[[alternative]]AN EMPIRICAL STUDY ON THE ASYMMETRIC VOLATILITY OF INDIVIDUAL STOCKS AND CHIPS STRUCTURE: THE CASE OF TAIWAN STOCK MARKET

[[abstract]] 本文研究台灣股票市場中上市之電子股為研究標的，並將標的依其籌碼結構分類，研究其法人持股比率高低個股波動之不對稱性，並檢定其個股的波動的不稱性是否來自槓桿效果假說。研究方法為GJR-GARCH，研究期間為2003到2005年日資料。實證結果: (1)個股波動不對稱現象並不普遍存在。 (2)個股的波動不稱性並不因在法人持股比率高低而有明顯差異。(3)不論法人持股比率高低的波動不對稱性都不能由槓桿效果假說解釋。[[abstract]] In this thesis, we discuss the asymmetric volatilities for the electronic stocks in Taiwan . For the stocks which have asymmetric volatilities, we use the rate of institutional buying to classify it and check if the asymmetric volatilities come from leverage hypothesis for different rates of institutional buying . The method we used is GJR-GRACH. The daily data period is from 2003 to 2005. The empirical results show that the asymmetric volatilities do not come from leverage hypothesis no mater what the rate of institutional buying is