The Relationships of Moments for Taiwan Electron Index and NASDAQ Stock Index

• Main Authors: Yuh-Liang Yeh, 葉雲亮
• Other Authors: Yen-Sen Ni
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/23931220809948023200

碩士 === 淡江大學 === 管理科學學系 === 88 === This paper uses unit roots test and Granger Causality with VAR models to investigate the relationships of the higher moment, skewness and kurtosis and the lower moment, return and volatility for NASDAQ Stock Index and Taiwan Electron Index, sub-index of Taiwan Weighted Stock Index from Jan. 1 1995 to Dec.12 1998 . In this study, we hope that we can find important information by adding abnormal concept and asymmetrical information. The empirical results show NASDAQ Stock Index and Taiwan Electron Index are random walk In additional, we find that volatility of NADAQ index’ return will affect its returns. It should be just a short-term, we can earn benefits fast or get huge loss by accident. Besides, we also have new findings, NASDAQ’s return will affect volatility of itself and Taiwan Electron’s risk, which is seldom maintained in other articles. Hence, we could conclude first moment, return will affect its volatility, second moment which is different from the concepts of stock volatility addresses on its return. Beyond that, we also find the abnormality of Taiwan Electron will affect the information transmission of NASDAQ. Besides, Taiwan Electron’s risk will affect its fourth moment, and NASDAQ’s return will affect Taiwan Electron’s abnormality, too. Since NASDAQ Stock Index is the lead signal of high-technology share throughout the world, some message about its return will affect Taiwan Electron’s abnormality. In the other worlds, Taiwan Electron’s abnormality will be involved with NASDAQ’s return. Traditionally, most researchers focus on first moment, return, and second moment, volatility. There are few related studying about higher moment. This research indicates us that we can not ignore the importance of high moment. From that, we will not suffer unnecessary loss if we can obtain more information about market, 第一節 研究動機.....................................1 第二節 研究對象與期間...............................2 第三節 研究目的.....................................3 第四節 研究流程.....................................4 第五節 研究限制.....................................6 第二章 文獻探討........................................7 第一節、國內文獻部分................................7 第二節、國外文獻部分................................10 第三節 文獻整理.....................................13 第三章 研究方法........................................17 第一節 動差與動差母函數.............................17 第二節 實證方法.....................................21 第四章 實證結果與分析..................................30 第一節 NASDAQ股價指數與台灣電子股分類指數簡介.......30 第二節 資料處理與描述...............................35 第三節 單根檢定.....................................46 第四節 相關分析.....................................49 第伍節 GRANGER因果關係檢定..........................52 第五章 結論與後續建議..................................63 第一節 結論.........................................63 第二節 建議.........................................68