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臺灣博碩士論文加值系統

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研究生:李家昇
論文名稱:偏態預測:台灣加權指數報酬率之研究
論文名稱(外文):Predicting conditional skewness:Evidence from the return distribution of the Taiwan Stock Exchange Value-Weighted Index
指導教授:郭炳伸郭炳伸引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:英文
論文頁數:32
中文關鍵詞:偏態不對稱性交易量
外文關鍵詞:conditional skewnessskewed Student's t distributiontrading volume
相關次數:
  • 被引用被引用:1
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  • 收藏至我的研究室書目清單書目收藏:1
此論文研究有什麼因子會影響台灣股票加權指數報酬率之偏態係數。過去的文獻顯示,交易量和報酬率為可能的因子。實證的結果確實發現,交易量和報酬率顯著地影響偏態係數。
This study examines the determinants for conditional skewness of the return distribution of the Taiwan Stock Exchange Value-Weighted Index. Important driving factors that affect conditional skewness, based on the theory literature, include trading volumes and returns. To capture the skewness in the data, the family of time series model we consider focuses on the specifications of higher-order moments than mean and volatility that conventional models look at. With the specifications, we are able to test whether the factors, volumes and returns, can influence conditional skewnees of the return distribution. Our results suggest the significance of the factors using data from the Taiwan Stock Exchange Value-Weighted Index.
Abstract I
Table of Contents II
Chapter 1. Introduction 1
Chapter 2. Model 7
2.1 Mean and Volatility Equation 8
2.2 Error Distribution 9
2.3 Laws of Motion for Shape Parameters 10
2.4 Complete Model 14
Chapter 3. Empirical results 17
3.1 Data Descriptions 17
3.2 Model Diagnostics 17
3.3 Estimation Results 19
3.3.1 Mean and Volatility Equations 19
3.3.2 Trading Volume on Skewness 19
3.3.3 Return on Skewness 21
3.3.4 Relationship between Past Skewness
and Current Skewness 22
Chapter 4. Conclusion 23
References 25
The List of tables 27
The List of Figures 29
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