臺灣博碩士論文加值系統

本論文應用 Diebold 與 Yilmaz 提出的方法，測度了 15 個國家股市與匯市的每週價格波動連結。時間歷時為 2000-01-02 到 2016-12-03。

透過靜態分析，本論文得到以下結論:股匯市共同計算的連結相對於股市 或匯市各別計算的連結正確;韓國匯市相對而言受到日本以及美國股市影響較 多，而非其他匯市;中國股市是系統中吸收最多波動的市場。透過動態分析， 本論文得到以下結論:用來測度股匯市連結的指標與景氣循環還有金融事件相 符合;在美國 QE3 時期，股市顯著被匯市影響;在希臘危機時期，匯市顯著 被股市影響;中國股市崩盤對其他市場有顯著影響是因為中國的貨幣政策。

Applying the connectedness measurement proposed by Diebold and Yilmaz, we measure the weekly price volatility connectedness for 15 countries’ stock and exchange markets. The time horizon ranges from 2000-01-02 to 2016-12-03.
Through static analysis, we conclude that the connectedness calculated from stock and exchange markets is more convincing than the connectedness calculated from stock or exchange market only, that the Korea exchange market receive more impact from Japan and U.S. stock markets than other exchange markets, that China’s stock market is the one which absorbs the biggest volatility in the system. Through dynamic analysis, we conclude that the index for measuring the connectedness matches the business cycle and financial events, that the stock markets are significantly impacted by exchange markets during the QE3 from U.S., that the exchange markets are significantly impacted by stock markets during the Greece crisis and that the reason why China stock market has significant impact to other markets is the monetary policy from China.

目錄
口試委員會審書...........................................i
謝詞...................................................ii
中文摘要...............................................iii
英文摘要................................................iv
第一章 緒論..............................................1
第二章 計量模型與法.......................................2
2.1 模型背景............................................2
2.2 模型................................................4
第三章 資料..............................................7
第四章 靜態分析...........................................8
4.1 結果分析............................................10
4.2 單一市場與兩市場連結比較...............................16
第五章 動態分析..........................................17
5.1 股匯市擴散指標動態分析.................................18
5.2 股市擴散指標動態分析...................................27
5.3 匯市擴散指標動態分析...................................29
5.4 東亞與東南亞跨區域動態連結..............................30
5.4.1 東亞與東南亞股市跨區域動態連結.........................30
5.4.2 東亞與東南亞匯市跨區域動態連結.........................32
第六章 結語...............................................34
參考文獻..................................................36
附錄.....................................................38

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