Exploration of Jumps and Cojumps in Financial Markets

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：18

、訪客IP：3.138.200.66

姓名

雲慕書(Mu-Shu Yun) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

(Exploration of Jumps and Cojumps in Financial Markets)

相關論文

★ 國內股票型共同基金異常報酬之特徵研究	★ 台灣境外高收益債券型基金績效分析
★ 財富管理客戶選擇銀行之因素探討	★ 境外匯回專法實施前後境外資金解決方案比較－以個案分析為例
★ 利用隨機優勢方法探究商品指數之投資績效	★ 承銷關係是否會影響未來承銷業務?
★ 併購動能:以台灣市場為例	★ 機構法人對股票報酬與公司價值之影響
★ 投資者情緒與期貨價格關聯性	★ 避險基金指數是否能夠提供風險分散效果？- 利用均異擴張檢定
★ Model-Free隱含波動度價差之遠期資訊	★ 公開市場購回股票之研究
★ Modeling Long Run Risk with Macroeconomic Fundamentals	★ 社會責任指數與環境、社會及公司治理之關聯性分析-以FTSE4Good系列指數為例
★ 運用檢定資產價格泡沫模型建構動態財務危機預警之驗證	★ 以檢定資產價格泡沫之時間序列分析作為投機炒作之預警----以營建股及金融股為例

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

在財務市場中，資產價格的跳點對於投資人資產配置以及風險管理策略有著重大的影響，因此價格跳點一直是個廣為被討論的重要議題，而不同的資產間出現的價格共跳對於投資人的避險策略更是有著重要的財務意涵，本篇文章提出了一個以迴歸為基礎的檢定，藉由利用高頻資料所計算出的Realized波動度來偵測資產價格中的跳點和共跳，這個檢定方式不僅能夠判斷價格序列中是否存在跳點，還能更進一步的判定跳點發生的時點。摸擬和實証結果都指出，這個以迴歸為基礎的跳點檢定改善了過去文獻中跳點檢定的過度警示問題，此外實証分析還証實了透過利用前瞻性資訊(forward-looking information)的使用，至少某比例的資產價格跳點具有顯著的可預測性。另一方面，我們將同樣的概念及分析方式運用在資產價格的共跳上，發現了其中不論是同向或是反向的共跳都存在著非對稱或是聚集的現象。

摘要(英)

Price jumps in financial markets have been a very important issue in Finance since it would distort the decision we make in asset allocation and risk management, not to mention the financial implications of co-jumps in hedging systematic risk. We propose a simple regression-based test for detecting jumps and co-jumps in asset prices utilizing the recent realized measures of variation in high frequency finance. The framework is informative in testing the existence of jumps, dating jump days, and quantifying jump contributions to price variations. Our suggested test improves the over-alarm detection of jumps from previous tests. Moreover, we also find evidence of predictable jumps, in particular with respect to proxy that contains forward-looking information. Generalizing the idea in testing for the implications of cojumps presented in realized covariance, we found asymmetry in both the frequency and magnitude among those downward or upward comovements.

關鍵字(中)

★ 共跳
★ 跳點
★ 已實現波動度
★ 高頻資料

關鍵字(英)

★ cojumps
★ forward looking
★ copula
★ bi-power variation
★ realized variance
★ quadratic variation
★ jumps

論文目次

1 Introduction 1
2 Jump-Testing Methodology 5
2.1 Differential Realized Power and Bipower Variation Approach . . . . . . . . 5
2.2 Regression-based Tests of Jumps . . . . . . . . . . . . . . . . . . . . . . . 9
2.2.1 Testing the Presence of Jumps . . . . . . . . . . . . . . . . . . . . . 9
2.2.2 Identification of Jump Days . . . . . . . . . . . . . . . . . . . . . . 10
2.2.3 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.3 Monte Carlo Experiments . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.3.1 Test the Overall Presence of Jumps . . . . . . . . . . . . . . . . . . 11
2.3.2 Identification of Jump Days . . . . . . . . . . . . . . . . . . . . . . 13
2.4 Empirical Findings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2.4.1 Overall Jump Test . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2.4.2 Detection and Counts of Jump Days . . . . . . . . . . . . . . . . . 14
3 Jumps in Multiple Assets-Cojumps 15
3.1 Regression-based Test of Cojumps . . . . . . . . . . . . . . . . . . . . . . . 16
3.2 Monte Carlo Experiments of Cojumps . . . . . . . . . . . . . . . . . . . . 18
3.3 Empirical Findings of Cojumps . . . . . . . . . . . . . . . . . . . . . . . . 20
4 Disentangling the Predictability of Jumps/Cojumps 21
4.1 VIX Index and the Updated Forward Looking Information . . . . . . . . . 21
4.2 Prediction of the Occurance of Jumps and Cojumps . . . . . . . . . . . . . 22
4.3 Prediction of the Size of Jumps and Cojumps . . . . . . . . . . . . . . . . 24
5 Conculsion 26

