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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/29658

Title: 股債市場波動性與關聯性之研究:STVEC(STVAR)-STGARCH-DCC模型應用及新興國家與成熟國家之比較
Study on the Volatility Smooth Transition and Interaction Between Stock and Bond Markets in Emerging and Developed Countries:An Application of STVEC(STVAR)-STGARCH-DCC Model
Authors: Wen-Yang Li
李文揚
Contributors: NTOU:Institute of Applied Economics
國立臺灣海洋大學:應用經濟研究所
Keywords: 蔓延效果;外溢效果;STAR;STGARCH;DCC模型
Contagion Effect;Spillover Effect;STAR;STGARCH;DCC Model
Date: 2011
Issue Date: 2011-11-23T02:44:55Z
Abstract: 摘要 本文旨在檢視新興國家(中國、印度、俄羅斯、巴西、台灣、南韓、香港與新加坡)與成熟國家(美國、日本、英國、法國、德國、義大利與加拿大)股票市場及債劵市場之互動關聯性。實證過程,進一步引用非線性STVEC-STGARCH-DCC模型探討股債市波動性與關聯性,並瞭解次級房貸、金融海嘯與歐債風暴對股債市場相關性所產生蔓延效果(contagion effect)之影響,其研究期間為2004年5月7日至2010年10月8日。 實證結果證明各國股債市動態相關係數確實會受次級房貸風暴、金融海嘯與歐債風暴影響,且當期動態相關係數受到前一期影響之估計參數皆有降低之現象,隱含次級房貸風暴、金融海嘯與歐債風暴之發生亦會造成各國股債市彼此間相關性之蔓延效果,而不完全是跨市場間共移所造成的外溢效果(spillover effects)。 藉由STVEC(STVAR)-STGARCH-DCC模型之動態條件相關係數可知,除了俄羅斯股債市報酬率相關係數大部分研究期間內呈現正相關,其餘各國股債市報酬率相關係數在研究期間內長期屬於負相關,且當次級房貸風暴、金融海嘯與歐債風暴發生時,股債市相關係數負向關係會增強。 另外,觀察新興國家與成熟國家股債市門檻值與轉換速度可知,成熟國家股債市其門檻值較低、轉換速度也較快,表示成熟國家股債市遇到事件衝擊時,市場價格會較為迅速做調整與反應,代表市場對資訊反應較有效率。
Abstract The main purpose of this study is to investigate the interrelationships between stock and bond markets in emerging countries (China, India, Russia, Brazil, Taiwan, South Korea, Hong Kong and Singapore) and developed countries (the United States, Japan, Britain, France, Germany, Italy and Canada) by using nonlinear STVEC-STGARCH-DCC mode. The empirical results help us to discuss volatilities and correlations of stock and bond markets, and understand the contagion effects of the subprime mortgage, financial tsunami and European debt crisis. The sample period of this study is from May 7, 2004 to October 8, 2010. Empirical results show that dynamic correlation coefficients of the stock and bond markets are affected by the subprime mortgage crisis, financial tsunami and European debt crisis. This may justify the correlations of stock and bond markets are not just caused by the spillover effects between these two markets either in emerging or developed countries, the contagion effects through the subprime mortgage, financial tsunami and European debt crisis are also important. Furthermore, the empirical results signify that comparing to emerging countries, there are lower threshold values and higher transition rates between two regimes in stock and bond markets when new events have occurred in developed countries. This also implies that the stock and bond markets reflect new information more efficiently.
URI: http://ethesys.lib.ntou.edu.tw/cdrfb3/record/#G0M98350013
http://ntour.ntou.edu.tw/handle/987654321/29658
Appears in Collections:[應用經濟研究所] 博碩士論文

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