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研究生:吳哲儒
研究生(外文):Che-Ru Wu
論文名稱:股價報酬與匯率變動間波動不對稱影響分析
論文名稱(外文):The Study of Asymmetric Volatility Spillovers Between Stock Return and Exchange Rate Changes
指導教授:何祖平何祖平引用關係
指導教授(外文):Tzu-Ping Ho
學位類別:碩士
校院名稱:銘傳大學
系所名稱:國際企業學系碩士班
學門:商業及管理學門
學類:企業管理學類
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:82
中文關鍵詞:次貸風暴股價指數匯率指數波動外溢效果不對稱GARCH模型
外文關鍵詞:Volatility Spillover EffectAsymmetric GARCH ModelForeign Exchange RateStock Price IndexSubprime Mortgage Financial Crisis
相關次數:
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本文以美國以及東亞四國為樣本,包含台灣、日本、韓國以及新加坡。主要研究美、台、日、韓以及新加坡五國間股票市場和匯率市場在美國次級房貸前後期波動不對稱性外溢的傳遞效果影響,進而得知重大事件發生後,投資人所承受的系統性風險是否有增加?本文的研究資料選取五國匯率以及股價指數,研究期間從2007/1/1至2010/1/30,分成兩個子期間來探討,分別為金融風暴前風暴後。研究方法分成兩個階段,第一階段先檢視美國、日本、韓國、新加坡以及台灣等五個國家等股票報酬變異數以及匯率報酬的變異數是否存在波動不對稱現象,即負的報酬所帶來的變異量是否會高於正的報酬所帶來的變異量。第二階段則是檢視各國股匯市的條件變異數,在金融風暴前後期波動傳遞的效果,是否有所不同。實證結果發現,在研究的五國內,無論是股票市場或是匯率市場的條件變異數,負報酬所帶來的波動確實大於正報酬帶來的波動,且在金融風暴發生後,此波動還具有外溢效果,顯示股市與匯市相互影響效果,在金融風暴後比金融風暴前還明顯。
This paper investigates the volatility spillover effect between exchange rate and stock price index of five major asia market, which include Taiwan, Japan, South Korea, Singapore and American, in American subprime mortgage financial crisis at 2007. In order to know whether investor bear more systematic risk during financial crisis. Our research period start form 2007/01/01 to 2010/1/30. We divide our research period into two sub-period, which are before-the-crisis and after-the-crisis. First step we investigate the conditional variance of stock return and exchange rate change in the five country whether or not have an volatility asymmetric phenomenon. The second step is to investigate the difference of stock return and exchange rate change conditional variance spillover effect between before-the-crisis and after-the-crisis. The finding indicate that there do have volatility asymmetric phenomenon between stock return and exchange rate change, and after financial crisis happened, the volatility have significant spillover effect more than before-the-crisis period.
目錄
頁次
誌謝 I
中文摘要 II
英文摘要 III
目錄 IV
表目錄 VI
圖目錄 VII
第壹章 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 研究方法與步驟 5
3.1 研究方法 5
3.2 研究步驟 5
3.3 研究結果 6
第貳章 文獻探討 8
第一節、匯率對股價的影響 8
1.1 匯率和股價的相關性 8
1.2匯率變動和股價變動的相關性 9
第二節、匯率對股價波動的影響 12
2.1 匯率波動率對股票價格的影響 12
2.2 匯率波動率對投資組合報酬的影響 14
第三節、匯率對股價波動的不對稱影響 16
3.1 亞洲金融風暴對股票報酬波動率及匯率波動率的影響 17
3.2 重大事件對股票報酬波動率及匯率波動率的影響 20
第參章 研究方法 22
第一節 研究模型設定 22
第二節 資料選取與說明 25
2.1 研究對象與研究期間 25
第三節 實証模型推演與檢定 27
3.1 條件變異數的線性迴歸模型 27
3.2 條件變異數模型 28
3.3 不對稱波動的GARCH模型 31
3.4 實證模型 32
第四節 時間序列資料檢定 36
4.1 資料性檢定 36
4.2 診斷性檢定 39
第四章 實證結果與分析 42
第一節 研究資料特性與敘述性統計 42
第二節 資料檢定分析 50
2.1 資料定態檢定 50
2.2 實證模型診斷性檢定 54
第三節 股匯市之間不對稱的波動傳遞效果 59
第五章 結論與建議 67
第一節 結論 67
第二節 建議 69
參考文獻 70
一、書籍部份
1.楊奕農(2009)。時間序列分析 (二版),台北:雙葉書廊有限公司。

二、中文部份
1.何祖平 (1991),多元自迴歸條件異質變異數模型:國際主要貨幣關聯性之研究,國立政治大學國際貿易研究所未發表碩士論文。
2.李碧純 (1997),亞洲各國股匯市波動之傳遞效果-金融風暴前後之探討,國立中央大學財務管理研究所未發表碩士論文。
3.汪曉雯 (2000),美國與台灣股市外溢效果之研究-金融風暴前後之探討,淡江大學國際貿易國際企業所未發表碩士論文。
4.林基煌、徐政義 (2004),東亞地區新興市場匯率與股價指數之關係-金融風暴前後的實證分析。中華管理學報,第五卷第一期,23-29頁。
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6.蔡佳宏 (1998),台灣股市與匯率間報酬波動性外溢效果-GARCH及GMM之應用,國立政治大學企業管理研究所未發表碩士論文。

三、英文部份
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