臺灣博碩士論文加值系統

摘要
股市在當今的全球經濟中扮演著重要角色。為了防止不確定性，從風險和股票收益率的角度有效衡量股票的波動非常重要。股票市場在當今的全球經濟中發揮著重要作用。國家或地區的經濟和金融活動。為了防止不確定性，有效測量股票波動率對股票市場風險至關重要。高效的市場預測模型可以確定使用計算的股市效率。
為此，使用GARCH方法顯示了2015年1月1日至2018年12月29日的MSE指數的回報和風險。 本文檔模擬了某些股票的波動率，風險和回報之間的關係。結果，所有庫存都在波動。研究結果還表明，對稱模型提供了比對稱模型更合適的模型，後者表明是否存在槓桿效應。

ABSTRACT
Stock Markets play an important role in today’s global economy. In order to prevent uncertainty and it is important to effectively measure the volatility of stock in terms of risk and return on the stock market. Shares markets play an important role in today's global economy. Economic and financial activities in the country or region. To prevent uncertainty and effective measurement of stock volatility is critical to stock market risk. Efficient market forecast model to determine the efficiency of the stock market are used in this study.
For this purpose, the return and risk of the MSE index from January 1, 2015 to December 29, 2018 were shown using the GARCH methodology.
This document simulates the relationship between volatility, risk and return on some stocks. As a result, all stocks fluctuated. The findings also show this The symmetric model provides a more appropriate model than the symmetric model, which shows whether there is a leverage effect.

TABLE OF CONTENTS
ABSTRACT………………………………………………………………………iii
ACKNOLEDGEMENT……………………………………………………...…...ii
CHAPTER 1 INDTRODUCTION…………………………………….……….8
1.1 RESEARCH BACKGROUND AND RESEARCH MOTIVATION.….10
1.2 RESEARCH OBJECTIVIES…………………………………………….11
1.3 RESEARCH QUESTIONS………………………………………………...12
CHAPTER 2 LITERATURE REVIEW……………………………………….13
2.1 MONGOLIAN STOCK MARKET………………………………………13
2.2 STOCK MARKET RETURN AND RISK……………………………...14
2.2.1 STOCK MARKET RETURN…………………………………….….18
2.2.2 STOCK MARKET RISK…………………………………………….18
2.3 STOCK INVESTMENT FROM RETURN AND RISK TRADE-OFF.20
2.3.1 RISK IN EQUITY INVESTMENT………………………………….22
2.3.2 RETURN IN EQUITY INVESTMENT………………….………….23
2.3.3 MONGOLIAN STOCK RISK AND RETURN IMPACT……………24
CHAPTER 3 METHODOLOGY…………………………...…………………28
CHAPTER 4 EMPIRICAL RESULT…………………………………...……31
CONCLUSIONS…………………………………………………………………39
REFRENCES…………………………………………………………………41

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