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研究生:駱怡帆
研究生(外文):Yi-Fan Low
論文名稱:市場情緒是否影響證券報酬?東亞新興市場證券波動指數間之計量因果性
論文名稱(外文):Does Market Sentiment Affect Equity Return? Econometric Causalities among Volatility Indexes and Their Underlying Equity Indexes for East Asian Emerging Markets
指導教授:李忠榮李忠榮引用關係盧陽正盧陽正引用關係
指導教授(外文):作者未提供作者未提供
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
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:2008
畢業學年度:96
語文別:中文
論文頁數:61
中文關鍵詞:報酬率東亞新興市場波動度指數因果檢定
外文關鍵詞:Volatility indexGranger CausalityPanel data
相關次數:
  • 被引用被引用:10
  • 點閱點閱:375
  • 評分評分:
  • 下載下載:119
  • 收藏至我的研究室書目清單書目收藏:3
行為財務學相關文獻指出投資人的情緒足以影響證券資產之定價,資產價格除了受到基本面與總體產業因素影響之外,更可能會受到雜訊交易者的情緒而有所變動。本研究以芝加哥選擇權交易所(CBOE)推出之波動度指數(VIX)做為情緒指標之代理變數,來檢視投資人情緒對於市場標的指數報酬率之關聯性探討。然而過去關於波動度指標與標的指數報酬率之因果關聯性研究並未得到一致性結論,本研究證實此乃肇因於實證模型侷限於單一國家之市場下易忽略變數隨著資訊的傳遞產生跨國之影響。為瞭解確切之因果關聯性,本研究延續Granger(1969)提出之因果檢定(Causality tests),並擴展模型為固定效果下的縱橫資料模型(Panel data model),檢視東亞新興市場中已發展衍生性商品之新興市場-香港、韓國、台灣市場之證券市場指數與波動度指數間之因果關聯性。
實證結果發現:在單一市場架構下,台灣與香港之標的指數報酬率與波動度指數存在雙向因果關聯性;隨著跨國資訊傳遞效果下,台灣市場與韓國市場有其高度關聯性,此外考量波動度指數與標的指數報酬率之交互作用,韓國波動度指數領先台灣與香港之標的指數報酬率。此一結果在Panel data之因果檢定中進一步獲得確認。本研究證實標的指數報酬率與波動度指數間存在領先落後之計量因果性,且此種因果性具統計強韌性(robustness)。
In the field of financial behavior, it is argued that the emotion of investor will disturb the price revelation. Recently, lots of literatures increasingly draw empirical research on sentiment index measuring the emotion of investors (for example, VIX first introduced by CBOE in 1993). This paper uses VIX as an investor sentiment’s index to do Granger Causality test. However statistical causality between the sentiment index and the underlying Equity index has not consistence. The reason is that the information contained in the spillover of sentiment across markets concerned in current researches could be reflected on the future stock returns. Particularly, we expand the Grange Causality tests and use Panel Data later. We pay attention to the emerging markets in Asia including Korea, Hong Kong and Taiwan..
The results find that in the single model: Both of Return and VIX in Taiwan and Hong Kong have the two-way Grange Causality. There is high relationship between Taiwan and Korea among Spillover effect existing between cross countries. Second KVIX Granger Cause HVIX and TVIX. Finally, our results make sure with the causality of return and volatility index under Panel data. International dynamic relationship and portfolio analysis could further be conducted considering the spillover effect cross country.
壹、緒論
一、研究背景與動機
二、研究問題與目的
三、研究架構流程
貳、文獻回顧
一、投資人情緒、波動度與報酬相關文獻
(一) 情緒與證券報酬之關聯性
(二) 波動與報酬之關聯性
(三) 投資人情緒、波動度、證券報酬之關聯性
二、隱含波動率之相關文獻
三、波動率指數之相關文獻
(一)波動度指數與標的指數相關性研究
(二)波動度指數與報酬之領先落後關連性
四、國際股市間傳遞效果之文獻回顧
叁、研究方法
一、Granger 因果檢測
(一)單根檢定
(二)向量自我迴歸模型
(三)VAR 架構下之Granger因果檢測
二、Panel 模型下之因果檢定
(一)Panel 之單根檢定
(二)Panel 模型之介紹
肆、實證結果與分析 28
一、資料來源與樣本分析
二、單根檢定、向量自我迴歸模型(VAR)與因果關係檢測
三、Panel 單根檢定與Panel因果關係檢測
伍、結論
附錄一 VIX編制之流程與說明
附錄二 台灣股價指數選擇權契約規格
附錄三 香港恆生指數選擇權契約規格
附錄四 韓國KOSPI200選擇權契約規格
附錄五 2007年衍生性金融商品交易量排名
附錄六 2007全球指數選擇權契約交易量前20名
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