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題名 股價指數報酬率厚尾程度之研究
作者 李佳晏
貢獻者 饒秀華
李佳晏
關鍵詞 一般化柏拉圖分配
樣本分割預測檢定
累積平方和檢定
Generalized Pareto Distribution
Sample Split Prediction Test
Cusum of Squares Test
日期 2001
上傳時間 18-Apr-2016 16:24:30 (UTC+8)
摘要 許多觀察到的時間序列資料，多呈現高峰厚尾（leptokurtic）的現象，本文引用時間序列資料為Paretian分配之假設，估計各個國家股價指數報酬率於不同頻率資料下之最大級數動差，以觀察其厚尾程度。實證結果發現，各個國家指數報酬率於不同頻率資料下之四級以上動差大部分存在，且不隨資料之頻率不同，而有不同的表現。由此可推論，各個國家股價指數報酬率之歷史分配，其離群值之活動並不嚴重。接著，利用樣本分割預測檢定（Sample Split Prediction Test）來檢定所觀察各個國家股價指數報酬率於同一樣本期間內，其左右尾之厚尾程度是否一致，及檢定所觀察各個國家指數報酬率於跨期間左尾或右尾之厚尾程度是否穩定。在同一樣本期間，檢定時間序列之左右尾之厚尾程度是否一致之檢定中，發現各個國家指數報酬率在所觀察樣本期間內，其左右尾之厚尾程度大致相同；而在跨期間之樣本分割預測檢定中，發現各個國家指數報酬率在像是1987年10月美國股市大崩盤、1990年至1991年間之波斯灣戰爭、1997年亞洲金融風暴等事件前後，其左（右）尾之厚尾程度有顯著差異。最後提出Cusum of Squares檢定，係用於檢定一時間序列資料在所觀察之樣本期間內，其非條件變異數是否為一常數。
參考文獻 中文部份
     葉志鴻（民65年），「證券市場的效率：臺灣股票交易的實證研究」，國立政治大學經研究所碩士論文。
     陳盈賢（民86年），「台灣外匯資產報酬率波動性之實證研究—厚尾分配下的極值匯率報酬」，國立暨南大學經濟研究所碩士論文。
     英文部份
     Bellerslev, T.（1986), `Generalized Autoregressive Conditional Heteroskedasticity`, Journal of Econometrics 31, 307-327.
     Devajyoti Ghose and Kenneth F. Kroner (1995), `The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data, Journal of Empirical Finance 2, 225-251.
     Duffie, D. & Pan, J. (1997), `An Overview of Value at Risk`, Journal of Derivatives 4, 7-49.
     Engel, R.F.（1982), `Autoregressive Conditional Heteroskedasticity with Estimates of United Kingdom Inflation`, Econometrica 50, 987-1008.
     Fama, E.（1965), `The Behavior of Stock Market Prices`, Journal of Business 38, 34-105.
     Fama, E. and R. Roll（1968), `Some Properties of Symmetric Stable Distributions`, Journal of the American Statistical Association, 817-836.
     Fama, E. and R. Roll（1971), `Parameter Estimates for Symmetric Stable Distributions`, Journal of the American Statistical Association 66, 331-338.
     Farber, A., R. Roll and B. Solnik（1977), `An Empirical Study of Risk under Fixed and Flexible Exchange Rates`, Journal of Monetary Economics Supplement, 235-265.
     Hall, P.（1982), `On some simple estimates of an exponent of regular variation`, Journal of the Royal Statistical Society Series B 44, 37-42.
     Hill, B.M.（1975), `A Simple General Approach to Inference about the Tail of a Distribution`, Annals of Statistics 3, 1163-1174.
     James Pickands III (1975), `Statistical Inference Using Extreme Order Statistics`, Annals of Statistics 3, 119-131.
     Kees G. Koedijk, Marcia M. A. Schafgans, and Casper G. de Vries (1990), `The Tail Index of Exchange Rate Returns`, Journal of International Economics 29, 93-108.
     McFarland, j.W., R.R. Pettit and S.K. Sung（1982). `The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement`, Journal of Finance 38, 693-715.
     McNeil, A. (1999), `Extreme Value Theory for Risk Managers`, preprint, ETH Zurich.
     Mendelbrot, B.B. (1963), `The Variation of Certain Speculative Prices`, Journal of Business 36, 394-419.
     Mico Loretan and Peter C.B. Phillips (1994), `Testing the covariance stationarity of heavy-tailed time series`, Journal of Empirical Finance 1, 211-248.
