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研究生:吳佳倩
研究生(外文):Wu Chia-Chien
論文名稱:台灣股票市場報酬率及波動性之研究
論文名稱(外文):A study on the return and volatility in the Taiwan stock market
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:55
中文關鍵詞:報酬率波動性月份效應
外文關鍵詞:returnvolatilitymonth effect
相關次數:
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The London Stock Exchange has a saying, ''Sell in May and Go away''. Will the old market wisdom show in Taiwan Stock Exchange? Researchers around the world have empirically tested the abnormal phenomenon of stock markets recently. However, relatively little is known about whether the volatility movements have the calendar anomalies. Option is one of the derivatives and it is important to price the option. One of the most important models in financial field is published by Black and Scholes in 1973. The only parameter in the Black-Scholes pricing formula which cannot be observed directly is the volatility of the underlying asset.
In this thesis, we test for seasonal effects of stock return and volatility in the Taiwan Stock Market respectively. The sample is daily data of the Taiwan Stock Market Index and eleven major industrial group stock indices from January 1995 to January 2002. Analysis of Variance, Kruskal-Wallis test and dummy variable regression analysis are
used to test the month effect.
Furthermore, we take seven of the most active stocks (by volume) for example to examine their seasonal effects in return. In volatility, we use ARMA model to fit the volatility of the TAIEX and the eleven group stock indices from January 1995 to December 2000. After we find the suitable model respectively, we forecast the volatility from January 2001 to December 2001 step by step and to compare the forecast and actual volatility.
1.Introduciton
1.1 Return
1.2 Volatility
1.3 Study Frame
2.Literature Review
2.1 January Effect
2.2 Explanaitons of the January Effect
3.Data Analysis
3.1 Return
3.2 Volatility
4.Methodology
4.1 Analysis of Variances
4.2 Kruskal-Wallis Rank Test
4.3 Dummy Variable Regression Analysis
4.4 Stationary Time-Series Models
5.Empirical Results
5.1 Return of the Major Group Stock Index
5.2 Return of the Most Active Stock Price
5.3 Volatility of the Major Group Stock Index
5.4 Volatility of the Most Active Stock Price
6.Conclusion
References
Tables and Figures
1. John C. Hull, (1991), ''Introduction to Futures and Options Markets''3rd edition, Prentice-Hall, Inc., New Jersey.
2. Walter Enders (1995), ''Applied Econometric Time Series''
1st edition, John Wiley Sons, Inc.
3. Robert, V. Hogg., and Allen T. Craig (1995), ''Introduction to Mathematical Statistics'' 5th edition, Prentice-Hall Inc., New Jersey.
4. Douglas C. Montgomery (1997), ''Design and Analysis of Expeiments''5th edition, John Wiley & Sons, Inc.
5. 林茂文, 時間序列分析與預測,華泰書局, 民國八十一年十一月.
6. 李麗貞, 商用統計學,曉園出版社, 民國八十五年.
7. 鍾惠民, 吳壽山, 周賓凰, 范懷文, 財金計量, 雙葉書廊有限公司, 民國九十一年元月.
8. 林明正, ''一月效果與國際股市績效評估'',國立中山大學財務管理研究所碩士論文, 民國八十三年六月.
9. 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, 民國八十七年六月.
10. 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, 民國八十八年六月.
11. 莊智有, ''台灣股市元月效應成因之探討''私立中原大學企業管理研究所碩士論文, 民國八十九年八月.
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