跳到主要內容

臺灣博碩士論文加值系統

(3.235.174.99) 您好!臺灣時間:2021/07/24 20:09
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:周宜潔
研究生(外文):I-Chieh Chou
論文名稱:金融危機期間股市相關性研究-利用Copula檢視股市相關性
論文名稱(外文):A Study on the Comovement Among Developed Market and Emerged Market During Financial Crisis using Copula study
指導教授:蔡錦堂蔡錦堂引用關係
指導教授(外文):Jiin–Tarng Tsay
學位類別:碩士
校院名稱:國立臺北商業技術學院
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:2013
畢業學年度:101
語文別:中文
論文頁數:60
中文關鍵詞:相關性CopulaKendall's τ
外文關鍵詞:Correlation coefficientsCopulaKendall's τ
相關次數:
  • 被引用被引用:4
  • 點閱點閱:133
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本文研究金磚四國與已開發國家(美國、法國、德國、日本)股票股市在金融危機期間彼此之間的相關性,本文試著使用Copula函數建購評估在金融危機期間金磚四國與其他股票市場兩兩之間的相關係數,並且使用Mixture Copula、Person相關係數、Spearman相關係數以及Kendall’s τ去做更詳細的研究分析。結果顯示中國跟俄國與大多其他國家股市間的Pearson相關係數呈現低度相關,巴西跟印度與大多其他國家股市間的Pearson相關係數呈現中度相關,在限定極端事件下相關係數中國也是呈現低度相關大多低於0.3,表示在極端事件下相關性不大。但其他金磚四國的國家相關性呈現中度相關,表示在極端事件下相關性較高。研究結果顯示中國在市場呈現空頭市場時可以作為全球股市的避風港,而俄國、印度、巴西較不適合在在市場呈現空頭市場時投資。
This paper investigates the dependences between BRICs and the other developed stock markets During Financial Crisis, using a mixture copula specification. The result show that most of the countries exhibits a normal copulas pattern with the other countries. However, the correlation between BRICS and the developed counties are different. China has a low correlation coefficient with the developed countries, and Russian has a low correlation coefficient with the developed countries, but higher than China. Then Brazil and India have medium correlation coefficient for the developed countries. Under extreme events correlation coefficients showed low correlation for China, but the other BRICs correlation coefficients showed medium correlation.
That the Chinese stock market is the target market for global stock, then Russian, Birazil, and India are opposite.

論文中文摘要 I
論文英文摘要 II
謝詞 III
目錄 IV
表目錄 VI
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 4
第三節 研究流程 5
第二章 文獻探討 6
第一節 資產報酬間的相關性與分配 6
第二節 Copula相關文獻 8
第三章 研究方法 11
第一節 相依性 12
第二節 常態性檢定 16
第三節 Copula概念 17
第四節 Copula模型的估計方法 27
第五節 Kendall’s τ 30
第四章 模型建構與實證結果分析 32
第一節 資料描述 32
第二節 資料之統計分析 34
第三節 金磚四國與各國股市間Copula參數估計結果 44
第五章 結論與建議 55
研究結論與建議 55
參考文獻 56


