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研究生:余錦滄
研究生(外文):Yu Ching Tsang
論文名稱:次貸金融危機對全球風險高及低的國家股票指數報酬之影響
論文名稱(外文):The Impact Of The Sub-Prime Financial Crisis On Stock Index Returns For High And Low Risk Countries
指導教授:方 豪
指導教授(外文):Fang Hao
口試委員:李彥賢楊子儀
學位類別:碩士
校院名稱:華夏技術學院
系所名稱:資產與物業管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:67
中文關鍵詞:蔓延效果衝擊反應變異數分解因果檢測
外文關鍵詞:contagion effectimpulse responsevariance decompositioncausality test
相關次數:
  • 被引用被引用:2
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  • 下載下載:136
  • 收藏至我的研究室書目清單書目收藏:1
本研究嘗試以Longstaff(2008) VAR的研究架構,分別探討次貸金融危機前後,次級房貸為擔保的證券化商品ABX指數對代表信用風險和流動性風險的北美CDS指數與北美CDS指數對國家風險高及低的國家股市指數的蔓延效果、衝擊反應分析及變異數分解等現象。本研究實證顯示,在CDO及CDS市場之間於次貸金融危機初始期確實存在蔓延效果。並以VAR的研究架構發現低評級ABX指數報酬相較於高評級ABX指數報酬對於CDX_US指數有較強的衝擊反應、變異成份及蔓延效果。在因果檢測結果呈現CDX_US指數分別傳遞至國家風險高及低的股市;且由國家風險高的股市傳遞至國家風險低的股市。在次貸金融危機爆發期間CDX_US指數報酬對國家風險高的國家股市指數報酬相較於國家風險低的國家股票指數報酬之衝擊反應為明顯。並且,CDX_US指數報酬對國家風險高的國家股票指數報酬相較於國家風險低的國家股市指數報酬之變異成份為高。同時CDS及股票市場之間在次貸金融危機初始期確實存在蔓延效果。並且,在次貸危機初始期間CDX指數報酬對國家風險高國家股市指數報酬之蔓延效果更甚於其對國家風險低國家股市指數報酬。因此,各國家的金融主管機關可透過金融政策,以加強對低信評的CDO金融證券化商品之管理。而高風險國家的政府主管機關可透過各種經濟措施,以降低金融危機發生期間北美CDS市場對其股票市場之影響。
Based on the research structure of Longstaff (2008) VAR , this study attempted to discuss the impact of the ABX sub-prime mortgage index on North American CDS (Credit Risk) indexes and the impact of the North AmericanCDS indexes on the contagion effect of the stock index, Impulse Response Analysis and Variance Decomposition for high and low risk countries before and after the sub-prime financial crisis. The empirical research shows that a contagion effectexisted in between CDO and CDS markets at the initial stage of the sub-primefinancial crisis. Moreover, the VAR analysis indicates that the return of low rating ABX index has stronger impulse response, variance decomposition and contagion effect on CDX_US index comparing to the return of high rating ABX index. According to the causality test, the result shows that the CDX_US index has been delivered to the stock markets from high risk countries to low riskcountries. During the sub-prime financial crisis, the CDX_US return has a moresignificant impulse response on the stock index returns of high risk countriescomparing to the low risk countries. Besides, the CDX_US index return has a higher variance on the stock index returns of higher risk countries than lower risk countries. In the meantime, there was a contagion effect between CDS and stock market at the initial stage of the sub-prime financial crisis. In addition, the CDX index return has a better contagion effect on the stock index returns of the high risk countries than low risk countries. Indeed, the finance department ofeach government can enhance the management of the low rating CDO products through financial policies. However, the government authorities of the high risk countries can reduce the impact of the North American CDS market on the stock market during the financial crisis through various economic measures.
