臺灣博碩士論文加值系統

本文以美國S&P 500指數與美國十年期公債指數期現貨為主要研究對象，並應用VEC
DCC GJR-GARCH模型及VEC Copula GJR-GARCH-skewed-t模型探討美國股市與公債期現貨市場報酬率與波動性的相關性，並瞭解次級房貸危機與金融海嘯之重大事件對美國金融市場相關性所產生蔓延效果(contagion effect)之影響。樣本期間為2004年1月1日至2010年2月26日。

實證結果證明在次級房貸危機與金融海嘯期間，美國股債市報酬率之相關係數呈現提升趨勢，美國股市與公債期貨市場報酬率之相關係數呈現提升趨勢，而美國公債期現貨市場報酬率卻呈現下降趨勢， 顯示美國股市及公債期現貨市場報酬率與波動性的動態相關性是受到次級房貸危機與金融海嘯事件蔓延效果(contagion effect)所影響，而不完全是跨市場間訊息共移所造成的外溢結果(comovement effect)。

此外，由VEC Copula GJR-GARCH-skewed-t模型實證結果可知美國股債市具有雙尾相依之相關性結構，亦即有重大事件發生後，當市場呈現多頭或市場呈現空頭時，美國股債市一漲一跌的相關性較高；美國股市與公債期貨市場具有右尾相依之相關性結構，亦即有重大事件發生後，當市場呈現多頭時，美國股市與公債期貨市場同時上漲的相關性較高；而公債期現貨具有右尾相依之相關性結構，亦即有重大事件發生後，當市場呈現多頭時，公債期現貨市場同時上漲的相關性較高。

This study investigates the dynamic correlations among S&P 500 stock index, US 10-year treasury bond index and futures under the crisis of subprime mortgage and financial tsunami by using VEC DCC GJR-GARCH model and VEC Copula GJR-GARCH-skewed-t model. It also discusses the contagion effect of the crisis of subprime mortgage and financial tsunami on the US finance market. The sample period of this study is from January 1, 2004 to February 26, 2010.

The empirical results obtainy from the VEC DCC GJR-GARCH model verify that during the crisis of subprime mortgage and financial tsunami period, the correlation coefficients between stock and bond markets and between stock and bond futures markets have increased, mean the correlation coefficients between bond and futures market have decreased. The model results also indicated that the return and volatility correlation of US stock, bond and futures markets are affected by the crisis of subprime mortgage and financial tsunami(contagion effect), rather than simply by cross-market information transmission through the volatility spillovers between any two markets as metioned above.

In addition, the of VEC Copula GJR-GARCH-skewed-t model signify the highly tail-dependency structure between stock-bond, stock-bond futures and bond-bond futures markets. We also found that the market dependency between those any two markets have during the period of subprime mortgage crsis and financial tsunami.

第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 7
第三節 研究方法與步驟 8
第四節 研究對象、範圍與資料來源 11
第五節 論文架構 12
第貳章 次級房貸危機與金融海嘯之衝擊，及美國股市與公債期現貨市場之概況分析 13
第一節 次級房貸危機與金融海嘯 13
第二節 美國股市與公債期現貨市場概況分析 16
第參章 理論基礎與文獻回顧 21
第一節 理論基礎 21
第二節 文獻回顧 27
第三節 本章綜論 34
第肆章 模型估計與檢定之計量方法 36
第一節 最適落後期數之選取與單根檢定方法 36
第二節 序列相關之檢定方法 38
第三節 共整合檢定與向量誤差修正模型 40
第四節 ICSS 運算法 44
第五節 GARCH相關模型之估計與檢定方法 45
第六節 Copula函數相關概念與VEC Copula GJR-GARCH-skewed-t模型之建立 57
第伍章 實證結果與分析 73
第一節 資料描述、單根檢定與ICSS運算法之結果 73
第二節 Johansen共整合檢定與VEC模型之估計與檢定 85
第三節 VEC DCC GJR-GARCH模型之建立與實證結果 92
第四節 VEC Copula GJR-GARCH-skewed-t模型之建立與實證結果 124
第五節 本章小結 166
第陸章 結論與建議 173
第一節 結論 173
第二節 建議 180
參考文獻 184

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