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研究生:廖貫捷
研究生(外文):Kuan-Chieh Liao
論文名稱:亞太地區股票市場及美元遠期外匯市場間的訊息傳遞及波動外溢效果
指導教授:黃柏農黃柏農引用關係
指導教授(外文):Bwo-Nung Huang
學位類別:碩士
校院名稱:國立中正大學
系所名稱:國際經濟所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:113
中文關鍵詞:波動外溢訊息傳遞BEKK-GARCH遠期外匯
外文關鍵詞:spillover effectBEKK-GARCHforward exchange rate
相關次數:
  • 被引用被引用:2
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本文主要目的在探討亞太地區各國股市,以及遠期外匯市場間的波動外溢以及訊息傳遞的現象。以亞太地區各國南韓、日本、印尼、菲律賓、馬來西亞、新加坡、泰國、台灣1996年12月31日到2005年12月31日的日資料加以分析。並以雙變量BEKK-GARCH模型估計。實證結果顯示,在股市以及遠期外匯市場間普遍存在波動外溢,以及訊息傳遞效果。若更進一步將區間細分為金融風暴前、跟金融風暴後,我們發現金融風暴後遠期外匯市場單向波動外溢至股市,顯示在波動外溢部分,遠匯市場單向領先股市。但是若以考慮風險溢酬的模型估計,則並不會得到此結果。顯示風險溢酬的存在,可能影響遠期外匯市場以及股市的領先落後關係。
This paper apply the BEKK-GARCH model to investigates whether the volatility of stock returns is affected by the volatility of forward exchange rate changes for eight Asian countries, namely Indonesia, Japan, Korea, Malaysia, Philippine, Singapore, Taiwan, and Thailand. These findings suggest that there are volatility spillover and information transmission effect between stock and forward exchange rate markets. Futhermore, in sub-period analysis we find that in the post crisis sample forward exchange rate market leads stock market in volatility. However, when risk premium is considered, the result is changed. It shows the existence of risk premium may affect the lead-lag relationship between forward exchange rate market and stock market.
目錄

第一章 緒論……………………………………………………………………….1
第一節 研究動機……………………………………………………………....1
第二節 研究目的……………………………………………………………2
第三節 研究架構……………………………………………………………2

第二章 文獻回顧……………………………………………………………....4
第一節 理論基礎……………………………………………………………4
第二節 股價報酬和匯率相關文獻回顧……………………………..…..7
第三節 即期外匯和遠期外匯相關文獻回顧…………………………….11
第四節 國內文獻………………………………………………………….12

第三章 模型估計與檢定之相關方法………………………………………...17
第一節 計量模型介紹…………………………………………………….17
第二節 檢定方法介紹…………………………………………………….23

第四章 實證結果分析………………………………………………………...26
第一節 資料描述………………………………………………………….26
第二節 敘述統計………………………………………………………….27
第三節 單根檢定………………………………………………………….33
第四節 模型架構………………………………………………………….33
第五節 實證結果分析…………………………………………………….39
第六節 亞洲金融風暴前、中、後比較………………………………….47
第七節 動態條件相關係數……………………………………………….59

第五章 結論與未來研究方向………………………………………………...62

參考文獻………………………………………………………………………....64
一、中文部分

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林俊安(1998),「亞洲風暴中亞太國家匯率變動率對股市波及效果之網狀GARCH研究」,國立臺灣大學財務金融學研究所碩士論文。

曾瓊滿(1998),「新台幣NDF對新台幣即期匯價與波動性影響之實證研究」,國立臺灣大學財務金融學研究所碩士論文。

蔡佳宏(1998),「台灣股市與匯市間報酬及波動性之外溢效果─GARCH及GMM之應用」,國立政治大學企業管理學研究所碩士論文。

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吳慧雅(2000),「無本金交割遠期外匯與即期外匯市場之相關性分析」,私立義守大學管理科學研究所碩士論文。

廖育成 (2000),「即期匯率與遠期匯率間關聯性探討」,淡江大學財務金融學研究所碩士論文。


李健溢(2001),「亞洲金融危機期間通貨貶值對股票報酬的動態效果」,私立逢甲大學經濟學研究所碩士論文。

殷惠緡(2001),「股價與匯價關聯性分析---多變量GARCH模式運用」,私立淡江大學財務金融學研究所碩士論文。

林宇文(2003),「股價匯價利率傳遞效果之分析---多變量VAR-EGARCH的應用」,私立逢甲大學經濟學研究所碩士論文。

高志宏(2003),「台灣、日本、南韓股匯市與美國股市相關性之實證研究-GARCH-M模式之應用」,私立東吳大學經濟學研究所碩士論文。

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