التفاصيل البيبلوغرافية
| العنوان: |
台灣上市製藥產業的風險波動實證研究應用GJR-GARCH模型 ; An Application of GJR-GARCH Model: Empirical Study on Risk Fluctuation of Taiwan-Listed Pharmaceutical Industry |
| المؤلفون: |
洪誌宏, Hung, Chin-Hung |
| المساهمون: |
財務金融學系碩士在職專班 |
| بيانات النشر: |
亞洲大學 |
| سنة النشر: |
2019 |
| مصطلحات موضوعية: |
GJR-GARCH模型, 製藥產業, 股市報酬, GJR-GARCH model, Pharmaceutical Industry, stock return, manag, eco |
| الوصف: |
本研究利用GIR-GARCH模型，探討2013年1月1日至2018年12月31日，台灣發行量加權股價對台灣生技製藥生達（1720）；進階（3118）；天良（4127）；彥臣（4732）個股報酬的不對稱得風險傳遞波動影響分析。實證結果表明，生達、進階以及彥臣股價受台灣加權股價前一天報酬影響為正向顯著影響；而受自身前一天的股價報酬的影響為負；實證結果表明，彥臣、天良、生達和進階之股價報酬存在負的不對稱效果。 彥臣、天良、生達和進階均統計顯著拒絕h0表示存在變異數是非固定的是隨時間而改變。b1+b2的係數和皆小於1，模型滿足平穩的條件。 This study uses the GIR-GARCH model to analyze the influence of risk transfer fluctuation on the asymmetry of stock price Return of Taiwans issue-weighted stock price index to Taiwans biotech pharmaceutical listed companies , Standard Chem & Pharm(1720); Level biotechnology (3118); Tienliang (4127); NatureWise (4732). The empirical results show that the Standard Chem & Pharm; Level biotechnology; NatureWise stock price indices are positively affected by the previous days weighted stock price indexs return; and negatively affected by their previous days stock price index returns; Tienliang Stock Price The index was positively affected by the previous days weighted stock price indexs return to the previous day; it was also positively affected by its previous days stock price index return. Standard Chem&Pharm;Level biotechnology;Tienliang and NatureWise statistically significantly reject h0 indicating that the presence of a variance is non-fixed and changes over time. The coefficient sum of b1+b2 is less than 1, and the model satisfies the condition of stability. |
| نوع الوثيقة: |
thesis |
| اللغة: |
unknown |
| Relation: |
http://asiair.asia.edu.tw/ir/handle/310904400/112261 |
| الاتاحة: |
http://asiair.asia.edu.tw/ir/handle/310904400/112261 |
| Rights: |
undefined |
| رقم الانضمام: |
edsbas.A809F6FB |
| قاعدة البيانات: |
BASE |