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系統識別號 U0002-2805200709474400
中文論文名稱 股票報酬非線性平滑轉換自我迴歸模型實證研究
英文論文名稱 The Empirical Study of Stock Market Returns in Smooth Transition Autoregressive 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 李宥翰
研究生英文姓名 Yu-Han Lee
學號 694490250
學位類別 碩士
語文別 中文
口試日期 2007-05-17
論文頁數 77頁
口試委員 指導教授-莊武仁
委員-林筠
委員-劉邦典
委員-李命志
中文關鍵字 股價指數報酬  平滑轉換自我迴歸模型  非線性調整 
英文關鍵字 stock return  smooth transition autoregressive model  nonlinear smooth 
學科別分類 學科別社會科學商學
中文摘要 本篇研究主要的目的是分別探討台灣、南韓、新加坡、香港、日本、中國與美國共七國股價指數報酬的非線性動態調整行為。使用本身股價指數報酬之落後期為解釋變數,並且應用自我迴歸平滑轉換模型來描述股價指數報酬非線性調整的部分。採用 Teräsvirta(1992)所提出之自我迴歸平滑轉換模型下,實證結果發現:
首先,使用本身股價指數報酬落後期為解釋變數之下,不同國家,各個股價指數之解釋變數之落後期不全相同。再者,所研究的七國股價指數報酬均呈現非線性調整,並且每一個股價指數報酬都適合使用logistic型態之轉換型態說明非線性調整行為。所有股價指數非線性調整非但存在門檻,且都存在雙門檻,並非單純的單門檻調整。在越過各個不同的門檻值之後,股價報酬序列有著不同的動態調整行為。所有國家中,上海綜合指數報酬之轉換速度最快,新加坡海峽時報指數報酬之轉換速度最慢。最後,門檻差距最大的為上海綜合指數報酬,最小的為台灣加權股價指數報酬。
英文摘要 This paper examines the nonlinear dynamics in stock returns which includes Taiwan、 South Korea、Singapore、Honk Kong、Japan、United States of America and China by using Smooth Transition Autoregressive Model (STAR) and using the lag of stock return as the transition variable.
Under the STAR model made by Teräsvirta (1992), we have several results. First, the lags of stocks return are different in each country. Meanwhile, all countries have two thresholds and three regimes. Moreover, all stock returns can be explained by Quadratic Logistic Smooth Transition Autoregressive Model (QLSTAR). By crossing the thresholds fastest and smoothest, the stock returns will have different nonlinear dynamics behaviors. Furthermore, the faster and smoothness regime change is the Shanghai Composite Index; the slowest is the Straits Times Index. Finally, the Shanghai Composite Index has the largest distance between two thresholds; the TSEC weighted index has the smallest distance between the two thresholds.
論文目次 目錄
第一章 緒論
第一節 研究動機與目的的..................................................................................1
第二節 研究架構與流程......................................................................................3
第二章 文獻回顧
第一節 使用STAR模型研究股票報酬的相關文獻...........................................5
第二節 應用非線性方法分析股票報酬相關文獻..............................................7
第三節 應用非線性模型研究其他標的之文獻................................................10
第三章 研究方法與模型建立
第一節 單根檢定................................................................................................12
第二節 線性與非線性檢定................................................................................16
第三節 模型選擇................................................................................................18
第四章 實證分析
第一節 資料來源與處理....................................................................................22
第二節 各國股價與股價報酬基本統計量........................................................23
第三節 單根檢定................................................................................................28
第四節 線性模型................................................................................................30
第五節 非線性檢定與非線性模型選擇............................................................37
第六節 平滑轉換自我迴歸模型........................................................................49
第五章 結論................................................................................................................70
參考文獻......................................................................................................................72



