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研究生:李麗雯
研究生(外文):Lee, Liwen
論文名稱:金融指標對於歐洲五國股市之影響
論文名稱(外文):The Effect of Financial Indicators on Stock Markets: Evidence from Five European Countries
指導教授:王凱立王凱立引用關係
指導教授(外文):Wang, Kaili
口試委員:林江峰魏清圳蔡政言徐啟升
口試委員(外文):Lin, ChiangfengWei, ChingchunTsai, JengyanHsu, Chisheng
口試日期:2012-07-17
學位類別:碩士
校院名稱:東海大學
系所名稱:管理碩士在職專班
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:2012
畢業學年度:100
語文別:中文
論文頁數:46
中文關鍵詞:歐豬五國信用違約交換市場恐慌指數VAR模型迴歸分析模型
外文關鍵詞:PIIGSVIXCredit Default SwapsVAR modelRegression Analysis
相關次數:
  • 被引用被引用:4
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  • 下載下載:5
  • 收藏至我的研究室書目清單書目收藏:1
本文針對近期歐洲主權債務危機事件國家:包括葡萄牙(Portugal)、愛爾蘭(Ireland)、義大利(Italy)、希臘(Greece)和西班牙(Spain),簡稱歐豬五國(PIIGS)之股票市場為探討,透過觀察歐洲股市的主要金融指標:歐元、恐慌指數、公債殖利率和信用違約交換等變數,瞭解其對債務危機國家股市的影響。本文利用共整合分析,因果檢定,向量自我迴歸模型(VAR)與迴歸模型等實證方法探討其間關聯性,研究期間並進一步依市場結構衝擊因素分為次級房貸、歐債風暴及全期等三個研究階段,分析各金融指標於這些研究期間及各國間的差異。實證研究結論發現,金融指標影響程度在債務危機國家各種市場結構期間下均存在影響性,同時在次級房貸及歐債風暴期間,對各國股票指數報酬影響具明顯增強的現象;此外,匯率與恐慌指數於各期間對各國股市影響為最大負向衝擊主要來源,尤其歐元弱勢時期與投資人恐慌指數上揚時期將造成股價大幅下跌;公債殖利率則是在歐債危機期間相對較具影響,同時在主權債務嚴重的國家則存在高度影響,其將增加股市報酬變動之敏感性;信用違約交換則對各國多呈現顯著負向估計,說明造成信用違約交換價格上揚時期,投資人對於出現市場悲觀而提高風險貼水的需求,因而導致股價下跌。整體而言,本文結果印證上述金融指標對於金融風暴期間國家股市的顯著解釋能力,建議投資人可參考相關金融指標作為風暴時期投資決策的參考。
This study attempts to analyze the influence of the variables of euro exchange rate, volatility index, ten-year bond yields, credit default swaps on the stock market of PIIGS, including Portugal, Ireland, Italy, Greece and Spain. By applying the cointergration test, Granger causality test, Vector Autoregression (VAR) model, the interrelationship among these variables are investigated. Taking the structural break into account, the research period is divided into three phases, i.e., the U.S. subprime mortgage crisis, the euro zone debt crisis and the whole sample period, so that we can examine the influence of the various financial indicators across different periods and different markets. The empirical findings indicate the financial indicators do exert influence on the national stock index returns in different sample phases, especially pronounced during the two crisis periods. Secondly, in terms of nations, the most influential country is Greece, followed by Spain and the lowest is Ireland. Furthermore, when comparing the influence of the different financial indicators, the major negative shocks on national stock market are accounted for by the exchange rate and volatility index; Bond yields plays a big role during the euro zone debt crisis and in the country with serious sovereign debt, which increases the sensitivity of the stock return change; Credit default swaps are generally detected to be negatively correlated to the stock return across the examined countries, which indicate the increase in the price of the former would lead to the downward trend of the stock price since the investors would require a higher risk premium due to the bearish sentiment. Overall, this study highlights the significance of financial indicators in accounting for the national stock market return during financial crises, which implies these relevant financial indicators could be regarded as a reference for the decision making of investment during the period of financial crises.
目 次 iv
表 次 vi
圖 次 vii
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 研究流程 5
第二章 文獻回顧 6
第一節 歐元匯率 6
第二節 VIX波動率指數(投資人恐慌指數) 7
第三節 公債殖利率 8
第四節信用違約交換 9
第三章 研究方法與模型設定 11
第一節 研究方法 11
第二節 多元線性迴歸 15
第一節 資料來源 17
第二節 ADF單根檢定 21
第三節 敘述統計量 23
第四節 相關係數 24
第五節 Johansen共整合檢定 26
第六節 向量自我迴歸模型(VAR) 27
第七節 Granger因果關係檢定 29
第八節 迴歸分析 33
第五章 結論與建議 40
第一節 結論 40
第二節 建議 41
參考文獻 42
附錄一 46
附錄二 46

一、國內文獻
吳宗隆 (2003),「歐元匯率與美元匯率波動對台灣股市報酬影響之研究」,私立南華大學財務管理研究所碩士論文。
林郁文 (2009),「VIX、商品價格、貨幣指數與股價之動態性關聯分析-以金磚四國為例」,私立銘傳大學經濟系在職專班碩士論文。
林理揚 (2010),「股票市場、選擇權市場與信用違約交換市場相關性研究」,國立台灣大學國際企業研究所碩士論文。
張焯然 (2011),「CDS與股票二報酬連動-另一種避險策略的選擇」,國立清華大學計量財務金融系碩士論文。
莊文智 (2011),「歐元區PIIGS五國主權債務危機與金融市場發展之探討」,私立實踐大學財務金融與保險研究所碩士論文。
黃伯乙 (2004),「歐元匯價與歐洲主要國家股價指數之關連性研究」,私立長庚大學企業管理研究所碩士論文。
黃姿穎 (2009),「油價、金價、匯率與國際股市之關聯性研究」,私立義守大學財務金融碩士班。
廖維苡 (2008),「股票與債券報酬相關性之研究-以DCCX模型為研究方法」,國立交通大學經營管理研究所碩士論文。
鄭安婷 (2009),「VIX指數之動態相關性與預測能力研究」,國立交通大學管理科學系碩士論文。
鍾展弘 (2011),「VIX、CDS與TED 價差對股票市場的影響」,私立世新大學財務金融學系碩士論文。
聶建中、李文傳與洪榆雲,(2004),「金融風暴前後對先進國家之股匯市連動關係變化影響」,中華管理學報,第5卷第2期,頁19~35。
顏至宏 (2012),「觀察歐債危機演變的風險因素」,信報-解牛集,香港科大商學財務系客座教授。
蘇珍(2002),「公債殖利率、利率與股價指數互動關係之研究」,國立台北大學企業管理學系碩士論文。

二、國外文獻
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