臺灣大學: 土木工程學研究所荷世平; 許耀文呂子愉Lu, Tzu-YuTzu-YuLu2013-04-012018-07-092013-04-012018-07-092011http://ntur.lib.ntu.edu.tw//handle/246246/255632本研究檢視了股市與不動產投資信託 (Real estate investment trust, REIT)的不對稱波動。與過去文獻不同的是，為了考量結構改變點的影響，本研究以動態累積加總法 (Dynamic cumulative sums, DCS)偵測報酬序列變異數的改變點，將時間序列分為數個區段，各段再以不對稱的 GJR-GARCH為模型，分段估計模型參數，並且在觀察市場的特徵時，每一區段皆分別考慮，以避免忽略重要的資訊。透過分段性地檢視市場間的不對稱波動之特徵差異，本研究發現股市的不對稱程度較 REITs高。另外透過分段觀察不對稱程度與條件風險報酬的關係，本研究更進一步地歸納了市場在一些特定階段的特徵。同時本研究亦以兩種異質的信念為基礎：風險訂價信念及投機信念，提出了一套市場機制，該機制可良好地解釋實證上在股市和 REITs中分別觀察到的現象。This study investigates the distinct characteristics of asymmetric volatility of the stock market and REITs by GJR-GARCH model. In particular, accounting for the regime shift points, this study divides the time series into several sub-periods by dynamic cumulative sums (DCS) algorithm to reveal the characteristics in some specific stages. In comparison, the stock market presents higher asymmetry than REITs. Meanwhile, the relationships between asymmetric volatility and the conditional return are clarified by estimating each detected sub-period piecewisely. Besides, this study develops a market mechanism based on market participants with heterogeneous beliefs: risk pricing and speculation. By this mechanism, the empirical observations in the stock market and REITs can be well explained respectively.2299289 bytesapplication/pdfen-US波動不對稱GJR-GARCHDCS異質信念Volatilityasymmetryheterogeneous beliefthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/255632/1/ntu-100-R98521708-1.pdf