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博碩士論文 etd-0601110-165055 詳細資訊
Title page for etd-0601110-165055
論文名稱
Title
台股MSCI指數與國際股價指數動態波動性研究
Dynamic Volatility Linkage between Taiwan MSCI Index and International Stock Markets
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
68
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2010-05-31
繳交日期
Date of Submission
2010-06-01
關鍵字
Keywords
波動傳染蔓延性、次貸風暴、叢聚效應、市場相關性
Sub-prime mortgage crisis, DCC-GARCH, Infection Clustering Effects, Dynamic Correlation
統計
Statistics
本論文已被瀏覽 5681 次,被下載 3674
The thesis/dissertation has been browsed 5681 times, has been downloaded 3674 times.
中文摘要
本論文用多變量DCC-GARCH模型探討台股MSCI指數與美國,中國,日本,亞洲,及全球證券市場之動態相關波動性,並探討股票市場是否存在波動不對稱性,波動傳染蔓延性及叢聚效應。同時在發生美國次貸風暴引發全球性金融海嘯下,探討台股與國際市場間波動結構性改變之市場相關性動態改變之影響及變化。經實證結果發現:(一)台股與國際市場間波動間具有連續性與波動傳染蔓延性及叢聚效應;(二)在全球性金融海嘯期間,台股與國際市場間相關性變動,其與各市場之不同動態相關性之波動幅度,與結構改變發生時點之不同,顯示為各別市場之動態條件變動之影響;(三)台股MSCI指數與美國,中國,日本等台灣之主要貿易國家股市間,結構改變後產生波動相關性發生改變,顯示日本股市對台股MSCI指數之影響變低,中國之與台股MSCI指數相關增強,台股MSCI指數與美國市場指數相關性也提高;(四)市場結構改變後國際間相關動態波動依然顯著振盪,可見次貸風暴下影響之衝擊太大太廣,市場結構要回到均衡之調整尚在進行。
Abstract
This paper uses multivariate DCC-GARCH model to investigate the volatility of dynamic correlation between MSCI Taiwan stock index and the USA, China, Japan , Asia and global stock market. The existence of stock market volatility asymmetry, volatility spread of infection and clustering effects also are analysed, while in case of the U.S. sub-prime mortgage crisis and triggered the global financial tsunami. It discusses the Taiwan stock market fluctuations and structural changes in the international markets and the market dynamics related to change of influence and change.
The main findings are (1)The volatility of continuity between the spread of infection and the clustering effect between the Taiwan stock market and international market fluctuations, (2) During the global financial tsunami, the correlation between changes in the international market and the market Correlation of different dynamic fluctuations and structural changes occurring in different time point also show the impact of changes of individual markets (3)The correlation between MSCI Taiwan stock index and the USA, China , Japan, indicates that the impact of change of stock the Japanese stock market on the MSCI Taiwan stock index is low, while China and the MSCI Taiwan stock index-related enhances, (4) market structure changes, the MSCI Taiwan stock index and the global dynamic fluctuations in the market is still a significant, The visible impact of the shock oscillation is wide and return to equilibrium of adjustment is still ongoing.
目次 Table of Contents
誌謝辭 i
摘要 ii
ABSTRACT iii
目錄 iv
圖表目錄 vi
表格目錄 vii
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究重點 3
第四節 研究章節 5
第二章 文獻回顧與探討 6
第一節 國內外文獻探討 6
第三章 資料與研究方法 18
第一節 研究樣本 18
第二節 研究方法 19
第四章 實證分析 32
第一節 樣本與數據 32
第二節 數據基本敘述統計 33
第三節 單根檢定(Unit Root Test)結果 36
第四節 ARCH效果檢定(ARCH Effect Test)結果 37
第五節 GRANGER檢定結果 38
第六節 模型建構與實證結果 39
第五章 結論 56
第一節 結論 56
第二節 建議 57
參考文獻 58
參考文獻 References
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