標題: ACD模型在台灣股票市場的適用性分析-以聯電公司為例
The Adaptation for the ACD Model to Taiwan Stock Market-The Case of UMC
作者: 涂登才
巫春洲
Teng-Tsai Tu
Chun-Chou Wu
Institute of Business and Management
經營管理研究所
關鍵字: 自我相關條件時距;Box-Cox轉換;衝擊反應函數;Burr分配;D-test;ACD Model;Box-Cox Transformation;Shock Impact Function;Burr Distribution
公開日期: 1-Jan-2010
摘要: 台灣證券交易所於2005年3月1日之後,縮小股票交易價格的升降單位(tick size),原始目的主要是爲了提高交易的流動性。因此,本研究針對在台灣股票市場交易相對活絡之聯華電子公司2005年3月1日以後的交易資料,進行ACD族模型效果分析。針對對稱型的ACD族模型:包括SLACD、LACDI、LACDⅡ、BCACD及PACD等結構與非對稱型的ACD族模型:包括EXACD、A-ACD、A-PACD、A-LACD以及AUACD等進行模型參數估計、條件時距嚴格定態檢定及模型配適檢定。不管對稱型或非對稱型的ACD族模型而言,實證結果支持將殘差項假設爲Burr分配是適當的。另外,在非對稱型ACD族模型中,利用AIC值、SBIC值及最大概似估計値對不同ACD模型結構的比較,較大的估計值結果出現在LACDI模型與A-ACD模型當中。整體而言,在擴增型ACD族中以A-ACD模型之配適效果爲最佳。
After March 1, 2005, Taiwan Security Exchange changes the tick size of stocks trading to a smaller scale. The main idea for this regime is to boost market liquidity. In this paper, we investigate the fitness for the ACD model with the relative active stock in Taiwan security market. Both of the symmetry and asymmetry structure for ACD family are incorporated in our analysis. After using several criterions for model selection, the Burr distribution for disturbance term is appropriate. Meanwhile, judging from the indicators of the AIC, SBIC and LLF, the LACDI and the A-ACD models outperform than others. As to the augmented ACD family models, the A-ACD structure is relative well in fitness based on our underlying stock.
URI: http://hdl.handle.net/11536/107793
ISSN: 1023-9863
期刊: 管理與系統
Journal of Management and Systems
Volume: 17
Issue: 1
起始頁: 107
結束頁: 130
Appears in Collections:Journal of Management and System


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