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研究生:羅懷均
研究生(外文):Huai-Juan Lo
論文名稱:國際股票市場對本國與美國股市交互訊息組合之不對稱回應
論文名稱(外文):Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News
指導教授:陳婉淑楊明晶楊明晶引用關係
指導教授(外文):Cathy W.S. ChenMing Jing Yang
學位類別:碩士
校院名稱:逢甲大學
系所名稱:財務金融學所
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:2004
畢業學年度:92
語文別:英文
論文頁數:32
中文關鍵詞:國際股市關聯性資訊不對稱性雙門檻GARCH模型
外文關鍵詞:Double-Threshold GARCH ModelInternational Market LinkageInformation Asymmetry
相關次數:
  • 被引用被引用:1
  • 點閱點閱:172
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  • 下載下載:0
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摘要

本文經由線性和非線性模式研究全球五個主要股票市場對於本國資訊和美國資訊的不對稱回應。本文提出一個四區間(regimes)的雙門檻(Double-Threshold) GARCH模型,可藉由兩個門檻變數同時存在於均數方程式及波動函數中,來探討本國與美國股市正負不同的訊息組合對於各國股市的影響,特別是此訊息組合對股市預期報酬率和波動性的影響。實證結果發現,本國或美國股市負面訊息不論是對本國報酬率或波動性的影響力皆大於正面訊息。在股票報酬率上,美國股市訊息的影響力大於本國股市訊息,而以往對金融市場的研究經常發現各國股市報酬率具有正向自我相關,但事實上這或許是由於該國對美國訊息的正向回應所造成的;而在波動性上,只要本國或美國有負面訊息時,本國波動函數的持續性將會較高,且當美國及本國股市皆有負面訊息時,本國波動性會增加,但當美國與本國訊息不一致時,波動性將會較為降低。
Abstract

In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the conditional mean and variance equations simultaneously by employing two threshold variables, to analyze the stock markets’ reactions to different types of information (good/bad news) generated from the domestic markets and the US stock market. By applying the four-regime DTGARCH model, this study finds that the interaction between the information of domestic and US stock markets leads to the asymmetric reactions of stock returns and their variability. In addition, this research also finds that the positive autocorrelation reported in the previous studies of financial markets may in fact be mis-specified, and actually due to the local market’s positive response to the US stock market.
TABLE OF CONTENTS

List of Tables……..………...…………………………………………………………v
List of Figures …...……….…………………………………………………………..vi
1. Introduction ..……………………………………………………………………1
2. Research Design ……………………………………………………………….. 5
2.1 Symmetric Heteroscedastic Models ………………………………………...5
2.2 Asymmetric Heteroscedastic Models: Two-Regime DTGARCH Models….6
2.3 Asymmetric Heteroscedastic Models: Four-Regime DTGARCH Model…...7
2.4 The Estimation of Threshold Values ……………………...………..…….8
2.5 Parameter Estimation of DTGARCH Model ……..………….………….....9
2.6 Diagnostic Model Checking ………..…………………...……….………..10
3. Research Data …………………………………………………………………..11
4. Empirical Results ………………………………………………………………12
4.1 Symmetric Heteroscedastic Models ………………………………………12
4.2 Asymmetric Heteroscedastic Models: Two-Regime DTGARCH Models ..13
4.3 Asymmetric Heteroscedastic Models: Four-Regime DTGARCH Model ...15
5. Conclusion ……………………………………………………………………...19
References ……………………………………….…..……………………………...20
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