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研究生:黃莉鈞
研究生(外文):Li-Chun Huang
論文名稱:通貨貶值對股市報酬之衝擊反應:採DTGARCH模型
論文名稱(外文):Dynamic Effect of Currency Depreciation on Stock Market Return:A DTGARCH Approach
指導教授:楊永列楊永列引用關係
指導教授(外文):Yeong-Leih Yang
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:英文
論文頁數:32
中文關鍵詞:門檻值雙門檻GARCH不對稱股票市場
外文關鍵詞:threshold valueDTGARCHasymmetrystock market
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當前金融市場的國際化,貨幣貶值影響股票價格。本文在股市報酬運用四區間雙門檻GARCH (Double Threshold GARCH)模型實證五國市場當地每日貨幣貶值的作用。本文我們探討此五國家股票報酬,是否存在股市訊息和外匯訊息之線性和非線性模型的不對稱反應,我們介紹四區間DTGARCH模型, 允許不對稱訊息同時存在於條件方程式及變異數方程式,並採用二門檻變數探討股市是否會因為正負面消息不同而引起股匯市有不同反應。經由四區間DTGARCH模型實證, 這項研究發現股市和外匯市場之間的訊息交互作用導致股票報酬和波動有不對稱的反應。實證結果並表示,股市上投資的國際資金管理人必須評估本國貨幣的價值和波動性作為他們的股市投資決定的部分。
The current international integration of financial markets provides a channel for currency depreciation to affect stock prices. This paper applies a four regimes double threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects of daily currency depreciation on stock market returns for five stock market returns. In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five markets to their stock market news and foreign exchange news linear and nonlinear models. We introduce a four-regime 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 (positive / negative news) generated from the stock markets and the foreign exchange market. By applying the four-regime DTGARCH model, this study finds that the interaction between the information of stock market and foreign exchange markets leads to the asymmetric reactions of stock returns and their variability. The empirical results show that international fund managers who invest in the newly emerging stock market must evaluate the value and stability of the domestic currency as a part of their stock market investment decisions.
1 Introduction 1
2 Research Design 6
2.1 Symmetric Heteroscedastic Models 6
2.2 Asymmetric Heteroscedastic Models 6
2.3 The Estimation of Threshold Values 8
3 Research Data 10
4 Empirical Results 14
4.1 Symmetric Heteroscedastic Models 14
4.2 Asymmetric Heteroscedastic Models:
Two-Regime DTGARCH Models 15
4.3 Asymmetric Heteroscedastic Models:
Four-Regime DTGARCH Models 16
5 Conclusion 18

References 19
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Zakoian, J.-M., (1994), Threshold heteroskedastic models, Journal of Economic Dynamics and Control, 18, 931-944.
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