政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/83087
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 111300/142217 (78%)
造访人次 : 48213821      在线人数 : 887
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/83087


    题名: 漲跌停板限制下之股票報酬機率分配
    作者: 葉宜欣
    Yeh, Yi-Shian
    贡献者: 郭維裕
    葉宜欣
    Yeh, Yi-Shian
    关键词: 機率分配
    股票報酬率
    厚尾現象
    一般化第二種貝它分配
    最大概似法
    常態分配及對數常態分配
    概似比檢定法
    偏態和峰態
    probability distribution
    stock return
    thick tail
    Generalized Beta of The Second Kind;GB2
    maxmun likelihood estimation
    normal distribution and log-normal distribution
    likelihood ratio test (LR test)
    skewness and kurtosis
    日期: 2000
    上传时间: 2016-03-30 17:43:18 (UTC+8)
    摘要: 股票市場的報酬率相對於金融市埸是非常重要的，因為其背後的真實機率分配對各種資產定價及選擇權的評價模型都有決定性的影響。本文考慮台灣股票市埸具有漲跌停板的限制來驗證實證中股票報酬機率分配的「厚尾」的現象，希望透過我們的研究能對財務理論在國內金融市埸的應用有更進一步的了解。我們選定了常態分配、對數常態分配及一般化第二種貝它分配 (GB2)來當作是台灣股票報酬率的真實機率分配，以動差法比較再以概似比檢定法(LR test)選出一表現最好的機率分配。由選取的25支國內股票中發現一般化第二種貝它分配 (GB2)可以解釋偏態和峰態對報酬率的影響並且也是概似比檢定法所選出的最適報酬率分配，由此可知一般化第二種貝它分配 (GB2)較為適合作為台灣股票報酬的真實機率分配。
    參考文獻: Blattberg. R. C. and N. J. Gonedes (1974). A comparison of the stable and student distributions as statistical models for stock prices. J. Business 47, 244-280.
    Bookstaber. R M. and J. B. McDonald (1987). A general distribution for describing security price returns. J. Business.
    McDonald, J. B. and R. M. Bookstaber (1991). Option pricing for generalized distributions. Com- munications in Statistics: Theory and Methods. 20(12), 4053-4068.
    Bookstaber. R M. and J. B. McDonald (1987). A general distribution for describing security price returns. J. Business 60.401-424.
    McDonald, J. B.(1996).Probability distributions for Financial models. Handbook of Statistics, Vol.14.
    McDonald, J. B. and R. Nelson (1993). Beta estimation in the market model: Skewness and Leptokurtosis. Comm. Statist. 22:10.
    McDonald, J. B. and W. K.. Newey (1988). Partially adaptive estimation of regression models via the generalized T distribution. Econometric Rev. 12, 103-124.
    McDonald, J. B. and Richards, D. O.(1987).Model selection: Some generalized distributions. Commun. Statist.-Theory Meth.,16(4), 1049-1074.
    Mandelbrot, B.1963a. New method in statistical economics. Journal of Political Economy 71(October):394-419.
    Mandelbrot, B. (1963). The variation of certain speculative prices. J. Business. 36, 394-419.
    Clark. P. K. (1973). A subordinated stochastic process model with finite variance for speculative prices. Economelrica 41. 135-155.
    Cox. J. C. and S. A. Ross (1976). The valuation of options for alternative stochastic processes. J. Financ. Econom. 3, 145-166.
    Kon, S. J,(1984).Models of stock returns-a comparison. The Journal of Finance 39(March):147-65.
    Kim,D. and Kon, S. J.(1994). Alternative models for the conditional heteroscedasticity of stock returns. J. Business 67, no.4.
    Maddala, G.S.(1983).Dependent and qualitative variables in Econometrics.
    Praetz, P. D. (1972). The distribution of share price charges. J. Business. 45, 49-55.
    Fama, E. F. and R. Roll (1968). Some properties for symmetric stable distributions. J. Amer. Statist. Assoc. 63. 81 7-836.
    Lurie, D., Hartley, H. O. and Stroud. M. R. (1974). A goodness of fit test for censored data. Communications in Statistics 3, 745-753.
    Barr, D. R. and Davidson, T. (1973). A Kolmogorov-Smirnov test for censored samples. Technometrics 15. 739-757.
    Smith, R. M. and Bain, L. J. (1976). Correlation type goodness-of-fit statistics with censored sampling. Communications in Statistics A5, 119-132.
    Turnbull, B. W. (1976). The empirical distribution function with arbitrarily grouped, censored and truncated data. Journal of the Royal Statistical Society, Series B 38, 290-295.
    Weiss, L. I. (1975). The asymptotic distribution of the likelihood ratio in some nonstandard cases. Journal of the American Statistical Association 70, 204-208.
    Mittnik, S., Rachev, S (1993), Modeling asset returns with alternative stable models, Econometric Reviews 12, 261-330.
    Mittnik, S., Rachev, S (1998), Unconditional and conditional distributional models for the Nikkei Index, Asia-Pacific Financial Markets 5, 99-128.
    Owen, D. B.(1968).A survey of Properties and Applications of the noncentral t-distribution.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    87351019
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002002047
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    204701.pdf123KbAdobe PDF2287检视/开启
    204702.pdf123KbAdobe PDF2344检视/开启
    204703.pdf123KbAdobe PDF2185检视/开启
    204704.pdf123KbAdobe PDF2334检视/开启
    204705.pdf123KbAdobe PDF2258检视/开启
    204706.pdf123KbAdobe PDF2279检视/开启
    204707.pdf123KbAdobe PDF2274检视/开启
    204708.pdf123KbAdobe PDF2301检视/开启
    204709.pdf123KbAdobe PDF2247检视/开启
    204710.pdf123KbAdobe PDF2298检视/开启
    204711.pdf123KbAdobe PDF2255检视/开启
    204712.pdf123KbAdobe PDF2225检视/开启
    204713.pdf123KbAdobe PDF2235检视/开启
    204714.pdf123KbAdobe PDF2216检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