目錄
圖目錄
表目錄
第一章 緒論
1.1 研究背景與動機
1.2 研究問題與目的
1.3 研究架構流程
第二章 文獻回顧
2.1 次級房貸金融危機
2.2 次貸危機相關文獻
2.3 ABX指數與CDX_US指數的關係
2.4 CDX_US指數與股市指數的關係
2.5 蔓延效果
2.6 國家風險變數
2.6.1 財政赤字
2.6.2 海外直接投資
2.6.3外債狀況
2.6.4 貨幣供給量( M 2 )
第三章 研究方法
3.1 資料期間及研究變數
3.1.1 資料期間
3.1.2 ABX指數
3.1.3 CDX_US指數
3.1.4 國家風險高與國家風險低各七個國家的股市指數
3.2向量自我迴歸模型-因果檢測、衝擊反應分析及變異數分解
3.2.1 衝擊反應分析
3.2.2 預測誤差變易分解
3.3 VAR架構下檢測蔓延效果
第四章 實證結果
4.1 CDX_US指數對國家風險高及低的國家股市指數報酬之因果檢測
4.2衝擊反應實證結果
4.2.1 各評級ABX指數對CDX_US指數報酬之衝擊反應分析
4.2.2 CDX_US指數對國家風險高的七個國家股票指數報酬之衝擊反應分析
4.2.3 CDX_US指數對國家風險低的七個國家股票指數報酬之衝擊反應分析
4.2.4 CDX_US指數對國家風險高及低的七個國家股票指數報酬之衝擊反應結論
4.3變異數分解實證結果
4.3.1 各評級ABX指數對CDX_US指數之變異數分解
4.3.2 CDX_US指數對國家風險高與低的國家股市指數報酬之變異數分解
4.4蔓延效果
第五章 結論與意涵
5.1 結論
5.2 意涵
参考文獻
英文文獻
中文文獻
附錄
附錄1次貸危機期間-發展期各評級ABX指數對CDX_US指數之衝擊反應結果
附錄2次貸危機期間-爆發期各評級ABX指數對CDX_US指數之衝擊反應結果
附錄3次貸危機前與發展期CDX_US指數對國家風險高的七個國家股票指數報酬之衝擊反應結果
附錄4次貸危機前與爆發期CDX_US指數對國家風險高的七個國家股票指數報酬之衝擊反應結果
附錄5次貸危機前與發展期CDX_US指數對國家風險低的七個國家股票指數報酬之衝擊反應結果
附錄6次貸危機前與爆發期CDX_US指數對國家風險低的七個國家股票指數報酬之衝擊反應結果

英文部分
1.Ali M.Kutan(2007),”Contagion or Real Linkage Some Evidence from China’s Emerging Parallel Markets,”China & World Economy, Vol.15,pp52-65
2.Atif, Main and Amir ,Sufi (2008), ‘The Consquence of mortgage credit expancion: Evidence frome the 2007 mortgage default crisis’, Working paper.
3.Bernstein, Edward M.(1989),”Final report of the Working Party on the Statistical discrepancy in world current account balances(Book Review), “Journal of Economic Literature, Jun89, Vol. 27 Issue 2, pp637
4.Borio, C.( 2008), “The financial turmoil of 2007: a preliminary assessment and some policy considerations,” BIS Working Paper 251.
5.Buiter, W. (2007), “Lessons from the 2007 Financial Crisis,” CEPR, Policy Insight ,18
6.Chomisisengphet, S. and A. Pennington-Cross.( 2006), “The Evolution of the Subprime Mortgage Market,” Federal Reserve Bank of St. Louis Review, January/February, 88(1):31-56.
7.Connolly,Michael B.;Taylor,Dean(1984),.”The Exact Timing of the Collapse of an Exchange Rate Regime and Its Impact on the Relative Price of Traded Goods,” Journal of Money, Credit & Banking, Vol. 16 Issue 2, pp194-207
8.De Gregorio,Jose and Rodrigo O. Waldés( 2002),”Crisis transmission: Evidence from the debt Tequila, and Asian flue crisis,”mimeo,Santiago:University of Chile.
9.Dell’Ariccia, Giovanni, Deniz Igan and Luc Laeven(2008), “Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market, “CEPR Discussion Paper No. 6683, London, UK: CEPR.
10.Desai, Mihir A.,Foley, C. Frits and Hines, James, R.(2005), “Foreign Direct Investment and Domestic Economic Activity,”,Ross School of Business Paper , 1020.
