國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

未預料到波動對風險與報酬關係之影響 = The Influence of...

國立高雄大學應用經濟學系碩士班

未預料到波動對風險與報酬關係之影響 = The Influence of Unexpected Volatility to the Risk-Return Relation

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	The Influence of Unexpected Volatility to the Risk-Return Relation
作者:	胡本謙,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	2009[民98]
面頁冊數:	65面圖、表 : 30公分;
標題:	不對稱非線性平滑轉換GARCH
標題:	ANST-GARCH
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/00013526897801824742
附註:	參考書目：面
附註:	指導教授：翁銘章
摘要註:	Merton (1980)跨期資產定價模型(Intertemproal Capital Asset Pricing Model, ICAPM)的實證研究指出風險越高投資者會要求越高的風險貼水。然而文獻上對於風險與超額報酬之間抵換關係卻存在實證上的不一致結論。許多文獻以改進估計條件變異數的方式來試著解決負向的風險報酬抵換關係。Nam (2008)則認為是由於忽略了未預料到波動衝擊(Unexpected Volatility Shock)的影響，並得到正向風險報酬間的抵換關係。本研究以美國、日本、英國股市報酬和國庫券利率資料，延續Nam (2008)考慮前一期未預料到風險亦會對超額報酬的預期有所影響，並應用由Granger and Teräsvirta (1993)首先提出的平滑轉換回歸模型(Smooth Transition Autoregression Model)考慮變數受到不同新訊息時的平滑區間轉換，以及Nam and Krausz (2008)在變異數方程式中捕捉波動不對稱的Asymmetric Nonlinear Smooth Transition Garch (ANST-GARCH)。在研究中發現，未預料到的波動衝擊確實會對預期超額報酬有顯著的影響，不同的新訊息分別對預期報酬以及波動都有不同的影響。其中日本股市存在參數不固定的情形，因此本研究進一步應用Lundbergh, Teräsvirta and van Dijk (2003) 所提出TV-STAR (Time-Varying Smooth Transition Autoregression, TV-STAR)來進行探討，結果顯示超額報酬同時有顯著的隨時間變化與非線性的效果，預期的波動與未預料到的波動皆顯著地在不同新訊息下對預期超額報酬有不對稱的影響。 Although the intertemporal CAPM (ICAPM) of Merton (1980) implies that the expected excess market return should be positively proportional to its volatility, there are conflicting results in the existing literatures. One of the arguments is the misspecification in the variance equation which encourages many empirical literatures to develop different ways estimating the conditional volatility. Nam and Krausz (2008), however, argues that ignoring the unexpected volatility shock in the mean equation will suffer the omitting variable problem which accounts for the inconsistent findings.This study mainly follows the idea of Nam (2008) and employs the smooth transition autoregression model (STAR model) proposed by Granger and Teräsvirta (1993) to examine the impact of unexpected volatility shock to the intertemporal relation between the expected excess return and the risk based on new information. On the other hand, in order to capture the asymmetric behavior of volatility this study uses the asymmetric nonlinear smooth transition GARCH model (ANST-GARCH) to estimate the conditional variance. Here are some notable findings. First, the effect of unexpected volatility is statistically significant. Second, both expected and unexpected volatilities react to the new information asymmetrically. Third, empirical evidence form Japan’s stock market excess return shows that there is a smooth transition of regime switching caused over time.

未預料到波動對風險與報酬關係之影響 = The Influence of Unexpected Volatility to the Risk-Return Relation
胡, 本謙

未預料到波動對風險與報酬關係之影響 = The Influence of Unexpected Volatility to the Risk-Return Relation / 胡本謙撰 - [高雄市] : 撰者, 2009[民98]. - 65面 ; 圖、表 ; 30公分.
參考書目：面指導教授：翁銘章.
不對稱非線性平滑轉換GARCHANST-GARCH

