臺灣博碩士論文加值系統

摘要

本文以GARCH模型來探討91檔摩根成份股的交易活動對其股價波動持續性的影響，本文是以交易量作為交易活動的代理變數並採用GARCH(1,1) 或 EGARCH(1,1)來研究股價報酬率的波動性是否減弱。其次，本文考慮隔夜效應對股價波動的差異性影響。由於GARCH(1,1) 或 EGARCH(1,1) 模型對金融商品的時間序列有較一般傳統統計計量模型更好的描述性，因此本文以GARCH(1,1) 或 EGARCH(1,1) 模型來探討股票價格、成交量的波動關聯性，實證結果顯示股票價格與交易量的變動過程符合GARCH(1,1) 或 EGARCH(1,1) 模型，且隔夜效應 比其他的交易活動較能解釋價格的波動。

Abstract
This paper uses GARCH model to investigate the question of excessive implies persistence of volatility. Ninety one traded actively Taiwan stocks of SIMEX MSCI are considered and as already established in the literature, when volume traded is inserted in the GARCH(1,1) or EGARCH(1,1) model for returns, the estimated persistence is decreased since volume is affected also by within-the-day price movements. It is concluded that the difference between the opening price and the closing price of the previous day accounts also for most of the persistence in the autoregressive conditional hetero-skedasticity. The GARCH(1,1) or EGARCH(1,1) model is found to be more appropriate than traditional statistical models because it is capable of mimicking observed statistical characteristics of many time series of financial assets. The result of this study indicated that the change process of price and volume are best described by a GARCH(1,1) or EGARCH(1,1) model. Evidence is also exhibited that ONIt (over night index ) can help to explain the price volatility better than volume or other proxies.

目　錄

中文摘要i
英文摘要ii
誌謝iii
目錄iv
表目錄v
圖目錄v
第一章、緒論1
第一節 前言1
第二節 研究動機與目的4
第三節 研究架構與流程圖8
第二章、文獻回顧10
第一節 價量關係研究之文獻10
第二節 ARCH 模型的理論12
第三節 GARCH 模型的理論15
第四節 GARCH 與EGARCH模型的實證文獻17
第五節 交易活動加入模型的實證文獻19
第三章 資料分析與研究模型20
第一節 資料分析20
第二節、GARCH(1,1)與E GARCH(1,1)為最佳模型21
第三節 研究模型22
第四章 實證研究30
第一節 GARCH模型的實證結果30
第二節加入代理變數的GARCH模型的實證結果31
第三節 EGARCH模型的實證結33
第四節 加入代理變數的EGARCH模型的實證結果35
第五章、結論37
參考文獻40

表　目　錄
表1 MSCI 台股成份股及權值比重一覽表45
表2 GARCH模型及加入代理變數的α1+β1的統計值47
表3 EGARCH模型及加入代理變數的α1+β1的統計值51
表4 EGARCH 模型加入交易活動的代理變數55

圖　目　錄
表4－1　圖1.3.1研究架構與流程圖9

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