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中文論文名稱 上下變幅對波動性之分析-ARJI-X模型的應用
英文論文名稱 An Examination of both Up and Down Range to Volatility: The Application on ARJI-X Model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 蘇欣玫
研究生英文姓名 Hsin-Mei Su
學號 694490532
學位類別 碩士
語文別 中文
口試日期 2007-05-19
論文頁數 58頁
口試委員 指導教授-邱建良
共同指導教授-鄭婉秀
委員-俞海琴
委員-姜淑美
委員-李命志
中文關鍵字 ARJI-X模型  上下變幅  成交量變動率  未平倉量變動率 
英文關鍵字 ARJI-X model  Up and Down Range  Volume Rate of Change  Open Interest Rate of Change 
學科別分類 學科別社會科學商學
中文摘要 本文以Chan and Maheu (2002) 所提出ARJI (Autoregressive Conditional Jump Intensity) 模型,將外生變數放入平均數方程式(mean equation)及條件變異數(conditional variance)方程式中,即為ARJI-X 模型,進一步探討上、下變幅以及成交量、未平倉量等相關因子對於亞洲各股價指數期貨-日經225股價指數期貨(NKX)、台灣證交所加權股價指數期貨(TWX)、摩根台指期貨(MSTWX)、南韓綜合指數期貨(KMX)、吉隆坡綜合股價指數期貨(IKX)與香港恆生股價指數期貨(HSX)之報酬率及條件變異數的影響。實證結果發現,上下變幅確實對報酬率及條件變異數有著顯著不同的影響;此外,在成交量及未平倉量的變動率因子上,落後一期的成交量變動率對條件變異數之影響為負,而未平倉量變動率亦為負向之影響,顯示未平倉量的變動可反映出市場深度的改變。因此,本文將市場上的價格與成交量訊息加以整理而得的上下變幅及成交量變動因子經由ARJI-X模型,更能有效的詮釋其與報酬率及其波動性的關係,而使以更深入的觀點來看待市場中的各項資訊。
英文摘要 This study applies ARJI-X models which entering up, down range and other related factors into the return and conditional variance equation of ARJI model, proposed by Chan and Maheu (2002), to capture the dynamics of volatility on Asian stock index futures markets by allowing volatility to depend on both volume effects and other related information. The empirical result shows that both up and down range have significant and different effects on return and conditional variance. It is also found of a negative effect of lag one period’s volume rate of change and open interest rate of change on volatility. Altogether, the ARJI-X model is more appropriate than traditional statistical models because it is capable of interpreting observed statistical characteristics of many time series of financial assets.
論文目次 中文摘要……………………………………………………………I
英文摘要……………………………………………………………II
目錄…………………………………………………………………III
圖目錄………………………………………………………………VI
表目錄………………………………………………………………VII
第一章 緒論
第一節 研究背景與動機………………………………………1
第二節 研究目的………………………………………………3
第三節 研究架構………………………………………………4
第四節 研究流程圖……………………………………………5
第二章 文獻回顧
第一節 變幅相關文獻…………………………………………6
第二節 價格波動性與成交量、未平倉量之文獻……………11
第三章 研究方法
第一節 研究對象及研究期間…………………………………21
第二節 單根檢定………………………………………………22
第三節 ARCH效果檢定…………………………………………25
第四節 實證模型………………………………………………28
第四章 實證結果分析
第一節 基本統計量分析………………………………………34
第二節 單根檢定………………………………………………38
第三節 ARCH效果檢定…………………………………………40
第四節 ARJI-X模型……………………………………………41
第五章 結論…..……………………………………………49
參考文獻
一、 國內文獻………………………………………………51
二、 國外文獻………………………………………………53
圖目錄
【圖1.4.1】論文架構………………………………………………5
【圖4.1.1】各指數期貨收盤價的原始序列圖……………………36
【圖4.1.2】各股價指數期貨報酬率的序列圖……………………37
【圖4.4.1】各股價指數期貨報酬率之條件變異數………………46
【圖4.4.2】各股價指數期貨報酬率之跳躍頻率…………………47
【圖4.4.3】各股價指數期貨報酬率之跳躍機率…………………48
表目錄
【表4.1.1】基本敘述統計…………………………………………35
【表4.2.1】各指數期貨報酬率之單根檢定………………………39
【表4.3.1】各股價指數期貨報酬率ARCH效果檢定………………40
【表4.4.1】ARJI-X模型估計與檢定………………………………45

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