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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35128


    Title: 偏態預測:台灣加權指數報酬率之研究
    Predicting conditional skewness:Evidence from the return distribution of the Taiwan Stock Exchange Value-Weighted Index
    Authors: 李家昇
    Contributors: 郭炳伸
    李家昇
    Keywords: 偏態
    不對稱性
    交易量
    conditional skewness
    skewed Student`s t distribution
    trading volume
    Date: 2006
    Issue Date: 2009-09-18 14:13:44 (UTC+8)
    Abstract: 此論文研究有什麼因子會影響台灣股票加權指數報酬率之偏態係數。過去的文獻顯示,交易量和報酬率為可能的因子。實證的結果確實發現,交易量和報酬率顯著地影響偏態係數。
    This study examines the determinants for conditional skewness of the return distribution of the Taiwan Stock Exchange Value-Weighted Index. Important driving factors that affect conditional skewness, based on the theory literature, include trading volumes and returns. To capture the skewness in the data, the family of time series model we consider focuses on the specifications of higher-order moments than mean and volatility that conventional models look at. With the specifications, we are able to test whether the factors, volumes and returns, can influence conditional skewnees of the return distribution. Our results suggest the significance of the factors using data from the Taiwan Stock Exchange Value-Weighted Index.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    94351029
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094351029
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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