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研究生:潘聖峰
研究生(外文):Sheng-Feng Pan
論文名稱:總體經濟訊息宣告與異常交易量衝擊對台灣股市報酬波動性之影響
論文名稱(外文):The Impact of Macroeconomic News Releases and Abnormal Turnover Shock upon Taiwan Stock Return Volatilities
指導教授:金鐵英金鐵英引用關係
指導教授(外文):Tie-In Jin
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
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:2006
畢業學年度:94
語文別:中文
論文頁數:69
中文關鍵詞:總體經濟訊息宣告異常交易量衝擊波動與波動叢聚
外文關鍵詞:macroeconomic news releasesabnormal turnover shockvolatilityvolatility clustering
相關次數:
  • 被引用被引用:6
  • 點閱點閱:701
  • 評分評分:
  • 下載下載:189
  • 收藏至我的研究室書目清單書目收藏:3
本研究選取1997年1月1日至2005年11月30日台灣加權、電子與金融類股價指數日資料,採用GJR-GARCH(1,1)模型,分析總體經濟訊息宣告與異常交易量衝擊對股價指數報酬波動和波動叢聚之影響。實證結果發現,異常交易量衝擊顯著增強加權、電子與金融類股價報酬波動;消費者物價指數宣告顯著減弱加權、電子與金融類股價指數報酬波動;至於海關進出口貿易宣告僅影響加權股價報酬波動。就股價報酬波動叢聚而言,異常交易量衝擊顯著增強電子與金融類股價報酬波動叢聚現象;消費者物價指數與海關進出口貿易宣告顯著減弱加權股價報酬波動叢聚現象;貨幣供給額宣告則使金融類股價報酬波動叢聚減弱。由此得知,異常交易量衝擊增加市場上的不確定性,造成股價報酬波動與波動叢聚增強;而總體經濟訊息宣告後,消除了市場上的不確定性,造成股價報酬波動與波動叢聚減弱。此外,發現影響股價報酬波動與波動叢聚因素不盡相同,且不同總體經濟訊息對特定產業股價報酬波動性有更顯著解釋能力。
Based on the daily data files of the Taiwan Stock Weighted Index (TSWI), the Electronic Category Weighted Index (ECWI) and the Finance Category Weighted Index (FCWI) from January 1 1997 to November 30 2005, This thesis investigated the impacts of macroeconomic news releases and abnormal turnover shocks upon stock return volatilities and volatility clustering at the index levels. Collectively, results show that index turnover stocks were significantly positively correlated with volatilities of the TSWI, ECWI and FCWI, whereas Consumer Price Index (CPI) was significantly negatively correlated with volatilities of the TSWI, ECWI and FCWI. A news release of export figures significantly influence on volatility of the TSWI. With regard to variations in volatility clustering, evidence shows that the index turnover shocks positively affected volatility clustering of the ECWI and FCWI, news releases of CPI and export figures negatively affected volatility clustering of the TSWI, and a news release of monetary supply negatively affected volatility clustering of the FCWI. On the average, volatilities and the phenomenon of volatility clustering tended to be stronger because the index turnover shocks would enhance the market’s uncertainty, and to be weaker when the macroeconomic news releases abates the market’s uncertainty. That is, factors responsible for market volatility and volatility clustering are different. In addition, the impacts of the macroeconomic figures releases upon price fluctuations of specific industry categories are even pronounced.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 論文架構 4
第二章 文獻回顧 5
第一節 總體經濟訊息與股價報酬波動 5
第二節 交易量與股價報酬波動 9
第三節 總體經濟訊息、交易量與股價報酬波動叢聚 12
第三章 資料說明與研究方法 15
第一節 研究流程 15
第二節 選取變數與說明 17
第三節 變數處理 18
第四節 交易量衝擊 20
第五節 單根檢定(Unit Root Tests) 21
第六節 自我迴歸整合移動平均模型(ARIMA) 23
第七節 ARCH效果檢定和不對稱效果檢定 25
第八節 一般化自我迴歸異質條件變異數模型(GARCH) 27
第四章 實證結果與分析 33
第一節 敘述性統計 33
第二節 單根檢定 35
第三節 建構平均數方程式(ARMA模型) 36
第四節 ARCH效果檢定與不對稱效果檢定 39
第五節 GJR-GARCH(1,1)模型實證分析 41
第五章 結論與建議 59
第一節 結論 59
第二節 後續研究建議 62
參考文獻 63
附錄一 67
附錄二 68
附錄三 69
中文部份
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黃慶光(2000),台灣股價指數反向操作策略及價量關係分析,中正大學企業管理研究所未出版碩士論文。
黃勁豪(2001),台灣股票市場波動性與總體經濟波動性關係之研究,東海大學企業管理研究所未出版碩士論文。
楊晴華(2000),影響股市波動因素之研究─以台灣股市為例,中正大學企業管理研究所未出版碩士論文。
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郭修旻與李秀雯(1999),「股票市場波動性與總體經濟波動性及市場交易量之關係─台灣市場實証研究」,中國工商學報,第21期,249-272。


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