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研究生:謝國耀
研究生(外文):HSIEH, KUO-YAO
論文名稱:台灣股匯市與投資人情緒之非線性互動、波動外溢與平滑轉化之效果
論文名稱(外文):Nonlinear Interactions, Volatility Spillovers and Smooth Transition Effects among Stock Price, Exchange Rate and Investor Sentiment: An Application of STVEC-STGARCH Model and Evidences from Taiwan
指導教授:劉祥熹劉祥熹引用關係
指導教授(外文):LIU,HSIANG-HSI
口試委員:劉祥熹蕭榮烈王傳慶莊文議江彌修
口試委員(外文):LIU,HSIANG-HSIHSIAO,JUNG-LIEHWANG,CHUAN-CHINGCHUANG,WEN-YICHIANG,MI-HSIU
口試日期:2018-06-08
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:國際企業研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2022
畢業學年度:110
語文別:英文
論文頁數:173
中文關鍵詞:波動外溢平滑轉換不對稱效果蔓延效果投資人情緒STVE-STGARCH-DCC 模型
外文關鍵詞:Investor SentimentSTVEC–STGARCH–DCC ModelContagion EffectsAsymmetric EffectsSmooth TransitionVolatility Spillovers
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本論文旨在檢測台灣股市、匯率與投資人情緒的波動外溢、平滑轉換效果以及不對
稱效果。實證過程引用STVEC-STGARCH-DCC (Smooth Transition Vector Error
Correction-Smooth Transition GARCH with Dynamic Conditional Correlation)模型,實
證結果證實台灣股匯市與投資人情緒確實存在非線性互動、波動外溢、平滑轉換與
波動不對稱效果。該實證結果亦指出股市、匯市與投資人情緒兩兩的相關性在特殊
事件(美國次級房貸與全球海嘯及歐債危機)發生時有提高之趨勢指出股匯市與投資
人情緒的互動性除受該三變數的共移效果(co-movement effect)外,亦受事件發生
時所產生的蔓延效果(contagion effect)所影響。這些實證結果所獲資訊有利於投資
決策與政府相關單位制定政策之參考。
This study tries to investigate the interactions, volatility spillovers and smooth
transition effects among stock price, exchange rate of Taiwan as well as the investor
sentiment and contagion effects of the global financial crises by STVE-STGARCH-
DCC (Smooth Transition Vector Error Correction-Smooth Transition GARCH with
Dynamic Conditional Correlation) model. Basically, the empirical results prove that
the existence of nonlinear interactions, volatility spillovers, smooth transition and
asymmetric effects among stock price, exchange rate and investor sentiment. Our
results also verify that facing the financial crisis events such as subprime mortgage &
global financial crisis and the European debt crisis, there are the higher the correlation
coefficients between stock-exchange rate, stock-investor sentiment as well as
exchange rate-investor sentiment in the period of the special crisis events compared to
the non-crisis period, which meaning the interactions among the three variables occur
not just from fundamental co-movements, but are also affected by the excess
propagation of shocks as contagion effect from the occurrence of financial crisis
events. Hoping these empirical results and suggestions are useful for financial risk
assessors, government regulators and portfolio investors to make the better decision
for obtaining the diversification benefits among stock, exchange rate market and
investor sentiment.
Chapter 1 Introduction………………………………………………………………1
1.1 Research backgrounds and Motivations………….…………...………..………….1
1.2 Research purposes………………………………………………………....………6
1.3 Research Methodology and process…………………………………………..……7
1.3.1 Research Methodology……………………………………………...………7
1.3.2 Research Process……………………………………………………………7
1.4 Research objectives, Scope and data sources……………………………………….8
1.4.1 Research object…………………………………………………………….8
1.4.2 Scope and source of data………………………………………………….10
1.5 Thesis Framework………………………………………………………………..11
Chapter 2 Related Theories and Literature Review………………………….......12
2.1 Related Theories………………………………………………………………….12
2.1.1 Stock Market Theories……………………………………………………12
2.1.2 Exchange Rate Theories…………………………………………………..14
2.1.3 Theories of relationship between stock price and exchange rate…………16
2.1.3 Theories of Behavior Finance…………………………………………….17
2.1.4 Investor Sentiment Theories………………………………………………18
2.2 Literature Review………………………………………………………………...19
2.2.1 Literature Review for the Interaction of Stock and Exchange Rate
Market…………………………………………………………………….…19
2.2.2 Literature Review for Investor Sentiment, Stock and Exchange Rate
Markets……………………………………………………………………....23
2.2.3 Literature Review for STVEC- STGARCH Model………………………..25
2.3 Chapter Summary………………………………………………………………...26
Chapter 3 Conceptual Models and Methodology……………………………….....27
3.1 Conceptual Models……………………………………………………………….27
3.1.1 ARCH……………………………………………………………………..27
3.1.2 GARCH…………………………………………………………………...28
3.1.3 STAR, STVAR and STVEC………………………………………………29
3.1.4 STGARCH………………………………………………………………..33
3.2 Methodology……………………………………………………………………...35
3.2.1 Serial Correlation Test…………………………………………………….35
3.2.2 Unit Root Test…………………………………………………………….36
3.2.3 ARCH Effect……………………………………………………………...37
3.2.4 Asymmetric Test…………………………………………………………..39
3.2.5 CO-integration Test, VAR and VEC……………………………...……….40
3.2.6 Granger Causality Test…………………………………………...……….41
3.2.7 Iterated Cumulative Sums of Squares (ICSS)……………………………..42
3.2.8 Dynamic Conditional Correlation (DCC)-GARCH Model………………..43
3.3 Method of Principal Component Analysis………………………...……………...48
3.4 Construction of Investor Sentiment Proxies………………………...…………….50
Chapter 4 Empirical Results and Analysis………………………………………...53
4.1 Data Description………………………………………………………………….53
4.2 Stationary and Co-integration Test……………………………………………….62
4.2.1 Testing for Data Stationary……………………………………...………...63
4.2.2 Testing for Johansen Co-integration……………………………………....64
4.3 Specification of STVEC model…………………………………………………..68
4.3.1 Determining Delay Parameters……………………………………………68
4.3.2 Determining Smooth Transition Function…………………………………69
4.3.3 STVEC Model Construction and Testing for the ARCH and Asymmetric
Effects…………………………………………………………………….70
4.4 STVEC-DCC-STGARCH Model Construction and Empirical Results…………..79
4.4.1 Model 1……………………………………………………………………79
4.4.2 Model 2……………………………………………………………………94
4.4.3 Model 2…………………………………………………………..………114
4.5 Chapter Summary………………………………………………..…..………….144
Chapter 5 Conclusions and Suggestions………………………………………….155
5.1 Conclusions……………………………………………………………………..155
5.2 Suggestions……………………………………………………………………...163
5.2.1 Investment Strategies Implications………………………………………163
5.2.2 Suggestions for Future Researchers……………………………………...165
References……………………………………………………………………….…167
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