臺灣博碩士論文加值系統

Merton (1980)跨期資產定價模型(Intertemproal Capital Asset Pricing Model, ICAPM)的實證研究指出風險越高投資者會要求越高的風險貼水。然而文獻上對於風險與超額報酬之間抵換關係卻存在實證上的不一致結論。許多文獻以改進估計條件變異數的方式來試著解決負向的風險報酬抵換關係。Nam (2008)則認為是由於忽略了未預料到波動衝擊(Unexpected Volatility Shock)的影響，並得到正向風險報酬間的抵換關係。本研究以美國、日本、英國股市報酬和國庫券利率資料，延續Nam (2008)考慮前一期未預料到風險亦會對超額報酬的預期有所影響，並應用由Granger and Teräsvirta (1993)首先提出的平滑轉換回歸模型(Smooth Transition Autoregression Model)考慮變數受到不同新訊息時的平滑區間轉換，以及Nam and Krausz (2008)在變異數方程式中捕捉波動不對稱的Asymmetric Nonlinear Smooth Transition Garch (ANST-GARCH)。在研究中發現，未預料到的波動衝擊確實會對預期超額報酬有顯著的影響，不同的新訊息分別對預期報酬以及波動都有不同的影響。其中日本股市存在參數不固定的情形，因此本研究進一步應用Lundbergh, Teräsvirta and van Dijk (2003) 所提出TV-STAR (Time-Varying Smooth Transition Autoregression, TV-STAR)來進行探討，結果顯示超額報酬同時有顯著的隨時間變化與非線性的效果，預期的波動與未預料到的波動皆顯著地在不同新訊息下對預期超額報酬有不對稱的影響。

Although the intertemporal CAPM (ICAPM) of Merton (1980) implies that the expected excess market return should be positively proportional to its volatility, there are conflicting results in the existing literatures. One of the arguments is the misspecification in the variance equation which encourages many empirical literatures to develop different ways estimating the conditional volatility. Nam and Krausz (2008), however, argues that ignoring the unexpected volatility shock in the mean equation will suffer the omitting variable problem which accounts for the inconsistent findings.
This study mainly follows the idea of Nam (2008) and employs the smooth transition autoregression model (STAR model) proposed by Granger and Teräsvirta (1993) to examine the impact of unexpected volatility shock to the intertemporal relation between the expected excess return and the risk based on new information. On the other hand, in order to capture the asymmetric behavior of volatility this study uses the asymmetric nonlinear smooth transition GARCH model (ANST-GARCH) to estimate the conditional variance.
Here are some notable findings. First, the effect of unexpected volatility is statistically significant. Second, both expected and unexpected volatilities react to the new information asymmetrically. Third, empirical evidence form Japan’s stock market excess return shows that there is a smooth transition of regime switching caused over time.

第一章 緒論 1
1.1前言與研究動機 1
1.2研究架構 2
1.3 研究貢獻 3
第二章 文獻回顧 4
2.1 風險與超額報酬抵換關係之相關文獻回顧 4
第三章 實證估計模型 8
3.1實證模型 8
3.1.1 平滑轉換自我迴歸模型(Smoot Transition Autogression Model, STAR) 8
3.1.2 不對稱非線性平滑轉換GARCH模型(ANST-GARCH) 11
3.1.3 TV-STAR (Time-Varying Smooth Transition AutoRegression) 12
3.2估計模型 14
3.3診斷性檢定 17
3.3.1參數固定檢定(Parameter Constancy test) 17
3.3.2無剩餘非線性檢定(no-remaining non-linearity test) 18
3.3.3殘差序列相關檢定(residual serial correlation test) 19
3.3.4 ARCH-LM 檢定 20
3.3.5 波動不對稱性檢定 21
第四章 實證結果與分析 22
4.1資料來源與敘述 22
4.2 單根檢定 22
4.2.1 Augmented Dickey Fuller單根檢定 24
4.2.2 Phillips-Perron 單根檢定 25
4.3 模型估計結果 27
4.4 診斷性檢定結果 35
第五章 結論 44
參考文獻 46

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