未預料到波動對風險與報酬關係之影響 = The Influence of Unexpected Volatility to the Risk-Return Relation
LDR:04147nam0a2200277 450 001 220423
005 20170214092503.0
009 220423
010 0 $b 平裝
010 0 $b 精裝
100 $a 20170214y2009 k y0chiy09 ea
101 1 $a chi $d chi $d eng
102 $a tw
105 $a ak am 000yy
200 1 $a 未預料到波動對風險與報酬關係之影響 $d The Influence of Unexpected Volatility to the Risk-Return Relation $z eng $f 胡本謙撰
210 $a [高雄市] $c 撰者 $d 2009[民98]
215 0 $a 65面 $c 圖、表 $d 30公分
300 $a 參考書目：面
300 $a 指導教授：翁銘章
328 $a 碩士論文--國立高雄大學應用經濟學系碩士班
330 $a Merton (1980)跨期資產定價模型(Intertemproal Capital Asset Pricing Model, ICAPM)的實證研究指出風險越高投資者會要求越高的風險貼水。然而文獻上對於風險與超額報酬之間抵換關係卻存在實證上的不一致結論。許多文獻以改進估計條件變異數的方式來試著解決負向的風險報酬抵換關係。Nam (2008)則認為是由於忽略了未預料到波動衝擊(Unexpected Volatility Shock)的影響，並得到正向風險報酬間的抵換關係。本研究以美國、日本、英國股市報酬和國庫券利率資料，延續Nam (2008)考慮前一期未預料到風險亦會對超額報酬的預期有所影響，並應用由Granger and Teräsvirta (1993)首先提出的平滑轉換回歸模型(Smooth Transition Autoregression Model)考慮變數受到不同新訊息時的平滑區間轉換，以及Nam and Krausz (2008)在變異數方程式中捕捉波動不對稱的Asymmetric Nonlinear Smooth Transition Garch (ANST-GARCH)。在研究中發現，未預料到的波動衝擊確實會對預期超額報酬有顯著的影響，不同的新訊息分別對預期報酬以及波動都有不同的影響。其中日本股市存在參數不固定的情形，因此本研究進一步應用Lundbergh, Teräsvirta and van Dijk (2003) 所提出TV-STAR (Time-Varying Smooth Transition Autoregression, TV-STAR)來進行探討，結果顯示超額報酬同時有顯著的隨時間變化與非線性的效果，預期的波動與未預料到的波動皆顯著地在不同新訊息下對預期超額報酬有不對稱的影響。 Although the intertemporal CAPM (ICAPM) of Merton (1980) implies that the expected excess market return should be positively proportional to its volatility, there are conflicting results in the existing literatures. One of the arguments is the misspecification in the variance equation which encourages many empirical literatures to develop different ways estimating the conditional volatility. Nam and Krausz (2008), however, argues that ignoring the unexpected volatility shock in the mean equation will suffer the omitting variable problem which accounts for the inconsistent findings.This study mainly follows the idea of Nam (2008) and employs the smooth transition autoregression model (STAR model) proposed by Granger and Teräsvirta (1993) to examine the impact of unexpected volatility shock to the intertemporal relation between the expected excess return and the risk based on new information. On the other hand, in order to capture the asymmetric behavior of volatility this study uses the asymmetric nonlinear smooth transition GARCH model (ANST-GARCH) to estimate the conditional variance. Here are some notable findings. First, the effect of unexpected volatility is statistically significant. Second, both expected and unexpected volatilities react to the new information asymmetrically. Third, empirical evidence form Japan’s stock market excess return shows that there is a smooth transition of regime switching caused over time.
510 1 $a The Influence of Unexpected Volatility to the Risk-Return Relation $z eng
610 0 $a 不對稱非線性平滑轉換GARCH $a 平滑轉換回歸 $a 波動 $a 超額報酬
610 1 $a ANST-GARCH $a Excess return $a Smooth transition regression $a Volatility
681 $a 008M/0019 $b 301206 4750 $v 2007年版
700 1 $a 胡 $b 本謙 $4 撰 $3 354086
712 0 2 $a 國立高雄大學 $b 應用經濟學系碩士班 $3 353959
801 0 $a tw $b 國立高雄大學 $c 20091020 $g CCR
856 7 $2 http $u http://handle.ncl.edu.tw/11296/ndltd/00013526897801824742