125 NTU Management Review Vol. 31 No. 3 Dec. 2021 解釋變數 LOTTERY_BETA 模式1 PRICE_BETA 模式2 SKEW_BETA 模式3 VOL_BETA 模式4 β4 VOL 0.403*** β1 LOT×LOT -0.605*** β2 LOT×LOT -0.328*** β3 LOT×LOT -0.269*** β4 LOT×LOT 0.428*** β1 PRICE×LOT -0.561*** β2 PRICE×LOT -0.528*** β3 PRICE×LOT -0.126 β4 PRICE×LOT 0.143*** β1 SKEW×LOT -0.429*** β2 SKEW×LOT -0.100 β3 SKEW×LOT -0.196** β4 SKEW×LOT 0.056 β1 VOL×LOT -0.195*** β2 VOL×LOT 0.352*** β3 VOL×LOT -0.057 β4 VOL×LOT 0.249*** CNY -0.082** -0.024 0.048 0.154*** LOT×CNY -0.020 -0.325*** -0.031 -0.259*** β1 LOT×LOT×CNY -0.036 β2 LOT×LOT×CNY 0.149 β3 LOT×LOT×CNY 0.246 β4 LOT×LOT×CNY 0.464*** β1 PRICE×LOT×CNY 0.271 β2 PRICE×LOT×CNY 0.364 β3 PRICE×LOT×CNY 0.256 β4 PRICE×LOT×CNY 0.772*** β1 SKEW×LOT×CNY 0.516*** β2 SKEW×LOT×CNY -0.605* β3 SKEW×LOT×CNY -0.040 β4 SKEW×LOT×CNY -0.498*** β1 VOL×LOT×CNY 0.035 β2 VOL×LOT×CNY 0.192
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