臺灣博碩士論文加值系統

本研究主要使用動態波動性模型來分析歐洲主權債務危機事件是否改變歐債國和非歐債國指數報酬波動性的結構，由於證券市場的風險狀態可能會受到歐債事件的衝擊而有所改變，而風險狀態的改變會使得市場對訊息的反應速度以及敏感程度出現變化，因此有其探討的必要。根據實證資料的分析顯示，使用GARCH族模型來估計波動性是合適的，且可以確切的描述波動性的特殊性質。此外透過實證研究，我們證明各國指數報酬波動性皆存在槓桿效果，歐債事件確實使得各國指數對訊息的反應速度增加的現象，然而歐債事件僅造成歐債國指數報酬波動性增加的情形，最後我們也觀察到歐債事件對西班牙指數報酬有顯著負面的影響。

This study employs the dynamic volatility model to analysis whether the European sovereign-debt crisis could change the volatility structure for the European sovereign-debt and non-European sovereign-debt countries. It is necessary to discuss this topic, since the volatility structure for security market might change by the event of European sovereign-debt crisis and further the varied volatility state could also change the degree of market reaction time and reaction sensitivity to information. By the real data analysis, it is appropriate to use GARCH family model to fit the volatility process because the model could clearly depict the special property of volatility. The empirical results show that the return volatility has leverage effect for each index. The event of European sovereign-debt crisis really increases the reaction speed to information for each index. However this event only increases the European sovereign-debt countries’ index return volatility. Finally we also find that this event harm the return for Spain index.

中文摘要---------------------------------------------- I
英文摘要---------------------------------------------- II
誌 謝---------------------------------------------- III
目 錄---------------------------------------------- IV
表 目 錄---------------------------------------------- V
圖 目 錄---------------------------------------------- VI
第一章 前言---------------------------------------------- 1
第二章 文獻探討------------------------------------------ 4
第三章 研究方法------------------------------------------ 6
第一節 GARCH模型--------------------------------------- 6
第二節 GJR-GARCH模型---------------------------------- 8
第四章 資料分析----------------------------------------- 10
第五章 研究方法----------------------------------------- 35
第一節 各國指數報酬波動性之槓桿效果估計--------------- 36
第二節 歐債事件前後對GARCH模型的影響------------------ 40
第三節 歐債事件對各國指數報酬波動性槓桿效果估計的影響- 44
第六章 結論與建議--------------------------------------- 46
參考文獻 ----------------------------------------------- 47

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