:::

詳目顯示

回上一頁
題名:The Influence of Financial Crises on Structural Breaks in the Financials Index and the Electronics Sector Index
作者:陳彥彰 引用關係
作者(外文):Yen-Chang Chen
校院名稱:國立中央大學
系所名稱:企業管理學系
指導教授:蔡文賢
學位類別:博士
出版日期:2015
主題關鍵詞:金融危機結構轉變波動性金融股指數電子股指數Financial crisisStructural breaksvolatilityFinancials indexElectronics sector index
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:0
本研究探討金融危機對台灣金融股與電子股指數報酬率波動性的結構改變。本研究先利用GJR-GARCH模型得到條件波動性,接著利用Bai and Perron (1998)多重結構改變模型找出結構改變點。首先,導致金融股與電子股指數報酬率波動發生結構改變的因素包括貨幣政策、金融制度改變與外在國際總體經濟情勢衝擊。再來,在已知重大事件中,亞洲金融風暴、網路泡沫與金融海嘯期間金融股與電子股指數報酬波動性皆檢測出結構改變。國內影響因素包含房地產泡沫與匯率升值造成結構性改變,電子股指數則受到國際總體經濟情勢影響。研究結果顯示在重大事件影響期間國際市場的負向衝擊顯著增加金融股與電子股指數報酬率波動性,因此面對相關重大衝擊時,必須注意結構改變的變化。隨著近年來台灣股市市場的國際化與開放,金融股與電子股指數的波動度之持續性顯著增加而其群聚性顯著降低。
This research discusses structural breaks caused by financial crises in the return volatility of the financials and the electronics sector indices of Taiwan. This study uses the generalized autoregressive conditional heteroscedasticity model advanced by Glosten, Jagannathan, and Runkle to determine the conditional volatility and then uses the models of multiple structural change proposed by Bai and Perron to discover the break points. First, the factors causing the structural breaks in the return volatility of the financials and the electronics sector indices include monetary policies, changes in financial institutions, and the external impacts of international economic situations. Second, in the highest-profile events (e.g., Asian financial crisis, dot-com bubble, and global financial crisis), the structural breaks are detected in the return volatility of the financials and the electronics sector indices. The domestic influencing factors include exchange rate appreciation, which causes structural breaks. In addition, the electronics sector index is affected by international economic situations. Previous studies show that the negative impacts on the international market patently increased the return volatility of the financials index and electronics sector index during prominent events; thus, when encountering such prominent impacts, we must focus on the changes caused by structural breaks. The stock market in Taiwan has become more internationalized and open in recent years. The volatility of the financials and the electronics sector indices clearly continues to increase, whereas the clustering of the volatility is clearly decreasing.
Reference

[1] 徐守德,「亞洲股市間關係-動態過程的檢定」,亞太管理評論,第 5 卷,第 1 期,15-27頁,2000。[Shyu, S., “The Relationships among Asian Stock Markets—The Test of Dynamic Process”. Asia Pacific Management Review, Vol.5, No.1, pp. 15-27, 2000.]new window

[2] 徐守德,「亞洲各國股市共整合關係之實證研究」,證券市場發展季刊,第 7 卷,第 4 期,33-38頁,1995。[Shyu, S., “The Empirical Studies on Cointegration among Asian Stock Markets”, Review of Securities and Futures Markets, Vol.7, No.4, pp. 33-38, 1995.]new window

[3] 葉銀華,「國際股票市場股價指數共移型態與關連性之研究」, 台灣經濟金融月刊,第 27 卷第 10 期,11-19頁,1991。[Yeh, Y. H., “The Studies on Comovement and Relationship among the Stock-price indices of International Stock Markets”, Taiwan Economics and Finance Monthly, Vol.27, No.10, pp. 11-19, 1991.]

[4] Aïssa, M. S. B. and Jouini, J., “Structural breaks in the U.S. inflation process”, Applied Economics Letters, Vol. 10, pp. 633-636, 2003.

[5] Arshanapalli, B. and J. Doukas, “The Linkages of S&;P500 Stock Index Futures Prices during October 1987”, Journal of Economics and Business, Vol.49, pp. 253-266, 1995.

