，因為其背後的真實機率分配對各種資產定價及選擇權的評價模型都有決定性的影響。本文考慮台灣股票市埸具有漲跌停板的限制來驗證實證中股票報酬機率分配的「厚尾」的現象，希望透過我們的研究能對財務理論在國內金融市埸的應用有更進一步的了解。我們選定了常態分配、對數常態分配及一般化第二種貝它分配 (GB2)來當作是台灣股票報酬率的真實機率分配，以動差法比較再以概似比檢定法(LR test)選出一表現最好的機率分配。由選取的25支國內股票中發現一般化第二種貝它分配 (GB2)可以解釋偏態和峰態對報酬率的影響並且也是概似比檢定法所選出的最適報酬率分配，由此可知一般化第二種貝它分配 (GB2)較為適合作為台灣股票報酬的真實機率分配。 zh_TW dc.description.tableofcontents 封面頁 證明書 致謝詞 論文摘要 1、緒論 2、研究方法 2.1 分配之特性 2.1.1 常態分配 (Normal distribution) 2.1.2 對數常態分配 (Log-Normal distribution) 2.1.3 一般化第二種貝它分配 (Generalized Beta of The Second Kind) 2.2 漲跌停板的限制對機率分配之估計的影響 2.3 censored最大概似估計 2.3.4 分配的比較 3、資料說明與實證結果 3.1 資料整理說明 3.2 Censored最大概似估計及結果說明 3.2.1 常態分配 3.2.2 對數常態分配 3.2.3 一般化第二種貝它分配(GB2) 3.2.4 小結 3.3 最適的股票機率分配 4、結論與未來研究方向 參考文獻 附表 zh_TW dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.extent 126302 bytes - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002047 en_US dc.subject (關鍵詞) 機率分配 zh_TW dc.subject (關鍵詞) 股票報酬率 zh_TW dc.subject (關鍵詞) 厚尾現象 zh_TW dc.subject (關鍵詞) 一般化第二種貝它分配 zh_TW dc.subject (關鍵詞) 最大概似法 zh_TW dc.subject (關鍵詞) 常態分配及對數常態分配 zh_TW dc.subject (關鍵詞) 概似比檢定法 zh_TW dc.subject (關鍵詞) 偏態和峰態 zh_TW dc.subject (關鍵詞) probability distribution en_US dc.subject (關鍵詞) stock return en_US dc.subject (關鍵詞) thick tail en_US dc.subject (關鍵詞) Generalized Beta of The Second Kind; GB2 en_US dc.subject (關鍵詞) maxmun likelihood estimation en_US dc.subject (關鍵詞) normal distribution and log-normal distribution en_US dc.subject (關鍵詞) likelihood ratio test (LR test) en_US dc.subject (關鍵詞) skewness and kurtosis en_US dc.title (題名) 漲跌停板限制下之股票報酬機率分配 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Blattberg. R. C. and N. J. Gonedes (1974). A comparison of the stable and student distributions as statistical models for stock prices. J. Business 47, 244-280. Bookstaber. R M. and J. B. McDonald (1987). A general distribution for describing security price returns. J. Business. McDonald, J. B. and R. M. Bookstaber (1991). Option pricing for generalized distributions. Com- munications in Statistics: Theory and Methods. 20(12), 4053-4068. Bookstaber. R M. and J. B. McDonald (1987). A general distribution for describing security price returns. J. Business 60.401-424. McDonald, J. B.(1996).Probability distributions for Financial models. Handbook of Statistics, Vol.14. McDonald, J. B. and R. Nelson (1993). Beta estimation in the market model: Skewness and Leptokurtosis. Comm. Statist. 22:10. McDonald, J. B. and W. K.. Newey (1988). Partially adaptive estimation of regression models via the generalized T distribution. Econometric Rev. 12, 103-124. McDonald, J. B. and Richards, D. O.(1987).Model selection: Some generalized distributions. Commun. Statist.-Theory Meth.,16(4), 1049-1074. Mandelbrot, B.1963a. New method in statistical economics. Journal of Political Economy 71(October):394-419. Mandelbrot, B. (1963). The variation of certain speculative prices. J. Business. 36, 394-419. Clark. P. K. (1973). A subordinated stochastic process model with finite variance for speculative prices. Economelrica 41. 135-155. Cox. J. C. and S. A. Ross (1976). The valuation of options for alternative stochastic processes. J. Financ. Econom. 3, 145-166. Kon, S. J,(1984).Models of stock returns-a comparison. The Journal of Finance 39(March):147-65. Kim,D. and Kon, S. J.(1994). Alternative models for the conditional heteroscedasticity of stock returns. J. Business 67, no.4. Maddala, G.S.(1983).Dependent and qualitative variables in Econometrics. Praetz, P. D. (1972). The distribution of share price charges. J. Business. 45, 49-55. Fama, E. F. and R. Roll (1968). Some properties for symmetric stable distributions. J. Amer. Statist. Assoc. 63. 81 7-836. Lurie, D., Hartley, H. O. and Stroud. M. R. (1974). A goodness of fit test for censored data. Communications in Statistics 3, 745-753. Barr, D. R. and Davidson, T. (1973). A Kolmogorov-Smirnov test for censored samples. Technometrics 15. 739-757. Smith, R. M. and Bain, L. J. (1976). Correlation type goodness-of-fit statistics with censored sampling. Communications in Statistics A5, 119-132. Turnbull, B. W. (1976). The empirical distribution function with arbitrarily grouped, censored and truncated data. Journal of the Royal Statistical Society, Series B 38, 290-295. Weiss, L. I. (1975). The asymptotic distribution of the likelihood ratio in some nonstandard cases. Journal of the American Statistical Association 70, 204-208. Mittnik, S., Rachev, S (1993), Modeling asset returns with alternative stable models, Econometric Reviews 12, 261-330. Mittnik, S., Rachev, S (1998), Unconditional and conditional distributional models for the Nikkei Index, Asia-Pacific Financial Markets 5, 99-128. Owen, D. B.(1968).A survey of Properties and Applications of the noncentral t-distribution. zh_TW
