臺灣博碩士論文加值系統

為能有效捕捉在極端事件(包括極端好與極端壞)衝擊下，兩國股市間大幅漲跌時的極端相依結構，並據此計算雙尾部相依係數，本論文除了利用Pearson相關係數估算兩國股市間的普通相依性之外，並進一步使用具有不對稱及極值特性的Copula函數，進行實證探討美國股市與八大歐亞股市間的普通相依與極端相依之變化。對於證券投資機構或持有美國證券的投資人而言，若能清楚刻劃出美國股市與他國間的相依結構，準確掌握一般常態期間與極端事件期間的相依性，將有助提高國際投資組合的多角化利益。從本論文之實證結果，提出下列四點建議供持有美國證券之機構、投資人之參考：
1. 當美國股市呈現小跌走勢時。建議多方投資人，可以風險分散為目的，持有此期間與美國股市呈低相依性的日本、台灣或韓國作為投資標的。另一方面，建議空方投資人，可以增加可能獲利空間為目的，持有此期間與美國股市呈高相依性的德國、法國或英國作為投資標的。
2. 當美國股市呈現小漲走勢時。建議空方投資人，可以風險分散為目的，持有此期間與美國股市呈低相依性的日本、台灣或韓國作為投資標的。另一方面，建議多方投資人，可以增加可能獲利空間為目的，持有此期間與美國股市呈高相依性的德國、法國或英國作為投資標的。
3. 當美國股市呈現大跌走勢時。建議多方投資人，可以風險分散為目的，持有此期間與美國股市呈低相依性的新加坡、台灣或韓國作為投資標的。另一方面，建議空方投資人，可以增加可能獲利空間為目的，持有此期間與美國股市呈高相依性的德國、日本或法國作為投資標的。此外，應特別注意美國與日本此時期的高相依性，平時利用日本股市低相依性分散風險之投資人，此時應避免與美國股市共同持有。
4. 當美國股市呈現大漲走勢時，建議空方投資人，可以風險分散為目的，持有此期間與美國股市呈低相依性的日本、台灣或韓國作為投資標的。另一方面，建議多方投資人，可以增加可能獲利空間為目的，持有此期間與美國股市呈高相依性的法國、英國或德國作為投資標的。
本論文從不同觀點，分別由多方及空方投資人角度，探討美國股市呈小幅漲跌及大幅漲跌期間與他國的相依性。實證結果發展出不同於以往的投資決策，不再將彼此間具有高度相依的國家摒除在投資組合外。使投資人能利用兩國間高相依性走勢，增加其可能獲利機會，讓投資決策更多元化、更彈性。提供投資人一個投資參考方針。可根據不同立場、不同期間及不同目的，適時調整標的部位成為最適的投資組合，不再因配合「一般常態期間」的投資決策，反而使最需要風險分散的「極端事件期間」，無法有效分散風險。提供持有美國證券之機構、投資人，一個簡單實用的投資參考方針，除了達到風險分散之效益亦能增加可能獲利的機會空間。

This study applies Pearson's Correlation Coefficient to measure regular dependence between markets in regular market condition. We use Copula functions of asymmetric dependence structures and characteristics of extreme value to estimate extreme dependence (including extreme positive and extreme negative impacts) under turbulence and to capture extreme dependence structure, and according to it, to estimate coefficient of tail dependence. Furthermore, this study investigates the regular and extreme dependence between US and eight major stock markets. It can help investors understand the dependence structures between US and other stock markets, leaving them with more opportunities to benefit from international portfolio diversification. The empirical results are as follows:
1. When the US market displays a slight downward trend, long position investors should diversify their portfolio risk by focusing their investments on the stock markets in Japan, Taiwan or Korea due to the low dependence of these markets on the US market. On the other hand, short position investors should concentrate on the stock markets in Germany, France or UK to increase profit because of their high dependence on the US. Market.
2. When the US Market displays a slight upward trend, short position investors should diversify the portfolio risk by focusing their investment on the stock markets in Japan, Taiwan or Korea because of their low dependence on the US market. On the other hand, long position investors should concentrate their investments on the stock markets in Germany, France or UK to increase profit due to their high dependence on the US. Market.
3. When the US Market displays a great downward trend, long position investors should diversify the portfolio risk by focusing their investments on the stock markets in Singapore, Taiwan or Korea due to their low dependence on the US market. On the other hand, short position investors should concentrate their investments on the stock markets in Germany, Japan or France to increase profit due to their high dependence on the US. Market. In addition, we note that the investors who diversify their portfolio risk using the low dependence between US and Japanese stock markets on average should avoid holding stock assets in these two markets simultaneously to protect themselves from the effects of extreme market conditions.
4. When the US Market displays a great upward trend, short position investors should diversify their portfolio risk by focusing their investments on the stock markets in Japan, Taiwan or Korea due to their low dependence on the US market. On the other hand, long position investors should concentrate their investments on the stock markets in France, UK, or Germany to increase profit due to their high dependence on the US. Market.
In this study, we investigate the dependence between the US and other international markets given small and large price increases or decreases with a view to make recommendations to long and short position investors. The empirical results suggest new investment options different from the previous ones. Investing in highly dependent countries is no longer excluded as an investment option as it may help investors raising the possibilities of profit gain. Our results suggest more diverse and flexible options for investors to adjust their portfolio mixes to the optimal ones under different circumstances. We offer a simple principle to the investors of the US stock market to diversify and increase the possibility of making profit.

謝辭 i
摘要 iii
Abstract vi
目 錄 ix
表 次 xi
圖 次 xii
第壹章 緒論 1
第一節 研究背景、動機及目的 1
第二節 論文架構 7
第三節 研究流程 8
第貳章 文獻回顧與探討 9
第一節 股市相依性的相關文獻 9
第二節 Copula模型的相關文獻 11
第參章 研究方法與實證模型建構 14
第一節 時間序列資料穩定性 14
第二節 單根檢定 16
第三節 常態性檢定 18
第四節 相依性 18
第五節 Copula 24
第肆章 資料特徵與實證結果分析 40
第一節 資料特徵 40
第二節 實證結果分析 50
第伍章 結論 62
第一節 結論 62
第二節 建議 64
第三節 研究限制與未來研究方向 65
參考文獻 66

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