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系統識別號 U0026-0812200913434060
論文名稱(中文) 新興市場美元匯率波動對股市報酬及跨國間股市相關性之影響─DCC雙變量GARCH模型之應用
論文名稱(英文) Volatility and correlation in emerging markets and the role of exchange rate fluctuations:Application of DCC bivariate GARCH model
校院名稱 成功大學
系所名稱(中) 會計學系碩博士班
系所名稱(英) Department of Accountancy
學年度 95
學期 2
出版年 96
研究生(中文) 卓玉敏
研究生(英文) Yu-min Cho
學號 R1694123
學位類別 碩士
語文別 中文
論文頁數 52頁
口試委員 指導教授-王澤世
口試委員-陳嬿如
口試委員-林軒竹
中文關鍵字 匯率波動  新興市場  DCC  雙變量GARCH模型  條件相關  股市報酬  條件波動性 
英文關鍵字 DCC  conditional correlation  Bivariate GARCH model  Emerging market  Exchange rate fluctuation  conditional volatility  stock market return 
學科別分類
中文摘要 本研究應用一個直接、明確的模型以觀察匯率波動在國際股市所扮演的角色,檢查個別國家之股市報酬波動性及跨國股市相關性如何被匯率波動所影響,並衡量由於匯率波動影響單一國家股市報酬波動和跨國股市相關性的程度。結果發現大部分樣本國之匯率變動對股市報酬均為顯著相關,但部分國家之匯率變動和美國股市報酬的關聯大於和國內股市相關性;所有樣本國的股市和美國股市均呈顯著正相關、且新興市場之股市波動多大於美國股市之波動。所有國家之股市報酬波動可由匯率波動解釋能力頗高,顯示匯率波動對股市報酬波動確實具有重大影響力。至於匯率波動對各國和美國股市相關性解釋能力,當匯率波動大時,美洲之新興國家和美國股市相關性會提高、且為正向,歐洲地區國家則多呈現高度負相關,顯示多數新興國家具有高匯率波動時,將對跨國股市相關性具有重大影響力。
英文摘要 This study develops a direct, clear model for the role of exchange rate fluctuations in international stock markets and examines how and what extent volatility and correlations in equity markets are influenced by exchange rate fluctuations. Evidence presented in this paper indicates that each emerging stock markets’ return is strongly correlated with the US stock market’s, and the volatility for each emerging stock markets is greater than that for the US stock market. We find that exchange rate fluctuations held a relatively large fraction of the variation in local stock market returns, and there was significant influence on the US/local equity market correlation.
論文目次 目 錄
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究架構 6
第二章 文獻回顧與理論模型 7
第一節 國內外研究匯率與股價之文獻 7
第二節 理論模型介紹 13
第三章 研究方法與模型設定 15
第一節 資料說明與處理 15
第二節 研究方法之介紹 19
第三節 實證模型之設定 22
第四章 實證結果與分析 24
第一節 DCC雙變量GARCH 模型之估計 24
第二節 理論模型之估計結果 41
第五章 結論 47
第一節 研究結論 47
第二節 後續研究方向及建議 50
參考文獻 51
參考文獻 一、 中文文獻
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高志宏,2003,台灣、日本、南韓股匯市與美國股市相關性之實證研究-GARCH-in-Mean模式之應用,私立東吳大學經濟學系碩士論文。
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二、 英文文獻
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