圖次
圖1-1:研究流程圖.........................................................................................................4
圖4-1:台灣加權股價指數走勢圖...............................................................................25
圖4-2:韓國綜合股價指數走勢圖...............................................................................25
圖4-3:新加坡海峽時報指數走勢圖...........................................................................25
圖4-4: 香港恆生指數走勢圖....................................................................................25
圖4-5:日經225指數走勢圖.........................................................................................26
圖4-6:標準普爾500指數走勢圖.................................................................................26
圖4-7:上海綜合股價指數走勢圖...............................................................................26
圖4-8:台灣加權股價指數報酬走勢圖.......................................................................27
圖4-9:韓國綜合股價指數報酬走勢圖.......................................................................27
圖4-10:新加坡海峽時報指數報酬走勢圖.................................................................27
圖4-11:香港恆生指數報酬走勢圖.............................................................................27
圖4-12:日經225指數報酬走勢圖...............................................................................28
圖4-13:標準普爾500指數報酬走勢圖.......................................................................28
圖4-14:上海綜合股價指數走勢圖............................................................................28
圖4-15:台灣加權股價指數報酬轉換函數值時間走勢.............................................52
圖4-16:台灣加權股價指數報酬之logistic轉換函數.................................................52
圖4-17:韓國綜合股價指數報酬轉換函數值時間走勢.............................................54
圖4-18:韓國綜合股價指數報酬之logistic轉換函數.................................................54
圖4-19:新加坡海峽時報指數報酬轉換函數值時間走勢.........................................57
圖4-20:新加坡海峽時報指數報酬之logistic轉換函數.............................................57
圖4-21:香港恆生指數報酬轉換函數值時間走勢.....................................................60
圖4-22:香港恆生指數報酬之logistic轉換函數.........................................................60
圖4-23:日經225指數報酬轉換函數值時間走勢.......................................................62
圖4-24:日經225指數報酬之logistic轉換函數...........................................................62
圖4-25:標準普爾500股價指數報酬轉換函數值時間走勢.......................................65
圖4-26:標準普爾500指數報酬之logistic轉換函數...................................................65
圖4-27:上海綜合股價指數報酬轉換函數值時間走勢.............................................68
圖4-28:上海綜合股價股價指數報酬之logistic轉換函數.........................................68
















表次
表4-1:股價指數基本統計量.......................................................................................24
表4-2:股價指數報酬基本統計量...............................................................................24
表4-3:單根檢定(1)........... .........................................................................................29
表4-4:單根檢定(2).....................................................................................................29
表4-5:各國自我迴歸模型之落後期..........................................................................30
表4-6:台灣加權股價指數報酬線性模型估計...........................................................31
表4-7:韓國綜合股價指數報酬線性模型估計...........................................................32
表4-8:新加坡海峽時報指數報酬線性模型估計.......................................................33
表4-9:香港恆生指數報酬線性模型估計...................................................................34
表4-10:日經225指數報酬線性模型估計...................................................................35
表4-11:標準普爾500指數報酬線性模型估計...........................................................36
表4-12:上海綜合股價指數報酬線性模型估計.........................................................37
表4-13:非線性模型選擇.............................................................................................38
表4-14:台灣加權股價指數報酬之非線性檢定.........................................................39
表4-15:韓國綜合股價指數報酬之非線性檢定.........................................................40
表4-16:新加坡海峽時報指數報酬之非線性檢定.....................................................42
表4-17:香港恆生指數報酬之非線性檢定.................................................................43
表4-18:日經225指數報酬之非線性檢定...................................................................45
表4-19:標準普爾500指數報酬之非線性檢定.......................................................... 46
表4-20:上海綜合股價指數報酬之非線性檢定.........................................................48
表4-21:台灣加權股價指數報酬QLSTAR模型估計結果.........................................50
表4-22:韓國綜合股價指數報酬QLSTAR模型估計結果.........................................53
表4-23:新加坡海峽時報指數報酬QLSTAR模型估計結果.....................................55
表4-24:香港恆生指數報酬QLSTAR模型估計結果.................................................58
表4-25:日經225指數報酬QLSTAR模型估計結果...................................................61
表4-26:標準普爾500指數報酬QLSTAR模型估計結果.........................................63
表4-27:上海綜合股價指數指數報酬QLSTAR模型估計結果.................................66
表4-28:台灣、南韓、新加坡、香港估計結果...............................................................69
表4-29:日本、美國、中國估計結果.............................................................................69


參考文獻 參考文獻

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吳若瑋(2005),以STAR模型探討歐洲工業國家之實質利率平價說,國立中山大學經濟學研究所碩士論文

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