碩士 / 國立臺灣大學 / 經濟學研究所 / 105 / After the financial tsunami, a considerable number of studies have shown that the volatility in the financial tsunami rise and fall there is asymmetry. The ATR indicator is J.Welles Wilder''s first proposed index when presenting the concept of volatility index, Its calculation method compared to other indicators for beginner volatility of the investors is easier to calculate. However, among the many volatility indicators, less scholars use the ATR indicator as the subject of research. Therefore, this paper uses the ATR indicator to verify whether the same conclusions can be drawn from other volatility indicators. The results showed that the asymmetry of ATR indicators is quite obvious in the financial tsunami. In the case of short-term financial tsunami (2007 ~ 2011) and long-term (2003 ~ 2017), the forecast results are completely opposite. When Taiwan Stock Index getting lower and lower as a result of the financial tsunami occurred, so that ATR has been a high point led to the expected return for the Taiwan index are negative. In the long-term, whenever ATR is high point, the expected return on the stock index is positive. Therefore, this study believes that ATR in the event of financial crisis and usually did not use the financial crisis to predict have a very good expression.
| Identifer | oai:union.ndltd.org:TW/105NTU05389031 |
| Date | January 2017 |
| Creators | Shih-Chun Chang, 張詩雋 |
| Contributors | 謝德宗 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 29 |
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