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| Title: | 多變量動態因子隨機波動模型－美,日,台股市報酬率之研究 |
| Authors: | 邱顯一 |
| Contributors: | 鍾經樊
邱顯一 |
| Keywords: | 多變量隨機波動模型
蒙地卡羅馬可夫鏈
因子分析
Multivariate Stochastic Volatility
Markov Chain Monte Carlo
Factor Analysis |
| Date: | 2006 |
| Issue Date: | 2009-09-18 16:06:28 (UTC+8) |
| Abstract: | 本文採用 Chib， Nardari， 與 Shephard(2006) 的多變量動態因子隨機波動模型(MSV)， 來探討美、日、台三國的資訊、電腦類股股價報酬率波動的共同行為。 我們將模型中的因子解釋為產業的前景或信心，並藉由模擬的方式描繪出其樣貌，進而希望了解產業景氣循環在股價的波動行為中扮演什麼角色。 研究財務市場間的關聯性一值是一項重要的課題，也發展出各種的模型來描述既有的現象。 MSV 模型將看不到的解釋變量數量化，並將變數的波動行為切割為可由因子所解釋與不能解釋的部分。 且藉由將觀察值的誤差項以及單一因子的波動行為設定為隨機波動，放寬共變數變異數矩陣為定值的假設，讓每一時點都能依時變動，在同類的模型中對資料的設定是較少的。 在實證分析中我們有幾點發現：1. 因子能夠解釋資產間的波動行為，其反映在扣除因子波動之後的自有波動，其波動水準值的降低。 2. 在股價波動劇烈期間，因子解釋能力提高。 3. 因子的解釋能力在不同的國家中差異幅度很大，日本有超過一半的波動可以為因子的波動所解釋，而因子在台灣股價的波動行為只有兩成左右的解釋能力。 |
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| Description: | 碩士
國立政治大學
經濟研究所
93258016
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0932580162 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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