Return to search

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

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.

Identiferoai:union.ndltd.org:CHENGCHI/G0094351029
Creators李家昇
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language英文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

Page generated in 0.0014 seconds