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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/36678
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36678


    Title: 期貨巿場效率性之再探討-季節性單根檢定
    Authors: 周曉萍
    Contributors: 杜化宇教授
    周曉萍
    Keywords: 季節性單根
    ADF單根檢定
    效率巿場
    HEGY
    Date: 2002
    Issue Date: 2009-09-18 19:16:38 (UTC+8)
    Abstract: 本研究利用ADF單根檢定以及新觀點的季節性單根檢定做為分析工具,去檢測期貨巿場與現貨巿場是否存在一長期均衡關係。研究對象共有十種,分別為:能源期貨-輕原油、煤油,外匯期貨-日圓、瑞士法郎(對美元),短期利率期貨-一個月期倫敦銀行拆款利率、90天期美國國庫券,公債期貨-2年的美國中期公債、15至30年的美國長期公債,S&P500指數期貨,金屬期貨-高等級銅期貨。
    過去檢測長期均衡關係所使用的單根檢定觀點假設其他頻率的單根並不存在,因此當拒絕虛無假設時,我們無法確知拒絕的原因是資料真的沒有單根的存在,抑或是資料具有季節性現象,因此納入季節性考量的HEGY檢定法,將是比較一般化的檢定方法,而且因為HEGY能夠同時檢定季節性及某些非季節性單根的存在與否,而不必假設所有季節性頻率的單根皆同時存在,所以ADF單根檢定法可視為HEGY季節性單根檢定法之特例,因此一般來說,HEGY檢定法之檢定力較ADF單根檢定法為高。
    而本文實證結果亦證明,ADF單根檢定法的確無法檢定出季節性單根的有無,當季節性因素存在時,使用ADF單根檢定將可能導致錯誤的推論。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    90357007
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090357007
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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