參考文獻

Ang, A., Chen, J., 2002. Asymmetric Correlations of Equity Portfolios, Journal of Financial Economics 63, 443-494.
Andersen, T. G., T. Bollerslev, F.X. Diebold, and H. Ebens, 2001, The distribution of stock return volatility, Journal of Financial Economics, 61, 43-76.
Andersen, T.G., T. Bollerslev, and F.X. Diebold, 2007, Roughing it up: including jump components in the measurement, modeling and forecasting of return volatility. The Review of Economics and Statistics, 7, 701-720.
Andersen, T.G., Benzoni,L.,Lund, J.,2002, An empirical investigation of continuous time equity return models. Journal of Finance 57(3), 1239-1284.
Barndorff-Nielsen, O. E. and N. Shephard, 2002a, Econometric analysis of realized volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society, Series B, 63, 253-280.
Barndorff-Nielsen, O. E. and N. Shephard, 2002b, Estimating quadratic variation using realized variance, Journal of Applied Econometrics, 17, 457-477.
Barndorff-Nielsen, O.E. and N. Shephard, 2004a, Power and bipower variation with stochastic volatility and jumps, Journal of Financial Econometrics 2, 1-37.
Barndorff-Nielsen, O. E. and N. Shephard, 2004b, Econometric analysis of realized covariation: high frequency covariance, regression and correlation in financial economics. Econometrica 72, 885-925.
Barndorff-Nielsen, O.E. and N. Shephard, 2006, Econometrics of testing for jumps in financial economics using bipower variation, Journal of Financial Econometrics 4, 1-30.
Bollerslev, T., Law, T.H., Tauchen, G., 2007, Risk jumps, and diversification, Journal of Econometrics, 144(1), 234-256.
Boyer, B., Gibson, M., Loretan, M., 1999, Pitfalls in tests for changes in correlation, Working Paper. Board of Governors of the Federal Reserve System.
Eraker, B., M. S. Johannes, and N. G. Polson 2002, The Impact of Jumps in Returns and Volatility. Working paper, University of Chicago.
Forbes, K., Rigobon, R., 2002, No contagion, only interdependence: measuring stock markets comovements, Journal of Finance 57, 2223-2261.
Huang, X. and G. Tauchen, 2005, The relative contribution of jumps to total price variance. Journal of Financial Econometrics 3, 456-499.
Jacod, J., Todorov, V., 2007, Testing for common arrivals of jumps for discretely observed multidimensional process, manuscript Universite de Paris VI.
Koenker, R., and Hallock, K.F., 2001, Quantile Regression, Journal of Economic Perspectives. 4, 143-156. Jiang, George J. & Oomen, Roel C.A., 2008, Testing for jumps when asset prices are observed with noise-a ”swap variance” approach, Journal of Econometrics, 144(2), 352-
370.
Lee, S.S., Mykland, P.A., Jumps in financial markets: A new nonparametric test and jump dynamics, Review of Financial Studies.(in press)
Merton, R., 1976a, Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics, 3, 125-144.
Merton, R., 1980, Estimating the expected return on the market, Journal of Financial Economics, 8, 323-363.
Mincer, J. and V. Zarnowitz (1969), The Evaluation of Economic Forecasts, in J. Mincer (Ed.), Economic Forecasts and Expectation, New York: Columbia University Press, 3-46.
Pan, Jun, 2002, The Jump-risk premia implicit in options: evidence from an Integrated time-seies study, Journal of Financial Economics, 63, 3-50.
Patton, A.J., 2008, Copula-Based Models for Financial Time Series, in Handbook of Financial Time Series, ed. by T.G. Anderson, R.A. Davis, J.-P. Kreiss, and T.Mikosch,
New York: Springer-Verlag.
Pearson, E.S. and J.W. Tukey, 1965, Approximate means and standard deviations based on distances between percentage points of frequency curves, Biometrika 52, 533-546.
Pan, Jun, 2002, The Jump-risk premia implicit in options: evidence from an Integrated time-seies study, Journal of Financial Economics 63, 3-50.
Yeh, J.-H., J.-N.,Wang, and C.-M. Kuan, 2008, A Simple Noise-robust Realized Estimator
for Volatility, Working paper.

指導教授

葉錦徽(Jin-huei Yeh)

審核日期

2010-7-16

推文