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研究生:葉忠達
研究生(外文):Jung-Da Yeh
論文名稱:台灣股債共移的決定因素
論文名稱(外文):Determinants of Comovements in the Domestic Stock and Bond Markets
指導教授:林卓民林卓民引用關係
指導教授(外文):Cho-Min Lin
學位類別:碩士
校院名稱:嶺東科技大學
系所名稱:財務金融研究所
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:2006
畢業學年度:94
語文別:中文
論文頁數:46
中文關鍵詞:MNLN共移性政治事件區域與全球影響因子亞洲金融風暴
外文關鍵詞:Multinomial logit modelCo-movementPolitical shocksGlobal and/or region effectsAsian financial crisis
相關次數:
  • 被引用被引用:5
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  • 下載下載:80
  • 收藏至我的研究室書目清單書目收藏:1
本文為國內首度使用多元名義分對數模型 ( Multinomial Logit Model, MNLM ) 分析國內股債市共移性的文章。本文採用MNLM將股債共移性分為 (I) 股債同跌 (II) 股漲債跌 (III) 股跌債漲 (IV) 股債同漲四類,實證分析1992年至2005年 ( 日資料 ) 台灣股債市場共移性的影響因子。再者,本文同時使用間距改變和區域影響分析以彌補先前研究分析之不足。另外,不同於之前的研究只著重於統計顯著性的分析,本文分析同時針對統計顯著性及經濟顯著性的影響因子加以分析。實證結果顯示,台股報酬率波動、台美匯率變動率、隔夜拆款利率、亞洲金融風暴、美國股票報酬及金融風暴後日經股票報酬均對台灣股債共移性具顯著性影響。
This study uses the multinomial logit model (MNLM) in which co-movements are categorized into four types, namely, (1) negative co-movements, (2) positive co-movements, (3) stock returns rise and bond yield fall, and (4) stock returns fall and bond yield rise, with the purpose of the empirical analysis being to investigate the economic determinants that affect the comovement relationships between the stock and bond markets using daily data covering the period from 1992 to 2005. Furthermore, this study also adopts discrete change and odds ratio analysis to make up for the explanatory shortcomings of the MNLM model as applied in earlier studies. In addition, this study differs from earlier studies that only emphasized the analysis of statistical significance in that it attaches importance to analyzing both the statistical and economic significance of the factors affecting co-movements. The empirical results indicate that the volatility of Taiwanese stock market returns, the rate of change in the exchange rate (Taiwan-U.S.), interest rate, Asian financial crisis, and region effect are important factors that affect co-movement between stock and bond markets.
第一章 緒論……………………………………………………………………1
第一節 研究背景與動機………………………………………………………1
第二節 研究目的………………………………………………………………4
第三節 研究限制………………………………………………………………4
第四節 研究架構………………………………………………………………4

第二章 相關理論與文獻回顧…………………………………………………6
第一節 股票市場與債券市場之關聯性………………………………………6
第二節 匯率對股價市場之影響………………………………………………10
第三節 利率對股票市場之影響………………………………………………13
第四節 利率對債券市場之影響………………………………………………16
第五節 危機事件影響…………………………………………………………19

第三章 研究方法與模型設定…………………………………………………22
第一節 MNLM實證模型…………………………………………………………22
第二節 估計方法………………………………………………………………25
第三節 檢定方法………………………………………………………………25
第四節 模型變數定義…………………………………………………………26
第五節 研究對象及資料來源…………………………………………………28

第四章 實證結果分析…………………………………………………………33
第一節 敘述統計資料結果……………………………………………………33
第二節 MNLM統計結果…………………………………………………………34
第三節 交叉分析結果…………………………………………………………38
第五章 結論與建議……………………………………………………………39
參考文獻……………………………………………………………………………42
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