廖四郎、李福慶.2005.擔保債權證之評價-Copula分析法.淡江大學管理科學所博士班論文.
郭憲忠.2003.國際股市之動態關聯.國際暨南國際企業所碩士論文.
江欣容.2003. 有限差分近似法在數量性狀基因座定位上最大概似估計值變異矩陣估算上之應用.國立台灣大學農藝學研究所碩士論文。
林勝宏.2004.國際股市關聯結構之研究-Copula模型之應用.國立台灣科技大學資訊管理所碩士論文.
林煌傑.2008.極端報酬下亞洲股市之蔓延效果:應用Copula 分析法.國立臺灣海洋大學應用經濟研究所碩士論文.
李美杏、丁聖祐. 2011. 關聯結構與最適投資組合-Copula 模型的應用. 統計與資訊評論:69-100.
王巧汝. 2012. 中國在全球股票市場中扮演的角色. 國立台北商業技術學院財務金融所碩士論文.
Abramowitz, M., and Stegun, I. A. 1972. Handbook of Mathematical Functions. Dover Publications,Inc., New York.
Ang, A., and Chen, J. 2002. Astmmetric Correlations of equity portfolios. Journal of Financial Economics, 63(3):443-494.
Chen, N., and Zhang, F. 1997. Correlations, Trades, and Stock Returns of the Pacific-Basin Markets. Pacific-Basin Finance Journal, 5(5): 559-557.
Clayton, D. G. 1978. A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika ,65(1):141-151.
Cook, R. D., and Johnson, M. E. 1981. A family of distributions for modeling non-elliptically symmetric multivariate data. Journal of the Royal Statistical Society Series B, 43(2):210-218.
Corhay, A., Rad, A. T., and Urbain, J. P. 1995. Long-Run Behavior of Pacific-Basin Stock Prices. Applied Financial Economics, 5(1):11-19.
Friedman, J., and Shachmurove, Y. 1997. Co-Movements of Major European Community Stock Markets: A Vector Autoregressive Analysis. Global Finance Journal, 8(2):257-277.
Genest, C., and Mackay, J. 1986. The Joy of Copulas:Bivariate Distributions with Uniform Marginals. The American Statistican, 40(4):280-283.
Genius, M. and Strazzera., E. 2008. Applying the Copula Approach to Sample Selection Modelling. Applied Economics, 40(11): 1443-1455.
Granger, C. W. J. 1969. Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 37(3):424-438.
Gruble, H. 1968. Internationally Diversified Portfolios: Welfare Gains and Capital Flows. American Economics Review, 58(5):1299-1314.
Gupta, R., and Mollik, A. T. 2008. Volatility, time varying correlation and international portfolio diversification: An empirical study of Australia and emerging markets. International Research Journal of Finance & Economics, 18:18-37.
Hsu, C. C., Tseng. C. P., and Wang, Y. H. 2008. Dynamic Hedging with Futures: A Copula-Based GARCH Model. Journal of Futures Markets. 28(11):1095-1116.
Hu, L. 2006. Dependence Patterns across Financial Markets: A Mixed Copula Approach. Applied Financial Economics, 16(10):717-729.
Hull, J., and White, A. 1993. Efficient procedures for valuing European and American path-dependent options. Journal of Derivative, 1(1):21-31.
Joe, H. 1997. Multivariate Model and Dependence Concepts. Monographs on Statistics andApplied Probability 73. Chapman and Hall, London.
Jondeau, E., and Rockinger, M. 2006. The copula-GARCH model of conditional dependencies: An international stock market application. Journal of International Money and Finance, 25(5):827-853.
Karolyi, G. A.,and Stulz, R. M. 1996. Why do markets move together? An investigation of U.S.-Japan stock return Co-movement. Journal of Finance, 51(3):951-986.
Lai, Y. H., and Tseng, J. C. 2010. The role of Chinese stock market in global stock markets: A safe haven or a hedge? International Review of Economics & Finance, 19(2): 211–218.
Li, D. X. 2000. On default correlation: A copula function approach. Journal of Fixed Income, 9:43-54.
Liu, Y. A., Pan., M. S., and Shieh, J. C. P. 1998. International Transmission of Stock Price Movement: Evidence from the U.S.and five Asian-Pacific Markets. Journal of Economics and Finance, 22(1):59-69.
Login, F. and Solnik, B. 1995. Is the correlation in international equity returns constant:1960-1990? Journal of International Money and Finance, 14(1):3-26.
Login, F. and Solnik, B. 2001. Extreme Correlation of international equity markets. Journal of Finance, 56(2):649-676.
Markowitz, H. 1952. Portfolio Selection. Journal of Finance, 7(1):77-91.
Mendes, B. 2005. Asymmetric Extreme Interdependence in Emerging Equity Markets. Applied Stochastic Models in Business and Industry, 21(6):483-498.
Meric, I. and Meric., G. 1997. Co-Movements of European Equity Markets Before and After the 1987 Crash. Multinational Finance Journal, 1(2):137-152.
Moskowitz, T. 2003. An analysis of covariance risk and pricing anomalies. Review of Financial Studies. 16(2):417-457.
Nelson, R. B. 1999. An introduction to copulas. Lectures Notes in Statistics, Springer Verlag, New York.
Oakes, D. 1989. Bivariate survival models induced by frailties. Journal of the American Statistical Association, 84(406):487-493.
Patton, A. J. 2004. On the out-of-sample importance of skewness and asymmetric dependence for asset allocation. Journal of Finance Economic, 2(1):130-168.
Patton, A. J. 2006. Modeling asymmetric exchange rate dependence. International Economic Review, 47(2):527-556.
Rodriguez, J.C. 2007. Measuring financial contagion: A copula approach. Journal of Empirical Finance, 14(3):401-423.
Sklar, A. 1959. Fonctions de répartition à n dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris, 8:229–231.
Thorp, S., and Milunovich, G. 2007. Symmetric versus asymmetric conditional covariance forecasts: Does it pay to switch. Journal of Financial Research, 30(3):355-377.
Tobin, J. 1958. Liquidity Preference as Behavior Towards Risk. Review of Economic Studies, 25(2):68-85.
Turgutlu, E. and Ucer, B. 2010. Is global diversification rational? Evidence from emerging equity markets through mixed copula approach. Applied Economics, 42(5):647-658.
Ouyang, Z., Liao , H., and Yang, X. 2009. Modeling dependence based on mixture copulas and its application in risk management. Applied Mathematics-A Journal of Chinese Universities, 24(4):393-401.

連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top