臺灣博碩士論文加值系統

本研究利用GARCH模型，探討自2010年至2016年，美元及歐元匯率波動對台灣股市之股票現貨市場大盤指數報酬風險的傳遞分析。實證結果顯示估計結果看出美元匯率波動估計係數-0.262大於歐元匯率波動估計係數-0.193，顯示美元匯率波動對台灣股市報酬影響較為顯著；變異數方程式估計結果表示美元及歐元匯率對台灣未來的波動會受到前期未預期變動(新訊息)與前期報酬波動(舊訊息)的影響且變異數是非固定的是隨時間而改變。

The study adopted GARCH model to investigate the return and risk transmission effect of US and EURO Dollar Exchange Rate to Taiwan Stock Market, in the period of 2010 to 2016. The empirical results indicate the return of US Dollar Exchange Rate influence the stock markets of Taiwan significantly. The wave of the stock markets of Taiwan is influenced by the both of unpredicted new and old news of US and EURO Dollar Exchange Rate.

中文摘要 I
ABSTRACT II
誌 謝 III
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究限制 3
第三節 研究流程 4
第二章 文獻回顧 5
第三章 研究方法 10
第一節 ADF單根檢定 10
第二節 因果關係 12
第三節 共整合檢定 14
第四節 ARCH檢定 16
第五節 GARCH模型 18
第四章 實證結果與分析 19
第一節 ADF單根檢定 19
第二節 因果關係檢定 23
第三節 共整合檢定 24
第四節 ARCH檢定 25
第五節 AR-GARCH模型實證結果 26
第五章 結論 28
附錄 32

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