股票報酬率波動度之記憶性質及其定價效果

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陳柏諺(Po-Yen Chen) 查詢紙本館藏

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股票報酬率波動度之記憶性質及其定價效果

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摘要(中)

本研究探討台灣市場中，股票報酬率波動度之記憶性質。基於資本資產定價模型隱含資產期望報酬率與風險之間存在正向關係，然而資產的風險與波動度持續性具有關聯性，亦即波動度持續越久，其風險越小。因此，波動度持續性較短的資產相較於波動持續性較長的資產，應有較高的期望報酬率。本文實證結果顯示，記憶程度較低(波動度持續較短)的股票相較於記憶程度較高(波動持續較長)的股票，多出3.1016%的股票月超額報酬率。此外，本文進一步探討股票報酬率波動度的記憶程度與公司特徵之關聯性，以及其分別對股票超額報酬率與已實現波動率之影響。本研究的主要結果與Nguyen et al. (2020)在美國市場中的研究結果具一致性。

摘要(英)

We examine long memory volatility in the cross-section of stock daily returns. We show that long memory volatility is widespread in the Taiwan market and that the degree of memory can be related to firm characteristics, such as market capitalization, book-to-market ratio, prior performance, and price jumps.
Based on the capital asset pricing model (CAPM), there is a positive relationship between the expected return on assets and the risk. Therefore, assets with shorter volatility persistence should generate higher expected return than assets with longer volatility persistence. The empirical result shows that stocks with lower memory generates significant excess returns of 3.1016% per month. This result is consistent with that of Nguyen et al. (2020).

關鍵字(中)

★ 長記憶性
★ 廠商特徵
★ 資本資產定價模型
★ 已實現波動率
★ GPH

關鍵字(英)

論文目次

摘要 i
Abatract ii
謝辭 iii
第一章緒論 1
第一節研究背景與動機 1
第二節研究目的及研究範圍 2
第三節研究架構 4
第二章文獻回顧 5
第一節各國金融市場中存在長記憶性文獻 5
第二節記憶參數與公司特徵相關聯文獻 6
第三章研究資料來源、變數說明與模型設定 10
第一節樣本與資料來源 10
第二節變數定義以及說明 10
第三節研究方法與模型 17
第四章實證結果與分析 20
第一節股票報酬率波動度之記憶性與公司特徵之關聯 20
第二節股票報酬率波動度之記憶性與股票超額報酬率之關聯性 26
第三節股票報酬率波動度之記憶性對股票報酬率之影響 29
第四節股票報酬率波動度記憶性對已實現波動率預測性之分析 33
第五章結論與建議 35
一、研究結論 35
二、研究限制與建議 35
附錄 37
單一產業實證結果: 以電子業為例 37
參考文獻 42

參考文獻

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指導教授

蔡明宏劉錦龍

審核日期

2021-7-27

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