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研究生:侯名軒
研究生(外文):Ming-Hsuan Ho
論文名稱:台灣股票市場波動性星期效應之研究
論文名稱(外文):The Day-of-the-Week Effect on Taiwan Stock Market Volatility
指導教授:蘇永在陳文憲陳文憲引用關係
指導教授(外文):Yeongtzay SuRobert W. Chen
學位類別:碩士
校院名稱:國立高雄師範大學
系所名稱:數學系
學門:數學及統計學門
學類:數學學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:英文
論文頁數:26
中文關鍵詞:星期效應波動性
外文關鍵詞:Day-of-the-Week EffectVolatility
相關次數:
  • 被引用被引用:3
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  • 下載下載:194
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Volatility is one of the important determinants of the riskiness of an asset and is a crucial parameter of the pricing of price-contingent derivatives. This thesis tests the presence of the day-of-the-week effect by using two estimators of the volatility and the data of 20 major indices of Taiwan Stock Exchange Market. The findings show that the day-of-the-week effect is present in 5 indices (TAIEX, Textiles, Glass \& Ceramics, Paper \& Pulp, and Transportation).
1 Introduction---------------------------1
2 Literature Review----------------------4
3 Data Analysis--------------------------6
4 Methodology----------------------------8
4.1 Levene Test------------------------8
4.2 Kruskal-Wallis Test----------------10
5 Empirical Results----------------------12
6 Conclusion and Further Work------------13
References--------------------------------25
[1] Aggarwal, R., and P. Rivoli. (1989), "Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets," Financial Review, 24, 541-550.
[2] Garman, M., and M. Klass, (1980),"On the Estimation of Security Price Volatilities from Historical Data," Journal of Business, 53, No.1, 67-78.
[3] Huang Yu-Chuan, and David Shyu, (2000), "On the Comparison of Intraday Behaviors in the Taiwan Stock Index and Index Futures," Chiao Da Management Review, Vol. 20, No.2, 149-171.
[4] John C. Hull, (1991), "Introduction to Futures and Options Markets," 3rd edtion, Prentice-Hall International, New Jersey.
[5] Larsen J. Richard, and Morris L. Marx, (1986), "An Introduction to Mathematical Statistics and Its Applications," 2nd edtion, Prentice-Hall International, New Jersey.
[6] Robert, V. Hogg., and Allen T. Craig (1995), "Introduction to Mathematical Statistics," 5th edtion, Prentice-Hall International, New Jersey.
[7] 吳明正, "股票市場報酬率之季節性-以台灣上市集團股為例,"
私立逢甲大學企業管理研究所碩士論文, 民國88年六月.
[8] 林偉祺, "亞太地區主要股市「春節效果」實證結果之再探討(1991-1997)," 私立輔仁大學金融研究所碩士論文, 民國87年六月.
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