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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/77210

    Title: 低波動度效果與市場預警之指標;Low Volatility Effect and Early Warning Indicator for Stock Market
    Authors: 許溥淳;Hsu, Pu-Chun
    Contributors: 財務金融學系
    Keywords: 低波動度效果;避風港效應;市場預警;low volatility effect;low volatility anomaly;safe haven flows;early warning for stock market
    Date: 2018-07-23
    Issue Date: 2018-08-31 14:26:55 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 過去的財務理論中,風險與報酬之間存在抵換關係,當投資人承擔較高的風險時,必能賺取較高的報酬,反之如此;然而,Ang, Hodrick, Xing, and Zhang (2006) 發現,獨有風險較高的股票,反而擁有較低的預期報酬,此現象稱為「低波動度效果」。本文試圖以 Kaul and Sapp (2006) 所提之避風港效應 (save haven flows) 解釋低波動度效果,並藉由此效果建構市場預警之指標。

    ;In the traditional financial theory, there is a trade-off relation between risks and returns. When investors take higher risks, they will earn more money, and vice versa. However, Ang, Hodrick, Xing, and Zhang (2006) found that stocks with higher idiosyncratic risk have lower expected return instead. This phenomenon is called as low volatility effect or low volatility anomaly. This paper tries to explain this phenomenon by save haven flows proposed by Kaul and Sapp (2006) and build an indicator with early warning ability for stock market.

    The result shows that there is indeed a low volatility effect during recessions. Although low volatility effect doesn’t have a specific leading, lagging or coincident relation with any indicators of market risk, the complicated association between investors’ behavior and indicators of market risk is highlighted. We use indicators of low volatility effect to build Bollinger bands. With the Bollinger band and S&P 500 historical chart, we find out that the indicator of low volatility effect has great ability of early warning before a crisis happened. Although there are some false alarms in other time, we use a threshold to screen out those false alarms. The result proves that the threshold is helpful for eliminating those false alarms and improves the accuracy of the early warning indicator.
    Appears in Collections:[財務金融研究所] 博碩士論文

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