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研究生:林淑瑜
研究生(外文):Shu-Yu Lin
論文名稱:不對稱條件共變異數矩陣對資產配置與風險控管的意涵
論文名稱(外文):The Implication of Asymmetric Condtional Covariance Matrix on Asset Allocation and Risk Management
指導教授:徐守德徐守德引用關係
指導教授(外文):David Shyu
學位類別:博士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
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:2009
畢業學年度:97
語文別:中文
論文頁數:99
中文關鍵詞:資產配置風險控管正向回饋隨時間變動風險溢酬
外文關鍵詞:positive feedbackrisk managementasset allocationtime-varying risk premia
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本論文是在Kroner and Ng(1998)所發展的不對稱動態共變異模型(Asymmetric Dynamic Covariance;ADC)建構的波動不對稱條件共變異數矩陣之架構下,研究資產配置與風險控管二大議題。
就資產配置意涵此議題的探討,本文是以結合異質交易者(理性交易者以及正向回饋交易者)與二因子ICAPM (Merton,1973)所發展的模型-擴展Sentana & Wadhwani模型,實證研究台灣外匯市場與股票市場的報酬動態。並利用ADC建構外匯市場與股票市場的條件二階動差。實證結果顯示(一)台灣市場外匯報酬的變動除了受自身條件變異數的影響外,亦會受跨市場條件共變異數的影響,該結果顯示股票是外匯市場的良好避險工具;就股票市場而言,條件市場波動為股票市場風險溢酬的風險因子,但不包含跨市場的條件共變異數,該結果顯示外匯並非是股票市場的良好避險工具。(二)正向回饋交易的確影響外匯市場與股票市場的短期報酬動態,而正向回饋交易者的存在也使得報酬呈現負向序列自我相關,且波動愈大時,理性投資者需要更多的風險溢酬以吸引其進場修正錯價,進而造成外匯報酬的負向序列自我相關程度愈高。(三)跨市場條件共變異數會影響外匯市場與股票市場報酬的序列相關,且其影響決定於共變異數的正負,當共變異數為負時,正向回饋交易會產生正向自我相關,當共變異數為正時,則產生負向自我相關。(四)ADC及ABEKK模型可適切的捕捉外匯市場與股票市場報酬的條件二階動差過程。(五)一般化模型(擴展Sentana & Wadhwani模型)對三個縮減式模型(一因子ICAPM、二因子ICAPM與原始Sentana & Wadhwani(1992))的設定檢定結果顯示,相對於傳統的資本資產定價模型,結合跨市場風險溢酬與正向回饋交易的擴展Sentana & Wadhwani模型更能解釋外匯市場與股票市場報酬的動態行為。
就風險控管意涵此議題的探討,本文則利用ADC建模與估計正面或負面消息對台指期、現貨條件共變異數矩陣衝擊的不對稱效果,並同時考慮期、現貨長期均衡關係,以探討台指期貨與現貨間報酬的動態關聯性及其對用期貨的靜、動態避險績效的影響。實證結果顯示(一)期貨價格與現貨價格二序列均存在共整合關係,亦即期貨與現貨價格之間有一長期穩定的均衡關係。而且期貨價格領先現貨價格。(二)台指期、現貨兩市場間的條件共變異數矩陣的確存在波動不對稱效果。(三)條件共變異數矩陣加入不對稱效果的動態避險績效優於對稱模型下的避險績效。(四)在考慮避險成本情況下,加入不對稱效果的動態避險績效反而較靜態避險績效差。
The work presented in this dissertation can be grouped around two major themes. The first theme relates to the asset allocation and the second theme relates to risk management.
In Chapter Three, we investigate the dynamics of foreign exchange and stock returns based on an extended version of Sentana and Wadhwani (1992) model. This study is mainly driven by the wish to explain two major stylized facts that puzzled the older models. We find evidence to support that only intertemporal variation in the foreign exchange risk premium can be explained by time–varying covariance priced risk factors. Furthermore, we also find that the first order autocorrelation of both foreign exchange and stock market returns in Taiwan is negatively related to the level of conditional volatility and covariance. This time-varying nature of the serial correlation pattern is consistent with our model where some traders follow feedback strategies. The three nested asset pricing models with four models of conditional second moments are strongly rejected. We conclude that our extended Sentana and Wadhwani model is more adequate in explaining the dynamics of foreign exchange and stock markets.
In Chapter Four, we investigate the risk management of futures market and spot market returns. There is widespread evidence that the volatility of stock returns display an asymmetric response to good and bad news. This paper attempted and found the asymmetric behavior co-existence in spot as well as future markets. By using the Asymmetric Dynamic Model (ADC) proposed by Kroner and Ng (1998), we estimated the conditional covariance matrix asymmetric and calculated dynamic optimal hedge ratios. With the help of that asymmetric model, our “out of sample” dynamic hedging strategy out-performed that of normally dynamic hedging strategies. However, while taking the transaction costs into consideration, the performance was even worse than that of the static strategy.
第一章、緒論
第一節 研究動 機…………………………………1
第二節 研究目的………………………………… 7
第三節 研究架構………………………………… 8
第二章、不對稱條件共變異數矩陣
第一節 文獻探討………………………………… 10
第二節 多變量GARCH模型……….…………… 13
第三節 多變量波動不對稱GARCH模型……… 19
第三章、不對稱條件共變異數矩陣對資產配置的意涵
第一節 前言……………………………………… 24
第二節 擴展Sentana &Wadhwai模型……… 27
第三節 計量模型設定…………………………… 31
第四節 資料與初步分析………………………… 34
第五節 實證結果.…………………………… 42
第六節 結論.…………………………………… 49
第四章、不對稱條件共變異數矩陣對風險控管的意涵
第一節 前言……………………………………… 51
第二節 理論基礎……………………………… 53
第三節 實證方法………………………………… 54
第四節 避險效果評估法則……………………… 57
第五節 資料與初步分析………………………… 59
第六節 實證結果………………………………… 66
第七節 結論…………….……………………… 78
第五章、總結 80
參考文獻 82
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