A time series analysis of stock returns in Japan 日本の株式収益率の時系列分析

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著者

    • 徳永, 俊史 トクナガ, トシフミ

書誌事項

タイトル

A time series analysis of stock returns in Japan

タイトル別名

日本の株式収益率の時系列分析

著者名

徳永, 俊史

著者別名

トクナガ, トシフミ

学位授与大学

南山大学

取得学位

博士 (経営学)

学位授与番号

乙第4号

学位授与年月日

1997-03-20

注記・抄録

博士論文

目次

  1. Contents / p3 (0005.jp2)
  2. 1 Overview / p1 (0008.jp2)
  3. 1.1 Time Series Properties of Stock Returns / p1 (0008.jp2)
  4. 1.2 Consumption-based Asset Pricing / p10 (0017.jp2)
  5. 1.3 Data and Institutional Background / p12 (0019.jp2)
  6. 2 Heteroskedasticity in Japanese Daily Stock Returns:The Case of Weekend Effect / p22 (0029.jp2)
  7. 2.1 Introduction / p22 (0029.jp2)
  8. 2.2 Time Series Properties of Japanese Daily Stock Indices / p24 (0031.jp2)
  9. 2.3 Re-examination of Weekend Effect / p35 (0042.jp2)
  10. 2.4 Summary and Conclusions / p41 (0048.jp2)
  11. 3 Measuring Cross-Security Predictability with Conditional Variances / p43 (0050.jp2)
  12. 3.1 Introduction / p43 (0050.jp2)
  13. 3.2 Data and Statistical Analysis / p45 (0052.jp2)
  14. 3.3 Trivariate AR(1)-GARCH(1,1) Model / p50 (0057.jp2)
  15. 3.4 Further Analysis Using a Trivariate EGARCH Model / p57 (0064.jp2)
  16. 3.5 Summary and Conclusions / p61 (0068.jp2)
  17. 4 Intraday Return Dynamics between the Cash and the Futures Mar-kets in Japan / p64 (0071.jp2)
  18. 4.1 Introduction / p64 (0071.jp2)
  19. 4.2 Time Series Properties of Japanese Intraday Data / p67 (0074.jp2)
  20. 4.3 Empirical Results / p74 (0081.jp2)
  21. 4.4 Summary and Conclusions / p81 (0088.jp2)
  22. 5 Size-Related Stock Returns and Consumption-Based Asset Pricing Model / p83 (0090.jp2)
  23. 5.1 Introduction / p83 (0090.jp2)
  24. 5.2 The models / p85 (0092.jp2)
  25. 5.3 Hansen and Jagannathan Volatility Bounds and Consumption-Based Asset Pricing Models / p87 (0094.jp2)
  26. 5.4 Data and Statistical Analysis / p89 (0096.jp2)
  27. 5.5 Empirical Results / p94 (0101.jp2)
  28. 5.6 Tests of Hansen and Jagannathan Bound / p97 (0104.jp2)
  29. 5.7 Summary and Conclusions / p100 (0107.jp2)
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各種コード

  • NII論文ID(NAID)
    500000152797
  • NII著者ID(NRID)
    • 8000001086975
  • DOI(NDL)
  • NDL書誌ID
    • 000000317111
  • データ提供元
    • NDL-OPAC
    • NDLデジタルコレクション
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