臺灣博碩士論文加值系統

在現今的金融市場中，股票市場占有舉足輕重的地位，若是股票市場中具有長記憶性，則會影響投資組合決策中投資標的的選擇及投資期間的長短，因此，本文選擇了美國、法國、德國及日本等已開發國家以及台灣、香港、南韓、馬來西亞以及新加坡等開發中國家為研究對象，探討其股票市場是否存在長記憶性。
在本研究中，將以ARFIMA模型中的參數d來捕捉股票市場中的長記憶特性，再加以比較ARIMA、GARCH及ARFIMA三個模型做樣本外預測所得到的預測誤差，以判斷各模型估計後之狀況。而經由實證結果發現，美國、法國、德國、日本南韓及新加坡等六個國家，其股票市場符合部份差分模型，即具有長記憶性；至於台灣、香港及馬來西亞之股票市場則不具有緩長記憶。而利用ARFIMA模型做樣本外預測所得到的預測誤差與ARIMA、GARCH模型的預測誤差相比較發現，彼此之間的差異並不大，甚至有些國家以ARFIMA之預測誤差為最小，表示ARFIMA模型能夠有效地描述這些國家股票市場中的報酬行為。

A major issue in financial economics is the behavior of stock returns over long as opposed to short horizons. This study provides empirical evidence from the perspective of long memory analysis. The ARFIMA model is employed here to capture long memory in the stock market. Tests are made on the nine countries: the USA, France, Germany, and Japan, the major capital markets, and Taiwan, Hong Kong, South Korea, Malaysia, and Singapore, the emerging capital markets. The result reveals that that there are long memory in the USA, France, Germany, Japan, South Korea and Singapore. We find no evidence of long memory in Taiwan, Hong Kong and Malaysia. The findings suggest that in the sample period, the markets with long memory do not have market efficiency, and the markets which have no long memory are efficient markets.

第一章 緒論
第一節 研究動機……………………………………………1
第二節 研究目的……………………………………………1
第三節 研究架構……………………………………………2
第二章 文獻回顧………………………………………………3
第三章 研究方法
第一節 單根檢定……………………………………………7
第二節 ARIMA(p,d,q) 模型………………………………12
第三節 異質變異數時間序列模型 ………………………13
一、自我迴歸條件異質變異數模型……………………14
二、一般化自我迴歸條件異質變異數模型……………16
三、ARCH效果的檢定……………………………………17
第四節 ARFIMA(p,d,q)模型………………………………20
一、模型介紹……………………………………………20
二、模型參數的估計及計算……………………………23
三、預測…………………………………………………30
第四章 實證結果與分析
第一節 資料來源與處理 …………………………………31
第二節 單根檢定 …………………………………………34
第三節 ARIMA模型實證結果………………………………39
一、模型之配適…………………………………………39
二、模型之選取…………………………………………44
第四節 GARCH模型實證結果………………………………46
一、ARCH效果之檢定……………………………………46
二、模型之估計…………………………………………47
第五節 ARFIMA模型實證結果 ……………………………50
一、長記憶的Robust檢定………………………………50
二、模型之配適…………………………………………52
三、模型之選取…………………………………………57
第六節 預測績效衡量 ……………………………………58
第五章 結論與建議
第一節 結論 ………………………………………………61
第二節 後續研究建議 ……………………………………63
參考文獻………………………………………………………64

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