[6] Al-Rjoub, S. A. M., “Business Cycles, Financial Crises, and Stock Volatility in Jordan Stock Exchange”, International Journal of Economic Perspectives, Vol.5, No.1, pp. 83-95, 2011.new window

[7] Andrews, D.W.K., “Tests for parameter instability and structural change with unknown change point”, Econometrica, Vol.61, pp. 821-856, 1993.

[8] Bai, J. and P. Perron., “Computation and analysis of multiple structural change models”, Journal of Applied Econometrics, Vol.18, No.1, pp. 1-22, 2003.new window

[9] Bai J. and P. Perron, “Estimating and testing linear models with multiple structural changes”, Econometrica, Vol.66, pp. 47–78, 1998.

[10] Bloomfield, Robert J., Tayler, William B. and Zhou, Flora H., “Momentum, Reversal, and Uninformed Traders in Laboratory Markets”, The Journal of Finance, Vol.64, No.6, pp. 2535–2558, 2009.

[11] Brunello, G., C. Graziano and B. M. Parigi, “CEO Turnover in Insider-Dominated Boards: The Italian Case”, Journal of Banking and Finance, Vol.27, pp. 1027-1051, 2001.

[12] Chan, K. C., B. E. Gup and M. S. Pan, “An Empirical Analysis of Stock Prices in Major Asian Market and the United States”, Financial Review, Vol.35, pp. 289-307,1992.

[13] Chowdhury, A. R., “Stock Market Interdependencies: Evidence from the Asian NIEs”, Journal of Macroeconomics, Vol.16, pp. 629-651, 1994.

[14] Chow, G. C., “Tests of equality between sets of coefficients in two linear regression”, Econometrica, Vol.26, No.3, pp. 591‐605, 1960.

[15] Chiang, T. C., B. N. Jeon and H. Li, “Dynamic correlation analysis of financial contagion: Evidence from Asian markets”, Journal of International Money and Finance, Vol.26, No.7, pp. 1206–1228, 2007.

[16] Cohen, L., “Time-frequency analysis. Englewood Cliffs”, Prentice Hall PTR, N.J., USA, 1995.

[17] Conlon, T., Ruskin, H. J., and Crane, M., “Cross-correlation dynamics in financial time series.” Physica A: Statistical Mechanics and its Applications, Vol.388, No.5, pp. 705-714, 2009.

[18] Cukur, S., Eryiit, M., and Eryiit, R., “Cross correlations in an emerging market financial data”, Physica A: Statistical Mechanics and its Applications, Vol.376, pp. 555-564, 2007.

[19] Darbar, S.M., and P. Deb., “Co-movements in International Equity Markets”, Journal of Financial Research, Vol.20, No. 3, pp. 305–322, 1997.

[20] Deans, A.W., and Seaton, J.S., “the regulation of electricity: results from an event study”, Applied Economics, Vol.31, No.5, pp. 609–618.1999.

[21] Eun, C. S. and S. Shim., “International Transmission of Stock Market Movements”, Journal of Financial Quantitative Analysis, Vol.4, pp. 241-256, 1999.

[22] Ezzine, H. and B. Olivero, “Evolution of Corporate Governance during the Recent Financial Crises”, International Journal of Business &; Finance Research, Vol.7, No.1, pp. 85-100, 2013.new window

[23] Farge, M., “Wavelet transforms and their applications to turbulence”, Annual Review of Fluid Mechanics, Vol.24, No.1, pp. 395-458, 1992.new window

[24] Forbes, K. and Rigobon, R., “No contagion, only interdependence: Measuring stock market co-movements”, The Journal of Finance, Vol.5, pp. 2223-2261, 2002.

[25] Frank N. and H. Hesse, “Financial Spillovers to Emerging Markets during the Global Financial Crisis”, IMF Working Paper 09/104, Washington: International Monetary Fund, 2009.

[26] Granger, C. W. J., “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica, Vol.37, No.3, pp. 424-438, 1969.

[27] Gelos, G. and Sahay, R., “Financial market spillovers in transition economies”, IMF Working Paper, pp. 71, 2000.

[28] Ghosh, Asim, R. S. and Johnson K. H., “Who Moves the Asia-Pacific Stock Markets U.S. or Japan? Empirical Evidence Based on the Theory of Cointegration”, the Financial Review, Vol.34, pp. 159-170, 1999.