11.Doms, M.F,Furlong and J. Krainer(2007), “Subprime Mortgage Delinquency Rates,” Working Paper.
12.Fender, I. N. ,Tarashev, H. Zhu ( 2008), “Credit fundamentals, ratings and Value-at-Risk: CDOs versus corporate exposures,” Bank of International Settlements Quarterly Review.
13.Flood, Robert P.; Garber, Peter M.; Scott, Louis O.(1984),”Multi-country tests for price level bubbles,” Journal of Economic Dynamics & Control, Vol. 8 Issue 3, pp329
14.Forbes,K.J.,Rigobon,R(2002),”No contagion,only interdependence: Measuring stock market co-movement,”Journal of Finance,23(3),405-459
15.Francis A.Longstaff,Saniay Mithal,Eric Neis(2003),”The Credit-Default Swap Market:In Credit Protection Priced Correctly,”Working Paper.
16.Francis A.Longstaff (2008), “The subprime credit crisis and contagion in financial markets,” Working Paper.
17.Haibin Zhu(2004),”An empirical comparison of credit spreads between the bond market and the credit default swap market,”BIS Working Paper,No 160.
18.Hans Bystrom(2006),”CreditGrades and the iTraxx CDS Index Market,”Fiancial Analysts Journal
19.Kaminsky, Graciela L.; Reinhart, Carmen M.; Vegh, Carlos A. (2003),”The Unholy Trinity of Financial Contagion,”Journal of Economic Perspectives, Vol. 17 Issue 4, pp51-74,
20.Kim,Yoonbai and Ying,Yung-Hsiang(2007),”An empirical assessment of currency devaluation in EastAsian countries,”Journal of International Money and Finance,26,pp265-283
21.Krugman, Paul(1978),” A model of balance-of-payments crises,” Journal of Money, redit & Banking, Vol. 11 Issue 3, p311-325
22.Lars Norden,Martin Weber(2004),”Informational efficiency of credit default swap and stock market:The impact of credit rating announcements,”Journal of Banking & Finance 28,pp2813-2843.
23.Mardi D.(2008),”The Tsunami:measures of contagion in the 2007-2008 credit crunch,”CESifo forum
24.Markwat, Erik Kole, Dick van Dijk (2009),”Contagion as a domino effect in global stock markets, “ Journal of Banking & Finance 33
25.Marsha, J. Courchane and Brian, J. Surette and Peter, M. Zorn (2004), “Subprime Borrowers: Mortgage Transitions and Outcomes,” The Journal of Real Estate Finance and Economics, 29, pp365-392
26.Radelet, Steven; Sachs, Jeffrey D.(1998), “The East Asian Fianacial Crisis : Diagnosis,Remedies,Prospects,” Brookings Papers on Economic Activity, Issue 1, pp1-90
27.Roberto Blanco,Simon Brennan,Jan W.Marsh(2005),”An Wmpirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps,”The journal of Finance.Vol.Lx,No.5.
28.Tai,Chu-Sheng(2007),”Market intergration and contagion Evidence form Asian emerging stock and foreign exchange markets,”Emerging Markets Review,xx,1-20
29.Tatiana and Paolo, Sergio(2006),”Vanishing financial contagion,”Journal of Policy Modeling

中文部分
1.繆燕鴦(2002),「亞太地區貨幣政策與股市報酬之關聯性分析」中央大學碩士論文。
2.丁克華,「從全球金融海嘯看我國設立亞太金融中心之省思」證券櫃檯No.139。
3.王冠閔(2003),「金融危機期間股票市場的蔓延、外溢效果及自由化對新興市場的影響」中正大學博士論文。
4.朱容徵(2008),「美國次級房貸對全球化經濟的影響」正修學報第21期。
5.何棟欽(2008),「CDS情報內涵及其與金融危機關係」今日合庫。
6.陳伯松,「金融海嘯中的金融商品:CDOs與CDSs」證券櫃檯No.139。
7.陳怡璇、梁嘉芳(2008),「信用違約交換與股票的動態共變性之實證研究:以日本市場為例」財金論文叢刊第九期。

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