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研究生:鄧仙雯
研究生(外文):Sheng-Weng Dun
論文名稱:美國與台灣高科技產業股市連動現象探討-訊息衝擊反應
論文名稱(外文):The Stock Price Co-Movement Behavior Between U.S and Taiwan high-tech companies-Application of GARCH models
指導教授:胡星陽胡星陽引用關係
指導教授(外文):Sin-yang Hu
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:中文
論文頁數:79
中文關鍵詞:股市連動高科技
外文關鍵詞:STOCK MARKETHIGH-TECHGARCH MODELS
相關次數:
  • 被引用被引用:25
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隨著台灣在去年及今年分別加入摩根史坦利新興市場指數及倫敦金融時報指數,台灣在國際資本市場上扮演的角色日益重要,與國際資本市場的關係也更加密切。另外,台灣的電子產業結構完整且具備接單生產優勢,與國際大廠間的合作關係也日益緊密;同時電子業也是目前台灣產業中的明星產業,佔股市成交量比重高達八成。有鑑於上述因素,本論文的研究主題為美國與台灣高科技產業的股市連動現象,而與以前相關文獻最大的不同點在於探討特殊合作關係存續以及美國高科技大廠特殊訊息宣告對溢傳效應的影響。研究方法採用兩階段的GARCH(1,1)-MA(1)模型,分別配置美國高科技大廠對台灣電子公司的報酬率溢傳模型及波動性溢傳模型。實證結果如下:
(1) 在美國總體經濟變數方面,除了那斯達克電腦類股指數對台灣電子公司存在較顯著的日間報酬率溢傳效果外,其餘變數均只對隔夜報酬存在較大的報酬率及波動性溢傳效果,證明一般而言,美國總體經濟消息會在台灣的開盤時反映,訊息傳遞是有效率的.。
(2) 美國高科技大廠對台灣存在產業關連性的電子公司在隔夜報酬的報酬率以及波動性溢傳效果顯著,但對日間報酬的溢傳效果則不顯著。顯示台灣與美國資本市場間的訊息傳遞是具有效率的,美國高科技大廠訊息在台灣開盤時已充分反應。
(3) 美國6家高科技公司對具有產業相關性的電子公司在報酬率和波動性的溢傳效果上顯著大於不具相關性的其他公司,顯示公司間特殊關係的存在的確會對溢傳效果產生影響。
(4) 美國高科技大廠和台灣電子公司的特殊關係存續期間的報酬率及波動性溢傳效果並不顯著大於全樣本期間;然而這可能與研究資料來源的限制有關。
(5) 美國高科技大廠的訊息宣告效果對具有產業相關性的台灣公司影響顯著,且變數間的交互作用會加強溢傳效果的強度。但訊息宣告對不具產業關連性的其他電子公司影響則普遍不明顯。
Since Taiwan stock market has been viewed as one of the components of those major international stock markets index- for example, the MSCI index on the emerging markets- the correlation and integration between international stock markets and Taiwan stock markets has increased. Besides, electronic industry has played an important role on the daily trading volume of Taiwan stock market. Due to the completeness of Taiwan electronic industry structure, many Taiwan electronic companies have special cooperative relationships with U.S high-tech companies. Therefore, the main topics of the study is:
(1) Investigate the stock price co-movement behavior between U.S and Taiwan high-tech companies from the Macroeconomic-Industry-Company point of view.
(2) Investigate the return and volatility spillover effects caused by (1) the cooperative relationships between U.S and Taiwan companies and (2) the news announcements by U.S high-tech companies.
By two-stage GARCH models, the main empirical results are as followed:
(1) The U.S macroeconomic and industrial factors have significant return and volatility spillover effects on the overnight (close-to-open) returns of Taiwan electronic companies, but the spillover effects on the daytime(open-to-close) returns are not significant. The results show that the transmission between U.S and Taiwan high-tech companies is efficient. The information of U.S macroeconomic and industry is reflected on next opening price of Taiwan high-tech companies.
(2) The return and volatility spillover effects are strong between those U.S high-tech companies and Taiwan high-tech companies which have special cooperative relationships between them. However, the spillover effects between U.S and Taiwan unrelated high-tech companies are not significant. The result shows that the industrial relationship is an important factor. Also, overnight spillover effects are more significant than daytime spillover effects.
(3) When those U.S high-tech companies have news announcements, the news will have significant spillover effects on those related Taiwan companies. But the spillover effect is small on those unrelated Taiwan companies. The result again shows that the industrial relationship is a major factor on the stock price co-movement behavior between U.S and Taiwan high-tech industry.
(4) The interaction effect between model variables is significant, it means that the spillover effect is stronger when the special cooperative relationship and the news announcements events exist at the same time.
