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中文論文名稱 臺灣股市波動性結構轉折之探討
英文論文名稱 Structural change in volatility of Taiwan stock market.
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 93
學期 2
出版年 94
研究生中文姓名 王金萬
研究生英文姓名 Chin-Wan Wang
學號 692491284
學位類別 碩士
語文別 中文
口試日期 2005-06-19
論文頁數 65頁
口試委員 指導教授-李命志
委員-邱建良
委員-余碩彥
委員-王凱立
中文關鍵字 波動性  變異數異質性  結構性轉折點 
英文關鍵字 Volatility  GARCH  structural break 
學科別分類 學科別社會科學商學
中文摘要 本研究利用Bai and Perron(1998)提出內生結構性轉折點之程序,來尋找台灣股市在1980年至2004年之間,是否存在結構性轉折點並且進行相關之探討。實證結果如下:
1.在未考慮結構性轉折點之前,台灣股市的週報酬有明顯的變異數異質的現象存
在,代表當期的變異數會受前期變異數以及前期誤差所影響。
2.依循Bai and Perron(1998)結構性轉折點之程序,所找出的結構轉折點為1988
年12月的第4週。主要原因為全球性股災。
3.加入結構轉折點的平均數方程式,台灣股價週報酬仍然有顯著的GARCH現
象。經過進ㄧ步的檢測發現,常數項並無顯著性差異,但是,前期自我相關向
呈現顯著性的差異。同時考慮常數項以及前期自我相關項並無發現顯著性的差
異。
4.將結構轉折點加入平均數方程式以及變異數方程式,台灣股價週報酬仍然有顯
著的GARCH現象。
5.將結構轉折點加入平均數方程式以及變異數方程式所尋找出的結構轉折點為
1987年3月,原因亦為全球性股災。
英文摘要 In this paper we review the factors that lead to change on volatility of stock market and use alternative methodologies of endogenous breakpoint detection in order to analyze whether the volatility of Taiwan stock market has changed significantly over the period 1980-2004. We follow the framework of Bai and Perron(1998) and use their sequential procedure and estimated critical value.
The main finding of this research are summarized as follows :
1. In the sample GARCH(1,1) without break. We can find the GARCH effect is signifiicant. The variance is modeled as deterministic of past variances and error term.
2. We use the framework of Bai and Perron(1998). We can find the sup LR statistic to the last week of December 1988 is maximum and the statistic above the critical. So the last week of December 1988 is structural break. The main reason is the global crash if stock market.
3. We consider the structural break in the mean equation. We still find the GARCH effect is significent. The constant term are not significantly different. But the lag return are significantly different.
4. We consider the structural break in the variance equation. We still can find the GARCH effect is significant.
5. When we consider the structure break in the mean equation and variance equation, we find the sup LR statistic to March 1987 is maximum.
論文目次 第一章、緒論
第一節、研究動機•・・・・・・・・・・・・・・・・・・•・・・・・・・・・・・・・・・・・・•・・・・・・・・•・・・1
第二節、研究目的•・・・・・・・・・・・・・・・・・・•・・・・・・・・・・・・・・・・・・•・・・・・・・・•・・・1
第三節、研究架構・・・・・・・・・・・・・・・・・・•・・・・・・・・・・・・・・・・・・•・・・・・・・・・•・・・2
第二章、文獻回顧
第一節、波動性衡量以及波動分解•・・・・・・・・・・・・・・・・・・•・・・・・・・・4
第二節、影響股市波動性的原因•・・・・・・・・・・・・・・・・・・•・・・・•・・・8
第三節、異質變異數模型理論發展與股市報酬變異數之相關研究•・・・・・•・・・・22
第三章、研究方法
第一節、單根檢定•・・・・・・・・・・・・・・・・・・•・・・•・・・・31
第二節、異質變異數模型•・・・・・・・・・・・・・・・・・・•・ ・•・・・・34
第三節、結構性轉折點・・・・・・・・・・・・・・・•・・・・・・・•・・・・38
第四章、實證研究
第一節、資料來源與處理•・・・・・・・・・・・・・・・・・・•・・・・・・・・42
第二節、單根檢定•・・・・・・・・・・・・・・・・・・•・・・•・・・・43
第三節、無結構轉折點的股市報酬率之波動性・・・・・・・・・・・・・・・•・・・・・・•・ ・・・44
第四節、臺灣股市波動性的結構性變化・・・•・・・・・・・・・・・・・•・・・・・•・・・・48
第五章、結論與後續研究建議
第一節、結論•・・・・・・・・・・・・・・・・・・•・・・・・・・・55
第二節、後續研究建議・・・・・・・・・・・•・・・・・・・・・・・・・・・・56參考文獻•・・・・・・・・・・・・・・・・・・•・・・・・・・ 57
表次目錄
表1、文獻匯總表-波動衡量之相關研究•・・・・・・・・・・・・・・・・・・•・・・・・•・・・・・・・・・・・・・・・・・・6
表2、文獻匯總表-產業與公司波動之相關研究•・・・・・・・・・・・・・・・・・・•・・・・・•・•・・・・・・・・・・7
表3、股市波動原因之文獻匯總表—總體經濟變數•・・・・・・・・・・・・・・・・・・•・・・・・・・・・・・・・・16
表4、股市波動原因之文獻匯總表—交易面變數•・・・・・・・・・・・・・・・・・・•・・・・・・・・・・・・・・・・20
表5、文獻匯總表-股市報酬變異數變異性之實證研究•・・・・・・・・・・・・・・・・・・•・・・・・・・•・・・・29
表6、台灣股市報酬之最適落階期選取•・・・・・・・・・・・・・・・・・・•・・・・・・・・・・・・•・・・・・・・・・•・43
表7、台灣股市報酬的基本統計量・・・•・・・・・・・・・・・・・・・・・・•・・・・・・・・・・・・•・・・・・・・・•・・・43
表8、台灣股市報酬之單根檢定・・・•・・・・・・・・・・・・・・・・・・•・・・・・・・・・・・・•・・・・・・・・・・•・・・44
表9、無加入結構轉折點之台灣股市報酬GARCH模型參數•・・・・・・・・・・・・•・・・・・・・・•・・・47
表10、台灣股市週報酬之結構轉折點檢測・・・・・・・・・・・・・・・•・・・・・・・・・・・・•・・・・・・・・•・・・49
表11、加入結構轉折點之台灣股市週報酬平均數方程式GARCH(1,1)模型參數・・・・・・•・・・51
表12、臺灣股市週報酬率之結構GARCH現象估計結果・・・・・•・・・・・・・・・・・・•・・・・・・・・•・54




圖次目錄
圖1、研究流程圖・・・・・・・・・・・・・・•・・・・・・・・・・・・•・・・・・・・・・・・・・・・・•・・・・・・・・・・・・•・•・・・3
圖2、台灣股市週報酬率以及滾動變異數比較圖・・・・・・・・・・・・・・・•・・・・・・・・・・・・•・・・•・・・45
圖3、GARCH模型條件變異數及滾動變異數走勢圖・・・・・・・・・・・・・・・・・・・・•・・・・・・・・・・・・47
圖4結構轉折GARCH模型條件變異數及滾動變異數・・・・・・・・・・・・・・・・・・・・・・・・・・•・・・・・51
圖5、台灣股市週報酬和所有LR檢定統計量之對照圖・・・・・・・・・・・・・・・•・・・・・・・・・・・・•・・52

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