[29] Goh, K. L., Y. C. Wong and Kok K. L., “Financial Crisis and Intertemporal Linkages Across the ASEAN-5 Stock Markets”, Review of Quantitative Finance and Accounting, Vol.24, pp. 359–377, 2005.
[30] Groenewold, N., S. H. K. Tang and Y. Wu, “The Dynamic Interrelationships between the Greater China Share Markets”, China Economic Review, Vol.14, pp. 45-62, 2004.

[31] Glosten, L., Jagannathan, R. and Runkle, D., “On the Relation between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks”, Journal of Finance, Vol.48, pp. 1779-1801, 1993.

[32] Hamao, Y., Masulis, R., and Ng, V., “Correlations in price changes and volatility across international stock markets”, The Review of Financial Studies, Vol.3, No.2, pp. 281-307, 1990.

[33] Hansen, B. E., “The new econometrics of structural change: Dating breaks in U.S. labor productivity” The Journal of Economic Perspectives, Vol.15, No.4, pp. 117-128, 2001.

[34] Hesse, H. and Frank, N., “Financial Spillovers to Emerging Markets during the Global Financial Crisis”, IMF Working Papers, pp. 1-20, 2009.

[35] Hemler, M. L. and F. A. Longstaff, “General Equilibrium Stock Index Futures
Prices: Theory and Empirical Evidence” Journal of Financial and Quantitative
Analysis, Vol.26, pp. 287-308, 1991.

[36] Huang, N. E., Shen, Z., Long, S. R., Wu, M. C., Shih, H. H., Zheng, Q., et al.,
“The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis”, Series A: Mathematical, Physical and Engineering Sciences, Vol.454, No.71, pp. 903-995, 2005.

[37] Jang, H. and W. Sul, “the Asian Financial Crisis and the Co-movement of Asian Stock Markets”, Journal of Asian Economics, Vol.13, pp. 94-104, 2002.

[38] Jensen, M.C. and Murphy, K.J., “Performance pay and top-management incentives”, Journal of Political Economy, Vol.98, pp. 225–264, 1990.

[39] Johnson R. and L. Soenen, “Asian Economic Integration and Stock Market Comovement”, Journal of Financial Research, Vol.25, No.1, pp. 141–157, 2002.new window

[40] John B. Taylor, “The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong”, National Bureau of Economic Research, Working Paper No. 14631, 2009.

[41] Jones, C. M. and G. Kaul, “Oil and stock markets”, Journal of Finance, Vol.51, pp. 463-491, 1996.

[42] Kenourgios, D., Samitas, A., and Paltalidis, N., “Financial crises and stock market contagion in a multivariate time-varying asymmetric framework”, Journal of International Financial Markets, Institutions and Money, Vol.21, No.1, pp. 92-106, 2011.new window
[43] Kuper, G. H. and Lestano, L., “Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia”, Journal of Asian Economics, Vol.18, No.4, pp. 670-684, 2007.

[44] Laurence, M., F. Cai, and S. Qian, “Week-form Efficiency and Causality Tests in Chinese Stock Markets”, Multinational Finance Journal, Vol.1, pp. 291–307, 1997.new window

[45] Lee and Strazicich, “Minimum LM Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, Vol.85, No.4, pp. 1082-1089, 2003.

[46] Levin, A. and Lin, C. F., “Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties”, University of California at San Diego, Discussion Paper, pp. 92-93, 1992.

[47] Li Jiming, and Du Weiwei., “An Empirical Study on the Corporate Financial Distress Prediction Based on Logistic Model: Evidence from China’s Manufacturing Industry”, JDCTA, Vol.5, No.6, pp. 368 -379, 2011.

[48] Mac Kinlay, A.C., “Event studies in economics and finance”, Journal of Economic Literature, Vol.35, No.1, pp. 13–39, 1997.new window

[49] Masih, A. M. M. and R. Masih, “Dynamic Linkages and the Propagation Mechanism Driving Major International Stock Markets: An Analysis of Pre-and Post-Crash Eras”, the Quarterly Review of Economics and Finance, Vol.37, pp. 859-885, 1997.

[50] Meric, I. and G. Meric, “Correlation between the World’s Stock Markets Before and after the 1987 Crash”, Journal of Investing, Vol.7, pp. 67-70, 1998.

