臺灣博碩士論文加值系統

這項研究的目的是研究香港和台灣股市之間隨時間變化的聯動。 本研究使用恆生指數，恆生指數期貨，台灣加權股票指數和台灣期貨指數日資料進行探討。 研究中動態條件相關GARCH模型用於檢測各種指數之間的關係。 結果表明：（1）當前的收益波動率可以用過去的波動率來解釋，這兩個指標似乎都隨著時間的推移而持續； （2）香港和台灣市場存在隨時間變化而變化的動態條件相關性。 近年來，估計的條件相關性有所增加，顯示了台灣市場和香港市場之間的緊密聯繫。

The purpose of this study is to examine the time-varying co-movement between Hong Kong and Taiwan stock markets. The Hang Seng index, The Hang Seng index futures, Taiwan Capitalization Weighted Stock Index and Taiwan futures exchange are used in this research. Dynamic Conditional Correlation GARCH model is utilized to check the relationship. The result shows that (1) current volatility of returns can be explained by past volatility that appears to continue over time for both four indices; (2) a dynamic conditional correlation exists for the Hong Kong and Taiwan market to change depending on the time change. The estimated conditional correlations have increased in recent years, showing strong linkages between the Taiwan market and the Hong Kong market.

Abstract......i
摘要......ii
Acknowledgments......iii
Table of Contents......iv
List of Tables......vi
List of Figures......vii
Chapter 1. Introduction......1
1.1. Motivation......1
1.2. Objective and structure of the study......2
Chapter 2. Literature Review......3
2.1. Volatility Spillover Between Spot and Futures index......3
2.2. Volatility spillover between international stock markets......5
2.3. Literature review on DCC-GARCH model and the contagion effect......7
Chapter 3. Data and Methodology......10
3.1 Description of the Intraday Dataset......10
3.2 Methodology......16
3.2.1. Dynamic Conditional Correlation GARCH model......16
3.2.2. Contagion effect test with DCC-GARCH coefficient......22
Chapter 4. Empirical Results......24
4.1 Unit Root Test......24
4.2 Correlations Matrix......25
4.3 DCC-GARCH Results......25
4.4 The contagion effect test with DCC-GARCH coefficient......35
4.5 Implications of the results......39
Chapter 5. Conclusion......42
References......44
Extented Abstract......50

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