     Peter C. B. Phillips, James W. McFarland, and Patrick C. McMahon（1996), `Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence From the 1920s`, Journal of Applied Econometrics 11, 1-22.
     Phillip Kearns and Adrian Pagan (1997), `Estimating the density tail index for financial time series`, The Review of Economics and Statistics, 171-175.
     Phillips, P.C.B.and M. Loretan (1990), `Testing Covariance Stationarity under Moment Condition Failure with an Application to Common Stock Returns`, Cowles Foundation Discussion Paper No.947, June.
     R.-D. Reiss and M. Thomas, `Statistical Analysis of Extreme Values`.
     So. J.C. (1983), `The Stable Paretian Distribution of Foreign Exchange Rate Movements, Nonstationarity and Martingale: An Empirical Analysis, unpublished Ph.D. dissertation, Ohio State University.
     So. J.C. (1987), `The Sub-Gaussian Distribution of Currency Futures: Stable Paretian of Non-stationary`, Review of Economics and Statistics, 100-107.
     Teichmoeller, J.（1971), `A Note on the Distribution of Stock Price Changes`, Journal of the American Statistical Association June 1971, 282-285.
     Westerfield, J.M.（1977), `Empirical Properties of Foreign Exchange Rates under Fixed and Floating Rate Regimes`, Journal of International Economics 7, 181-200.
描述 碩士
國立政治大學
國際經營與貿易學系
88351004
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001517
資料類型 thesis
dc.contributor.advisor 饒秀華zh_TW
dc.contributor.author (Authors) 李佳晏zh_TW
dc.creator (作者) 李佳晏zh_TW
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:24:30 (UTC+8)-
dc.date.available 18-Apr-2016 16:24:30 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:24:30 (UTC+8)-
dc.identifier (Other Identifiers) A2002001517en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85304-
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) 88351004zh_TW
dc.description.abstract (摘要) 許多觀察到的時間序列資料，多呈現高峰厚尾（leptokurtic）的現象，本文引用時間序列資料為Paretian分配之假設，估計各個國家股價指數報酬率於不同頻率資料下之最大級數動差，以觀察其厚尾程度。實證結果發現，各個國家指數報酬率於不同頻率資料下之四級以上動差大部分存在，且不隨資料之頻率不同，而有不同的表現。由此可推論，各個國家股價指數報酬率之歷史分配，其離群值之活動並不嚴重。接著，利用樣本分割預測檢定（Sample Split Prediction Test）來檢定所觀察各個國家股價指數報酬率於同一樣本期間內，其左右尾之厚尾程度是否一致，及檢定所觀察各個國家指數報酬率於跨期間左尾或右尾之厚尾程度是否穩定。在同一樣本期間，檢定時間序列之左右尾之厚尾程度是否一致之檢定中，發現各個國家指數報酬率在所觀察樣本期間內，其左右尾之厚尾程度大致相同；而在跨期間之樣本分割預測檢定中，發現各個國家指數報酬率在像是1987年10月美國股市大崩盤、1990年至1991年間之波斯灣戰爭、1997年亞洲金融風暴等事件前後，其左（右）尾之厚尾程度有顯著差異。最後提出Cusum of Squares檢定，係用於檢定一時間序列資料在所觀察之樣本期間內，其非條件變異數是否為一常數。zh_TW
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     目錄
     表目錄
     圖目錄
     一、緒論
     1.1 研究動機與架構
     1.2 研究架構
     二、廣義Pareto分配及實證統計量
     2.1 廣義Pareto分配
     2.2 實證統計量
     2.2.1 最大級數動差(maximal moment exponent)之點估計
     2.2.2 ｓ最適值(optimal s)的選擇
     2.2.3 樣本分割預測(sample split prediction)檢定統計量
     2.2.2 Cusum of Squares檢定統計量
     三、資料來源及設計
     3.1 資料來源及設計
     3.2 敘述統計量
     四、實證結果與分析
     4.1 最大級數動差之點估計
     4.2 樣本分割預測(sample split prediction)檢定
     4.2.1 左右尾之樣本分割預測檢定(sample split prediction test across tails)
     4.2.2 跨期間之樣本分割預測檢定(sample split prediction test over time)─Grid Search
     4.2.3 跨期間之樣本分割預測檢定(sample split prediction test over time)─事件點
     4.3 Cusum of Squares檢定
     五、結論
     參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001517en_US
dc.subject (關鍵詞) 一般化柏拉圖分配zh_TW
dc.subject (關鍵詞) 樣本分割預測檢定zh_TW
dc.subject (關鍵詞) 累積平方和檢定zh_TW
dc.subject (關鍵詞) Generalized Pareto Distributionen_US
dc.subject (關鍵詞) Sample Split Prediction Testen_US
dc.subject (關鍵詞) Cusum of Squares Testen_US
dc.title (題名) 股價指數報酬率厚尾程度之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部份
     葉志鴻（民65年），「證券市場的效率：臺灣股票交易的實證研究」，國立政治大學經研究所碩士論文。
     陳盈賢（民86年），「台灣外匯資產報酬率波動性之實證研究—厚尾分配下的極值匯率報酬」，國立暨南大學經濟研究所碩士論文。
     英文部份
     Bellerslev, T.（1986), `Generalized Autoregressive Conditional Heteroskedasticity`, Journal of Econometrics 31, 307-327.