[51] Perron, P., “the great crash, the oil price shock and the unit root hypothesis”, Econometrica, Vol.57, No.6, pp. 1361-1401, 1989.

[52] Perron, P., “Further Evidence from Breaking Trend Functions in Macroeconomic Variable”, Journal of Econometrics, Vol.80, pp. 355-385, 1997.

[53] Perron, P. and Jushan Bai, “Estimating and Testing Linear Models with Multiple Structural Changes”, Econometrica, Vol.66, pp. 47-78, 1998.

[54] Perron, P. and Jushan Bai, “Computation and Analysis of Multiple Structural Change Models”, Journal of Applied Econometrics, Vol.18, pp. 1-22, 2003.

[55] Pesaran, H. H. and Shin, Y., “Generalized impulse response analysis in linear multi-variate models”, Economics Letters, Vol.58, No.1, pp. 17-29, 1998.new window

[56] Righi, M. B. and P. S. Ceretta, “Analyzing the Structural Behavior of Volatility in the Major European Markets during the Greek Crisis”, Economics Bulletin, Vol.31, No.4, pp. 3016-3029, 2011.

[57] Roll, R., “Price volatility, international market links, and their implications for regulatory policies”, Journal of Financial Research, Vol.3, pp. 211-246, 1989.

[58] Rosenow, B., Gopikrishnan, P., Plerou, V., and Eugene Stanley, H., “Dynamics of cross-correlations in the stock market”, Physica A: Statistical Mechanics and its Applications, Vol.324, No.1, pp. 241-246, 2003.new window

[59] Salim S. and Partha M., “Co-movements in International Equity Markets”, Journal of Financial Research, Vol.20, No.3, pp. 305–322, 1997.
[60] Sandoval Junior, L. and Franca, I. D. P., “Correlation of financial markets in times of crisis” Physica A: Statistical Mechanics and its Applications, Vol.391, No.1, pp. 187-208, 2012.new window
[61] Su, Y.C., “The Causality Relations Among International Capital
Markets”, the First Taiwan University International Conference on Finance, 1994.

[62] Shleifer, A. and Vishny, R. W., “Equilibrium short horizons of investors and firms”, The American Economic Review, Vol.80, No.2, pp. 148-153, 1990.

[63] Smith, K.L., “Major World Equity Market Interdependence a Decade after the October 1987 Crash: Evidence from Cross-Spectral Analysis”, Journal of Business Finance and Accounting, Vol.26, pp. 365-392, 1999.

[64] Song, F.M. and Y. Wu, “Hysteresis in unemployment: evidence from 48 U.S. states”, Economic Inquiry, Vol.35, pp. 235-243, 1997.

[65] S. Yong-Chern, “the Dynamic Spillovers between Taiwan and International Capital markets”, Economic Inquiry, Vol.39, pp. 164-196, 1999.

[66] Tuluca S.A., Zwick B., and Seiler M.J., “International versus U.S. sector diversification strategies in the wake of the Asian crisis”, American Business Review, Vol.21, No. 1, pp. 67-74, 2003.new window

[67] Titchmarsh, E. C., Introduction to the theory of Fourier integrals, Oxford: Clarendon Press, 1948.

[68] Theodossiou, P. and U. Lee, “Mean and Volatility Spillovers across Major National Stock Market: Further Empirical Evidence”, the Journal of Financial Research, Vol.16, No.4, pp. 337-350, 1993.

[69] Wu, M. C., Huang, M. C., Yu, H. C., and Chiang, T. C., “Phase distribution and phase
corralation of financial time series”, Physical Review E, Vol.73, No.1, pp. 1-16, 2006.new window
[70] Wirl, F., and Kujundzic, A., “the impact of OPEC conference outcomes on world oil price 1984–2001”, The Energy Journal, Vol.25, No.1, pp. 45–62, 2004.new window

[71] Yi Z., Xiaofeng H., and Rui W., “Prediction of Financial Contagion: Do Chinese Stock Markets Synchronize before the Onset of Crisis”, JCIT, Vol.7, No.4, pp. 26 – 34, 2012.

[72] Zivot, E. and D.W.K. Andrews, “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, Vol.10, pp. 251-270, 1992.

 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE