臺灣博碩士論文加值系統

由於全球化的因素，在對外匯的限制逐漸減少與無國界投資趨近頻繁之下，投資者們會透過跨國投資以分散風險，因此市場與市場之間的連動關係，更加受到投資人的關注。原物料市場與金融市場，是最熱門且最受歡迎的兩大市場，不管是從個體面，還是總體面來看，兩個市場皆包含了相當多的投資標的與經濟指標，過往文獻較少對原物料市場與金融市場間作為探討，因此本文將針對兩大市場作共移性之探討。本研究以OECD國家為樣本，利用多變量GARCH之方法，分別為Diagnal VECH、Diagonal BEKK、Constant Conditional Correlation三種模型，研究期間2001年至2013年止。研究發現，大多數OECD國家於次貸風暴與歐債危機期間，有顯著性改變，即產生所謂的蔓延效果。另外，不同市場、相同市場間之共移性不盡相同。

Because of the factors for globalization, under the gradual reduction of foreign exchange restrictions and without borders investment tend to frequently, investors through cross-border investments to distribute risks. Therefore linked relationship between the market, more be subject to investor concerns. Raw materials and financial markets is the hottest and most popular two markets, whether it is from an individual face, or Macro face perspective, the two markets are included quite a lot of investment object and economic indicators. The past literature for between the fewer raw materials and financial markets as discussed, this article will discuss co-movement of two markets. In this study, as samples OECD countries, by the method of multivariate GARCH, were Diagnal VECH, Diagonal BEKK, Constant Conditional Correlation three methods, the study period from 2001 to 2013 ended. We found that most of OECD countries during the subprime mortgage crisis and in the European debt crisis, there are significant changes, that is contagion effect. In addition, between co-movement of different markets or the same markets are different.

中文摘要 i
ABSTRACT ii
表目錄 iv
圖目錄 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第二章 文獻探討 4
第一節 石油、黃金、股價、匯率相關的文獻 4
第二節 與蔓延效果相關的文獻 11
第三章 研究方法 17
第一節 研究期間與資料來源 17
第二節 研究模型 17
第三節 實證模型 19
第四章 實證結果與分析 22
第一節 敘述統計與單根檢定 22
第二節 OECD國家多變量GARCH模型估計結果、 25
One-step(單步)與N-step(逐步)檢定 25
第五章 結論 267
參考文獻 268
【附錄一】OECD國家之自我相關檢定圖 271

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