https://scholars.lib.ntu.edu.tw/handle/123456789/103730
標題: | 台股指數期貨市埸非線性與混沌現象之測試 | 其他標題: | A Test for Nonlinearity and Chaos in Taiwan Stock Index Futures Market | 作者: | 郭震坤 | 關鍵字: | 非線性;混沌;期貨市埸;chaos;non-linearity;futures markets | 公開日期: | 2003 | 出版社: | 臺北市:國立臺灣大學國際企業學系暨研究所 | 摘要: | 本 計劃測試台股指數期貨市埸是否顯示非線性與混沌現象。主要是分析此 新興期貨市埸的時間數列,研究其動態行為是否與成熟發展的金融市埸有顯著的差異性。首 先,Variance Ratio 法證實原報酬率存在線性相依。再以correlation dimension (CD ),及BDS 統計量確定濾過的時間數列中含有非線性現象。將 CD 及BDS 統計量應用到EGARCH 模式的標準化的殘差項發現非線性現象並 非由heteroskedasticity 所導致。最後由Locally Weighted Regression(LWR) 法確認Low Deterministic Chaos 混沌現象之存在。 本 研究的結果與之前對成熟發展的金融市埸之研究相異。通常學者僅發現 微弱的非現性現象,且不存在混沌現象。時間數列中是否存在混沌現象對風險 管理及市場效率性具有重要意含。 This paper investigates the presence of linear and nonlinear trends, and chaos in the Taiwanese futures market. The motivation of the paper is to analyze the time series properties of a new, small, and relatively thin market. It is expected that this young market might behave differently from mature stock markets, such as the American equity market. The results of the variance ratio test indicate linear dependence in the raw returns. The tests based on the correlation dimension, CD, and the more powerful BDS statistic confirm the presence of nonlinearity in the filtered time series. The CD and the BDS statistic applied to the standardized residuals of the EGARCH model reject heteroskedasticity as the cause of nonlinearity in the Taiwanese futures returns. On the other hand, the test of the locally weighted regression, LWR, applied to the filtered time series, indicates the presence of chaos in the Taiwanese futures. These results differ from those reported by previous researchers, who have reported only weak evidence of nonlinear trends and failed to find chaos in the return time series of more mature stock markets. Our findings may have relevant implications for risk management and market efficiency. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/17038 | 其他識別: | 912416H002042 | Rights: | 國立臺灣大學國際企業學系暨研究所 |
顯示於: | 國際企業學系 |
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