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研究生:賴幸思
研究生(外文):Hsing-Sze Lai
論文名稱:臺灣債券、股票與貨幣市場交互動態關聯之研究
論文名稱(外文):The Dynamic Correlation among Taiwan Bond, Stock and Money Markets
指導教授:王凱立王凱立引用關係蔡政言蔡政言引用關係
指導教授(外文):Kai-Li WangJeng-Yan Tsai
學位類別:碩士
校院名稱:淡江大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
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:100
中文關鍵詞:GJR GARCH 模型公債交互波動
外文關鍵詞:GJR GARCH ModelBondVolatility Spillover EffectMaturity
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本研究以多元GJR GARCH-M模型(Multivariate GJR GARCH-M Model),針對債券、股票與貨幣市場間之動態關聯作探討。除分析報酬與波動之跨市場傳導外,並針對不同到期日債券與股、貨市間動態關聯差異作比較。研究結果顯示,債市與股市存在顯著雙向報酬傳導,印證股債消長特性,且債市之於股市呈現更為明顯傳導效果。進一步分析不同到期日債券特性,發現十年期債券與股市的連動最為緊密,可能導因於十年券的流動性高,因而較能敏銳反應股債間的訊息流動。債市與貨市呈現顯著報酬交互傳導;但以短期債券較長期債券對於貨市變動的反應較為敏感。交互波動傳導效果而言,實證顯示股債市間之波動具顯著雙向傳導,而貨債市間僅貨市對債市存在顯著波動傳導,另外,貨市與股市間之交互波動傳導則不顯著。分析發現,債市波動對股市條件變異數具顯著影響,且以十年期債券之於股市的波動傳導最為明顯。
The paper follow a multivariate GJR GARCH-M model to examine the return and volatility transmission effect among Taiwan bond, stock and money Markets, as well as the investigation of these relationships among bonds in terms of different maturity. The main empirical findings are summarized as follows:. There exist significant positive two-way spillover effects between the returns of Taiwan bond and stock markets, as well as the ones between the returns of Taiwan bond and money markets. In details, according to the empirical results, the transmission effects of the returns from bond markets to stock markets are stronger than the opposite direction. Also, for the liquidity of bond concerned, 10-year bond market and stock market exists a strongest linkage. Moreover, we find the longer the maturity is, the weaker the spillover effects between bond and stock markets. As far as the transmission between money and stock markets, no significant results can be found.. In the respect to volatility, bond and stock markets has a two-way spillovers, and the volatility spillovers between 10-year bond and stock is also strongest. Besides, within money and bond markets, only volatility in money market has influence on bond market. As for different maturities, the unanticipated volatility in money market has the greatest effects on 10-year bond markets. Furthermore, asymmetric volatility effects merely exits within money and bond markets, as well as the transmission form 10-year bond market to stock market.
第一章 緒 論 1
第一節 研究動機 1
第二節 研究目的 9
第三節 研究限制 9
第四節 研究架構 10
第二章 相關理論與文獻回顧 12
第一節 股票市場與債券市場之傳導 12
第二節 貨幣市場與債券市場之傳導 15
第三節 股票市場與貨幣市場之傳導 23
第四節 匯率為影響金融市場之重要外生解釋變數 30
第三章 研究方法與模型設定 34
第一節 檢定方法 34
第二節 理論模型介紹 45
第三節 研究模型之設定 55
第四章 實證結果分析 59
第一節 資料處理與基本統計特性 59
第二節 檢定結果分析 68
第三節 實證結果與分析 73
第五章 結論與建議 91
第一節 結論 91
第二節 建議 93
參考文獻 94
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