A STUDY ON THE MOTION OF TAIWAN LISTED STOCK PRICE
| Autor: | Chih-Cheng Sun, 孫志成 |
|---|---|
| Rok vydání: | 2001 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 89 The stability of variance that is confirmed in this work concords with current use of variance, for example in the Black-Schole option pricing formula. Models of stock price behavior are usually expressed in terms of Wiener processes. I adopt Ito''s process to decomposite the volatility of stock price to two parts-drift component and diffusion component. The results of this study support in the form of Spearman rank correlation test for the hypothesis that stock variance is a stable commodity. It appears that volatility of stocks price restricted between seven percent for raise and seven percent for fall in Taiwan is stable in time: a high variance stock this term will be a high variance stock next period. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|