     Devajyoti Ghose and Kenneth F. Kroner (1995), `The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data, Journal of Empirical Finance 2, 225-251.
     Duffie, D. & Pan, J. (1997), `An Overview of Value at Risk`, Journal of Derivatives 4, 7-49.
     Engel, R.F.（1982), `Autoregressive Conditional Heteroskedasticity with Estimates of United Kingdom Inflation`, Econometrica 50, 987-1008.
     Fama, E.（1965), `The Behavior of Stock Market Prices`, Journal of Business 38, 34-105.
     Fama, E. and R. Roll（1968), `Some Properties of Symmetric Stable Distributions`, Journal of the American Statistical Association, 817-836.
     Fama, E. and R. Roll（1971), `Parameter Estimates for Symmetric Stable Distributions`, Journal of the American Statistical Association 66, 331-338.
     Farber, A., R. Roll and B. Solnik（1977), `An Empirical Study of Risk under Fixed and Flexible Exchange Rates`, Journal of Monetary Economics Supplement, 235-265.
     Hall, P.（1982), `On some simple estimates of an exponent of regular variation`, Journal of the Royal Statistical Society Series B 44, 37-42.
     Hill, B.M.（1975), `A Simple General Approach to Inference about the Tail of a Distribution`, Annals of Statistics 3, 1163-1174.
     James Pickands III (1975), `Statistical Inference Using Extreme Order Statistics`, Annals of Statistics 3, 119-131.
     Kees G. Koedijk, Marcia M. A. Schafgans, and Casper G. de Vries (1990), `The Tail Index of Exchange Rate Returns`, Journal of International Economics 29, 93-108.
     McFarland, j.W., R.R. Pettit and S.K. Sung（1982). `The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement`, Journal of Finance 38, 693-715.
     McNeil, A. (1999), `Extreme Value Theory for Risk Managers`, preprint, ETH Zurich.
     Mendelbrot, B.B. (1963), `The Variation of Certain Speculative Prices`, Journal of Business 36, 394-419.
     Mico Loretan and Peter C.B. Phillips (1994), `Testing the covariance stationarity of heavy-tailed time series`, Journal of Empirical Finance 1, 211-248.
     Peter C. B. Phillips, James W. McFarland, and Patrick C. McMahon（1996), `Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence From the 1920s`, Journal of Applied Econometrics 11, 1-22.
     Phillip Kearns and Adrian Pagan (1997), `Estimating the density tail index for financial time series`, The Review of Economics and Statistics, 171-175.
     Phillips, P.C.B.and M. Loretan (1990), `Testing Covariance Stationarity under Moment Condition Failure with an Application to Common Stock Returns`, Cowles Foundation Discussion Paper No.947, June.
     R.-D. Reiss and M. Thomas, `Statistical Analysis of Extreme Values`.
     So. J.C. (1983), `The Stable Paretian Distribution of Foreign Exchange Rate Movements, Nonstationarity and Martingale: An Empirical Analysis, unpublished Ph.D. dissertation, Ohio State University.
     So. J.C. (1987), `The Sub-Gaussian Distribution of Currency Futures: Stable Paretian of Non-stationary`, Review of Economics and Statistics, 100-107.
     Teichmoeller, J.（1971), `A Note on the Distribution of Stock Price Changes`, Journal of the American Statistical Association June 1971, 282-285.
     Westerfield, J.M.（1977), `Empirical Properties of Foreign Exchange Rates under Fixed and Floating Rate Regimes`, Journal of International Economics 7, 181-200.		zh_TW