目錄
第一章 緒論---------------------------------------------------------P.1
第一節 前言-------------------------------------------------------P.1第二節 研究動機與目的----------------------------------------P.2
第三節 研究限制-------------------------------------------------P.3
第四節 研究流程-------------------------------------------------P.5
第二章 文獻回顧---------------------------------------------------P.6
第一節 國際資本市場的相關性-------------------------------P.6
第二節 產業合作與產業因素對各國股價行為之影響--P.13
第三章 資料來源與處理-----------------------------------------P.15
第四章 研究方法--------------------------------------------------P.17
第一節 異質條件變異數模型--------------------------------P.17
第二節 GARCH模型-----------------------------------------P.20
第三節 實證研究模型-----------------------------------------P.28
第五章 實證結果與分析----------------------------------------P.33
第一節 美國總體經濟變數對台灣電子業報酬與波動性影
響--------------------------------------------------------P.33
第二節 美國高科技大廠對台灣電子業報酬與波動性影響--
-----------------------------------------------------------P.34
第六章 結論與建議-----------------------------------------------P.51
附錄一:美國與台灣高科技大廠合作關係表---------------P.53
附錄二:美國高科技大廠重要訊息宣告---------------------P.54
參考文獻------------------------------------------------------------P.77
參考文獻:
中文部分:
1、 莊桂香,「台灣與國際股市日內報洲的傳遞效果-ARCH模型之應用」中正大學財務金融所碩士論文,民國81年。
2、 林俊安,「亞洲風暴中亞太國家匯變動率對股市波及效果之網狀GARCH研究」台灣大學財務金融學研究所碩士論文,民國88年。
3、許馨尹,「國際產業關聯性對 股票報酬訊息傳遞之影響─台灣與美國電子業之研究」輔仁大學金融研究所碩士論文,民國87年。
英文部份:
1、 Chang, E. C., J. M. Pinegar, nad R. Ravichanndran, 1994, “Predicatability and Regional Integration of Pacific Basin Equity Markets, “Journal of International Financial Management and Accounting 5:1, 25-46.
2、 Cheung, Yan-Leung and Sui-Choi Mak, 1992, “The Internatilnal Transmission of Stock Market Flunctuation between the Developed Markets and The Asian-Pacific Markets”, Applied Financial Economics 2, 43-47.
3、 Chou, R. J. L. Li, and C. S. Wu, 1998, “Modeling Taiwan Stock Market and International Linkages, “1998 NTU Internatilnal Conference on Finance, 1998 March, Department of Finance, National Taiwan University.
4、 Engle, F. R., and Raul Susmel, 1993, “Common Volatility in International Stock Markets, “Journal of Business and Economic Statistics 11, 167-176.
5、 Eun, C. S., and S. Shim, 1989, “International transmission of stock market movement, “Journal of Financial and Quantitative Analysis 24, 241-56.
6、 Hamao, Y., R. Masulis, and V. Ng, 1990, “Correlations in price changes and volatility across international stock markets, “Review of Financial Satudies3, 281-367.
7、 King, M. E. Sentana, and S. Wasdhwani, 1994, “Volatility and Links Between National Stock Markets, “Econometrica 62(4), 901-933.
8、 Lessard, Donald R. 1974, “World, national and industry factors in equity returns, “ Journal of Finance 29, 379-391.
9、 Lin, W. L. Robert F. Engle, and Takatoshi Ito, 1994, “Do Bulls and Bears Move across Borderss? International Transmisson of Stock Returns and Volatility,” The Review of Finalcial Studies 3, 507-508.
10、 Ng. V. R. Chang, and R. Chou, 1991, “An exasnmination of the behavior of pacific-basin stock market volatility,” Pacific-Basin Capital Market Reserch 2, 25-260.
11、 Roll, Richard, 1992, “Industrial structure and the comparative behavior of international stock market indices, Journal of finance 47, 3-42.
12、 T., Panayiotis, K. Emel, K. Gregory, and C. Andreas, “Volatility reversion and correlation structure of returns in major international stock markets”, Financial Review 32, 205-224.
13、 B. Kenneth and N. John R, “On stock return seasonality and conditional heteroskedasticity”, Journal of Financial Research 21,
14、 B. Salim M and D. Partha, “Co-movements in international eauity markets”, Journal of Financial Research 20, 305-322.
15、 T. Panayiotis and Lee U., Mean and volatility spillovers across major national stock markets: Further empirical evidence”, Journal of Financial Research, 16, 337-350.
16、 B. LeBaron, “Some Relations Between Volatility and Serial Correlations in Stock Market Returns”, Journal of Business, 65, 199-219.
17、 R. Baillie and R. P. DeGennaro, “Stock Returns and Volatility”, Journal of Financial & Quantitative Analysis, 25, 203-214.
18、 C. G. Lamoureux and W. D. Lastrapes, “Heteroskedasticity in Stock Return Data: Volume Versus GARCH Effects”, Journal of Finance, 45, 221-229.
19、 P. Theodossiou and U. Lee , “Relationship between volatility and expected returns across international stock markets”, Journal of Business Finance & Accounting, 22, 289-300.
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