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研究生:林曉惠
研究生(外文):Line,Shiao-Hui
論文名稱:歐元匯率及英鎊匯率對台灣加權股價指數報酬與風險傳遞效果之研究
論文名稱(外文):Return and Risk Transmission Effect from EURO Dollar and Pound Exchange Rate to Taiwan Stock Market
指導教授:歐益昌
口試委員:楊永列陳振銘
口試日期:2016-05-30
學位類別:碩士
校院名稱:嶺東科技大學
系所名稱:財務金融系碩士班
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:2016
畢業學年度:104
語文別:中文
論文頁數:32
中文關鍵詞:歐元英鎊匯率風險台灣股市報酬GARCH模型
外文關鍵詞:EURO DollarPound Exchange RateTaiwan Stock MarketGARCH Model
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本研究利用GARCH模型,探討自2010年至2016年,歐元及英鎊匯率波動對台灣加權股價指數之股票現貨市場大盤指數報酬風險的傳遞分析。實證結果台灣加權股價指數受歐元及英鎊匯率前一天報酬為負向統計顯著效果;歐元前一天報酬效果為-0.196程度大於英鎊為-0.281。
The study adopted GARCH model to investigate the return and risk transmission effect of EURO Dollar and Pound Exchange Rate to Taiwan Stock Market, in the period of 2010 to 2016. The empirical results indicate the return of EURO Dollar and Pound Exchange Rate influence the stock markets of Taiwan significantly. The influence of EURO Dollar Exchange Rate on the stock markets of Taiwan is more than Pound Exchange Rate negatively.
摘要 I
ABSTRACT II
誌 謝 III
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究限制 3
第三節 研究流程 4
第二章 文獻回顧 5
第三章 研究方法 9
第一節 ADF單根檢定 9
第二節 因果關係 11
第三節 共整合檢定 13
第四節 ARCH檢定 15
第五節 GARCH模型 17
第四章 實證結果與分析 18
第一節 ADF單根檢定 18
第二節 因果關係檢定 22
第三節 共整合檢定 23
第四節 ARCH檢定 24
第五節 AR-GARCH模型實證結果 25
第五章 結論 27
第一節 結論 27
附錄 31

一、中文文獻

1.張鼎煥、陳健宏(2012),「黃金與匯率之報酬與波動不對稱效果」,清雲學報,32(3),65-78。

2.李建慧、張珮芬 (2014) ,「 匯率報酬預測績效模型之比較-委託單流量的探討」,商業現代化學刊, 7(4), 257-274.

3.洪萬吉、黃明棋. (2010) ,「台幣兌美元與台幣兌日圓之匯率波動的動態關聯性分析:誤差修正與雙變數IGARCH模型之應用」,嘉南學報(科技類)(36), 280-290.

4.張鼎煥、李彥賢及林卓民. (2008) ,「台幣與日圓匯率共同跳躍強度分析-CBP-GJR-GARCH-S模型之應用」,輔仁管理評論, 15(2), 23-40.

5.黃明棋. (2007) ,「成交量與匯率波動率對股票市場報酬之衝擊:以南韓股票市場報酬為例」,東亞論壇(458), 67-84.

6.胥愛琦、吳清豐. (2003) ,「台灣股市報酬與匯率變動之波動性外溢效果─雙變量EGARCH模型的應用」,台灣金融財務季刊, 4(3), 87-103.


二、英文文獻

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Institute of Statistical Mathematics, 22, 203-217.

2.Akgiray, V., (1989). Conditional Heteroskedasticity in Time Series of Stock Return: Evidence and Forecasts. Journal of Business, 62: 55-80.

3.Bachman, D., J. J. Choi, B. N. Jeon, and K. J. Kopecky (1996). Common Factors in International Stock Prices; Evidence from a Cointegration Study. International Review of Financial Analysis, Vol.5, 39-53.

4.Berndt, Hall Hall and Hausman, (1974). Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement 4,653-665

5.Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31, 307-327.

6.Chu, Shin-Herng, Freund, Steven (1996).Volatility Estimation for Stock Index Options: A GARCH Approach. Quarterly Review of Economics and Finance,Vol. 36 pp. 431-450.

7.Engle, R. F. and C. W. J. Granger (1987), “Cointegration and Error Correction: Representation, Estimation, and Testing,” Econometricia, 55, 251-276.

8.Engle, R., (2002), Dynamic Conditional Correlation: A simple class of Multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business and Economic Statistics, 20, 339-350

9.Engle, R. F.(1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation. Econometrica 50, 987-1008.

10.Engle, R.F. and B.S. Yoo (1987). Forecasting and Testing in Cointegrated Systems. Journal of Econometrics 35, 143-159.

11.Eun, C. S. and S. Shim (1989). International Transmission of Stock Market Movements. Journal of Financial and Quantitative Analysis, 24, pp. 241-257.

12.Forbes, K. and R. Rigobon (2002), No Contagion, Only Interdependence: Measuring Stock Market Comovements, The Journal of Finance, 5, 2223–2261.

13.Granger, C.W. J. 1969. Investigation causal relations by econometric models and cross-spectral methods. Econometrica, 37:424-438.

14.Granger, C.W.J. and P. Newbold (1974). Spurious Regression in Econometric. Journal of Econometrics 2, 1779-1801.

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17.Kearney, C. (2000). The determination and international transmission of stock market volatility. Global Finance Journal, 11(1-2), 31-66.

18.Knif, J. and S. Pynnönen, (1999). Local and Global Price Memory of International Stock Markets. Journal of International Financial Markets, Institutions and Money, 9, 129-147.

19.Mandelbrot, B., (1963). The Variation of Certain Speculative Prices. The Journal of Business, 36, 394-419.

20.Masih, R. and A.M.M. Masih (2001). Long and short term dynamic causal transmission amongst international stock markets. Journal of International Money and Finance, Vol.20, 563-587

21.Schwarz, G., (1978). Estimating the dimension of a model. Annals of Statistics, 6, 461-464.

22.Schwert, G. (1989). Why Does Stock Market Volatility Change Over Time? The Journal of Finance, December, 1115-1153.

23.Theodossiou, P. and U. Lee, (1993). Mean and Volatility Spillovers across Major National Stock Market: Further Empirical Evidence. Journal of Finance Research, 16, 337-350.

24.Tse, Y. K. and A. K. C. Tsui (2002), A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time Varying Correlations, Journal of Business and Economic Statistics, Vol. 20, 351-362.

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