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研究生:林娟如
研究生(外文):Lin, Chuan-Ju
論文名稱:非線性計量門檻模型之應用:動態系統風險探討與散裝貨輪運價期間結構研究
論文名稱(外文):The Study of a Non-linear Threshold Econometric Model to the Applications of Dymamic Systematic Risk and Forecasting Dry Bulk Freight Rate
指導教授:許志成許志成引用關係
指導教授(外文):Hsu, Chih-Chen
口試委員:陳乃維王祝三
口試委員(外文):Chen, Nai-WeiWang, C. Edward
口試日期:2011-05-16
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融研究所
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:2011
畢業學年度:99
語文別:中文
論文頁數:88
中文關鍵詞:門檻CAPM雙變量門檻向量自我回歸模型乾散裝貨輪運費非線性GARCH-M模型
外文關鍵詞:Threshold CAPMBivariate Autoregressive ModelDry bulk freight ratenon-linear GARCH-M
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第一部分
題目:日本與英國股票市場系統風險探討─門檻模型之應用

摘要:
Sharpe(1964)提出資本資產定價模型(Capital Asset Pricng Model;簡稱CAPM),除了學術上的應用,實務界也常常利用CAPM作為資產評價,但由於CAPM本身隱含許多與現實不符的假設,導致過去文獻在實證上,並沒有很一致的結果,引而產生了多因子模型、條件CAPM及非線性模型,其中 Akdeniz et al.(2003)提出門檻CAPM,並對美國股市區分不同產業驗證,證實美國的產業系統風險為動態的,又間接證明經濟環境對一國股票市場的影響,目前的文獻探討都以歐美為主,在這樣高度發展的國家,產業的動態是否會隨著經濟環境的改變而變化,本研究以資本程度較高的兩大經濟體─日本及英國,以門檻CAPM來進行驗證。
本文之主要目的即在於探討兩國股市是否存在如門檻CAPM所隱含的非線性動態系統風險,以及何種經濟變數造成系統風險呈非線性改變。實證結果顯示,兩國股市的確存在非線性動態系統風險,且每一產業都會受到一個以上的經濟變數影響而使其報酬與市場報酬不再呈線性關係,結果也發現短期無風險利率與失業率是造成系統風險呈非線性變動的最重要經濟變數。

第二部分
題目:散裝貨輪運價期間結構研究-Regime Switching VECM GARCH-M模型應用

摘要:
國際散裝貨輪為世界主要運輸原物料,如煤礦、鐵礦、穀物的重要運輸工具,隨著貿易的發達,加上海運的成本較為低廉,散裝貨輪的運價分析有著舉足輕重的地位,但因其市場性質較接近完全競爭市場,短期內海運價格的不確定性大大地增加了相關業者的營運風險,若市場參與者對於未來的運價的預期走勢欠缺分析的能力時,此時貿然去以FFA遠期運費協議進行避險或是套利行為,其風險可能高過單純面臨的營運風險。因此若能瞭解、掌握運價之期間結構及運價的風險性,將能對市場參與者的經營決策提供重要的參考資訊,有效降低其營運的風險。
本研究主要的目的是去探討即期運價與遠期運價的期間結構,過去在期間結構研究的文獻發現FFA遠期協議具有價格發現的功能,許多學者也對散裝貨輪及其價格與遠期價格進行共整合的研究,都證明出現價與遠期價格具有共整合關係的特色。因此對運價進行期間結構的分析較有理論上的基礎,本文依四種不同船型之FFA遠期運費價格與及其價格引用VECM模型為基礎探討其共整合關係,更進一步將散裝貨輪市場的特性,如季節性、異質變異性、時變(time-varing)的風險溢酬納入模型考量發展出四種模型:VECM、Seasonality VECM、seasonality VECM-GARCH、seasonality VECM-GARCH-M。最後實證結果發現,散裝貨輪運價確實存在異質變異,且加入風險溢酬後的seasonality VECM-GARCH-M模型為最佳模型,且加入風險後的模型確實能良好捕捉,即期價格與遠期價格變動的關係。

第一部分

日本與英文股票市場風險探討─門檻模型之應用..............................1
摘要..............................................................2
第一章 緒論.......................................................3
第一節 研究背景及動機...........................................3
第二節 研究目的..............................................5
第三節 研究架構..............................................6
第二章 文獻回顧.................................................7
第一節 單因子模型與多因子模型探討............................7
第二節 條件CAPM討論.........................................9
第三節 時變及非線性系統風險..................................9
第四節 系統風險與經濟變數關係...............................10
第三章 研究方法與模型介紹......................................11
第一節 模型介紹.............................................11
第二節 實證模型.............................................12
第三節 變數介紹與資料來源...................................14
第四章 實證結果.................................................18
第一節 門檻變數之敘述統計...................................18
第二節 門檻經濟變數之ADF檢定...............................18
第三節 線性模型-傳統CAPM模型估計...........................18
第四節 非線性模型-門檻CAPM估計.............................19
第五章 結論.....................................................21
參考文獻........................................................22

第二部分

散裝貨輪運價期間結構研究─Regime Switching VECM GARCH-M 模型........33
摘要............................................................34
第一章 緒論....................................................35
第一節 研究背景及動機.......................................35
第二節 研究目的.............................................37
第三節 研究架構.............................................37
第二章 文獻回顧................................................39
第一節 散裝貨輪航運市場之相關文獻...........................39
第二節 動態風險調整之期間結構研究...........................40
第三節 體制轉換(Regime Switch)應用之相關文獻................40
第三章 資料介紹與實證方法......................................42
第一節 乾散貨輪遠期運價資料.................................42
第二節 單根檢定、共整合檢定.................................46
第三節 非線性門檻效果檢定...................................48
第四節 模型與實證方法.......................................54
第四章 實證結果.................................................57
第一節 線性VECM與季節性VECM模型...........................57
第二節 加入GARCH後的共整合效果探.........................58
第三節 時變風險溢酬在不同體之間的影.........................58
第四節 非線性模型配適比較...................................59
第五章 結論.....................................................61
參考文獻........................................................62

第一部分
題目:日本與英國股票市場系統風險探討─門檻模型之應用

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第二部分
題目:散裝貨輪運價期間結構研究-Regime Switching VECM GARCH-M模型應用

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林光、張志清(2010),航業經營管理,航貿文化事業出版社,第十二章:不定期航運之特性。


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