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研究生:陳聖明
研究生(外文):Chen, Sheng-Ming
論文名稱:台灣、日本與香港股市間互動、波動不對稱性及外溢效果之研究-三元不對稱VECM-GARCH-M之應用-
論文名稱(外文):A Study on the Interactions, Asymmetric Volatility and Spillover Effects among Taiwan, Japan and Hong Kong Stock Markets:
指導教授:劉祥熹劉祥熹引用關係
指導教授(外文):Liu, Hsiang-Hsi
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:合作經濟學系
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:2003
畢業學年度:91
語文別:中文
論文頁數:111
中文關鍵詞:單根檢定共整合檢定ARCH模型GARCH模型
外文關鍵詞:Unit Roots TestCointegration TestARCH ModelGARCH Model
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投資者進行國際投資時,通常必須關心國際資本市場的動態及國際政治、經濟局勢的變化。本文乃針對對台灣、日本與香港三國股票市場股價指數報酬率與波動不對稱性與外溢效果作一探討,以瞭解彼此間之互動關係,同時亦可對國際股票市場之間的關聯有較完整的概念。本文建構三元不對稱VEC-GARCH-M模型,研究期間選自1990年2月1日至2002年12月31日止,去除非交易日共2000筆日資料。實證結果發現:
一、共整合分析結果顯示,台灣、日本與香港股價指數存在共整合關係。
二、各市場股價報酬率皆存在大波動後往往伴隨大波動,小波動之後伴隨著小波動之波動叢聚現象且股市好壞消息對股市波動之影響並不一致,即表示資訊外溢所造成波動具不對稱性效果。
三、三國股市均受前期條件共變異之影響,表示三國股市具有動態相關性,上述各國股市報酬率與波動性的互動關係具有相當的可信度。
四、香港與台灣股市短期受到經濟體係干擾,會經由誤差修正項的調整而恢復長期均衡,亦即投資香港與台灣需考慮三國股市間之共移性。
The purpose of this study is to detect the effects of co-movement and volatility spillovers among main Asian Pacific stock markets. The stock markets which employed for empirical investigations are Taiwan, Japan and Hong Kong. This research has applied trivariate asymmetric VEC-GARCH-M model to examine the interactive relationship of return and volatility among Taiwan, Japan and Hong Kong stock markets.
The sample period begins from Feb. 1, 1990 to Dec. 31, 2002. The main empirical results are as follows. Firstly, the result of cointegration test has shown that there is a long-run equilibrium relationship among Taiwan, Japan and Hong Kong stock markets. Secondly, the volatility clustering effects, the asymmetric effects and volatility switching effects among these stock markets also exist. Thirdly, the conditional covariance of the stock returns among Taiwan, Japan and Hong Kong stock markets are significant. Fourthly, Taiwan and Hong Kong stock markets have the effect of short-run adjustment among these stock markets in error correction term. It implies that someone invests in Taiwan and Hong Kong stock market, he would consider the co-movement among the three stock markets.
目 次
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究方法與步驟 4
第四節 研究對象與資料來源 7
第五節 論文架構 8
第貳章 理論基礎與文獻探討 10
第一節 理論基礎 10
第二節 文獻回顧 14
第三節 本章綜論 25
第參章 模型估計與檢定之相關計量方法 28
第一節 定態序列及單根檢定 28
第二節 共整合檢定 35
第三節 向量誤差修正模型及因果關係 40
第四節 ARCH與GARCH模式之估計與檢定 43
第五節 本章小結 57
第肆章 模式建構及估計檢定 58
第一節 資料描述 58
第二節 單根檢定 66
第三節 Johansen之共整合檢定與估計結果 73
第四節 VECM估計下殘差項ARCH效果與不對稱性之檢定 74
第五節 實證引用模式之建構 79
第六節 本章小結 84
第伍章 實證結果分析 85
第一節 VECM-E-GARCH-M之估計結果與分析 85
第二節 VECM-GJR-GARCH-M之估計結果與分析 89
第三節 VECM-VS-GARCH-M之估計結果與分析 94
第四節 綜合分析 99
第陸章 結論與建議 102
第一節 結論 102
第二節 建議 104
參考文獻 106
參考文獻
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