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研究生:簡傳甫
研究生(外文):CHIEN, CHUAN-FU
論文名稱:國際股票市場連動性之驅動力
論文名稱(外文):Driving force of the relationship between the international stock market
指導教授:劉德芝
指導教授(外文):LIU, DE-CHIH
口試委員:洪瑞成王譯賢劉德芝
口試委員(外文):HUNG, JUI-CHENGWANG, YI-HSIENLIU, DE-CHIH
口試日期:2017-06-09
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:中文
論文頁數:48
中文關鍵詞:國際股市連動性驅動力
外文關鍵詞:international stock marketslinkagedriving force
相關次數:
  • 被引用被引用:0
  • 點閱點閱:418
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  • 下載下載:12
  • 收藏至我的研究室書目清單書目收藏:0
國際股票市場的連動性對於國際多元化策略的投資者以及政策制定者去評估潛在利益、風險以期穩定金融體系相當重要,而其連動性的因素更為重要,值得更進一步的去探討,特別是在金融市場上,瞭解國際股票市場連動性的驅動力提供投資者,交易商以及政府機構重要的信息,以利多元投資以及穩定金融市場。本研究使用2002年7月至2016年12月,27個國家之股價指數為樣本,首先透過皮爾森相關係數與共整合檢定檢驗國際股市是否存在連動關係,其次以主成份分析以及馬可夫轉換模型探討連動性之驅動力。實證結果發現國際股市之第一主成份連動性之主要驅動力為石油價格;此外,歐洲股市之第一主成份連動性之主要驅動力亦為石油價格。
The relationship between the international stock markets is crucial for the strategic investors and the policy executors to evaluate potential profits and to stabilize the financial system. Moreover, understanding the force driving the linkage between the global stock markets provides investors, traders and the government essential information to bring the financial market under control. This research used the stock indexes of 27 individual countries from July 2002 to December 2012 as the sample. First, this study examine whether there is a connection between the international stock markets by applying Pearson correlation coefficient and the cointegration test. Second, we clarify the fundament of the relationship by utilizing the Principal Component analysis and Markov Switching model. Interestingly, the result found that the main driving force of the linkage for the international stock markets is the petroleum price. Furthermore, the major contributor of the connection between the European stock markets is the oil price.
第一章 前言 1
第二章 文獻回顧 3
第一節 國際股票市場間的關連性 3
第二節 國際股票市場間連動性之原因 4
第三章 資料來源及研究方法 7
第一節 資料來源 7
第二節 皮爾森相關係數 8
第三節 單根檢定 9
第四節 共整合檢定 12
第五節 主成分分析 14
第六節 馬可夫轉換模型 16
第四章 實證分析 18
第一節 皮爾森相關係數 18
第二節 單根檢定 21
第三節 共整合檢定 24
第四節 主成份分析 28
第五節 馬可夫轉換模型 37
第五章 結論與建議 45
參考文獻 47

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