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研究生:林育如
研究生(外文):Lin, Yuru
論文名稱:加入外資買賣超、市場交易資訊、波動率指標對期貨避險績效之影響
指導教授:賴靖宜賴靖宜引用關係
指導教授(外文):Lai, Jingyi
口試委員:林文昌周淑卿
口試委員(外文):Lin, WenchangChou, Shuching
口試日期:20120619
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:43
中文關鍵詞:期貨避險GJR GARCH 模型
相關次數:
  • 被引用被引用:4
  • 點閱點閱:502
  • 評分評分:
  • 下載下載:39
  • 收藏至我的研究室書目清單書目收藏:4
本文以臺灣市場為研究對象,研究期間除VIX變數自2007年1月1日至2011年12月31日外,其餘變數資料期間一律從2004年1月1日至2011年12月31日止,利用雙變量diagonal-vech-GJR-GARCH 模型,欲探討分別加入外資買賣超資訊;加入基差、買賣價差、交易量等交易資訊;加入波動率指數與最高最低價波動率等估計波動率指標,是否能提升避險績效?實證結果發現,長期而言,剔除避險比率異常年度後,加入外資買賣超、基差、買賣價差、交易量、波動率指數與最高最低價波動率等模型,避險績效確實比原始模型佳。
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第二章 文獻回顧 5
第一節 避險模型與績效之文獻 5
第二節 機構投資人文獻 6
第三節 基差文獻 9
第四節 買賣價差文獻 10
第五節 交易量文獻 10
第六節 波動率指數文獻 11
第七節 最高、最低價波動率之文獻 12
第三章 研究方法 14
第一節 研究樣本與資料來源 14
第二節 單根檢定 14
第三節 資料處理及變數定義 16
第四節 實證模型 17
第五節 避險比率與避險績效 23
第四章 實證結果 24
第一節 單根檢定 24
第二節 基本統計量檢定 24
第三節 實證分析 25
第四節 各模型之避險比率及避險績效 31
第五章 結論 36
參考文獻 37
中文文獻
王月玲(2002)。外資對台灣股市的影響。未出版之碩士論文,國立政治大學金融研究所。
呂子毅(2010)。台灣三大法人的投資流量與股票市場報酬的互動關係。未出版之碩士論文,國立中正大學財務金融所。

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