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摘要
外文摘要
引文資料
題名:
臺灣股、匯市與美國股市關聯性探討
書刊名:
臺灣經濟預測與政策
作者:
王冠閔
/
黃柏農
作者(外文):
Wang, Kuan-min
/
Huang, Bwo-nung
出版日期:
2004
卷期:
34:2
頁次:
頁31-72
主題關鍵詞:
蔓延效果
;
外溢效果
;
GARCH模型
;
VAR模型
;
Contagion effect
;
Spillover effect
;
GARCH model
;
VAR model
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
11
) 博士論文(
3
) 專書(0) 專書論文(0)
排除自我引用:
8
共同引用:
7
點閱:42
本研究的目的在於檢驗台灣股、匯市與美國股市之間,是否存在外溢效果及蔓延效果。我們先利用Inclan and Tiao (1994 )所建議的疊代累積平方加總運算法,先檢定出台灣股票加權指數、台幣對美元匯率及美國二大股票指數:那斯達克及S&P500 等4 個金融變數報酬的變異多重結構改變點的位置。之後,將各市場報酬變異結構改變點以虛擬變數的方式,納入GARCH 模型內以Engle (2000 )所建議之均數回復動態條件相關模型,來估計任二國間動態條件相關係數,並以各市場結構改變點所劃分的區間,來建立聯合信賴區間以檢驗任一結構改變點前後之間的相關係數是否異同。實証結果顯示,台灣股市及匯市與美國股市之間存在區段性的條件相關係數顯著增加或減少的蔓延效果。另外,我們也以設定報酬間向量自我迴歸模型的方式來進行Granger 因果關係檢定及衝擊反應分析,用以探討報酬間的溢出效果,實證結果顯示,存在美國股市單向影響台灣的股市及匯市的因果關係,而台灣的股市與匯市間,則存在相互影響的雙向因果關係。
以文找文
In this paper, we test whether there exist crisis contagion and spillover effects between the stock and exchange markets of Taiwan and two stock market indices of the US (the NASDAQ and S&P500). The time points of structural changes in the volatility of the return are detected first, based on the iterated cumulative sums of squares algorithm developed by Inclan and Tiao (1994). Second, this paper estimates the dynamic conditional orrelation-multivariate GARCH models supported by Engle ( 2000). We obtain the dynamic conditional correlation coefficients using a standard deviation estimated by the GARCH model, including dummy variables instead of the breakpoints of the individual markets. Moreover, this system also constructs a simultaneous confidence interval to test for a contagion effect. Finally, this paper shows that the VAR model can be used to test the spillover effect using the Granger-causality test and impulse response function. Therefore, we find that the stock and exchange markets of Taiwan do demonstrate the effect of crisis contagion from the US to Taiwan, and that there exists bi-directional Granger causality ( feedback) between the stock and exchange markets of Taiwan.
以文找文
期刊論文
1.
Aggarwal, Raj(1981)。Exchange rates and stock prices: a study of the U.S. capital markets under floating exchange rates。Akron Business and Economic Review,12(3),7-12。
2.
Hiraki, T.、Maberly, E. D.、Akezawa, N. T.(1995)。The Information Content of End-of-the-Day Index Futures Returns: International Evidence form the Osaka Nikkei 225 Futures Contract。Journal of Banking and Finance,19(5),921-936。
3.
Kaminsky, G.、Reinhart, C. M.(2000)。On crises, contagion, and confusion。Journal of International Economics,51(1),145-168。
4.
Chowdhury, A. R.(1994)。Stock Market Interdependencies: Evidence from the Asian NIEs。Journal of Macroeconomics,16(4),629-651。
5.
Gulen, Huseyin、Mayhew, Stewart(2000)。Stock Index Futures Trading and Volatility in International Equity Markets。The Journal of Futures Markets,20(7),661-685。
6.
Lee, S. B.、Kim, K. J.(1993)。Does the October 1987 crash strengthen the co-movements among national stocks markets?。Review of Financial Economics,3,89-102。
7.
Forbes, Kristin J.、Rigobon, R.(2002)。No Contagion, Only Interdependence: Measuring Stock Market Comovements。Journal of Finance,57(5),2223-2261。
8.
黃柏農、Granger, Clive William John、楊慶偉(2000)。A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu。The Quarterly Review of Economics and Finance,40(3),337-354。
9.
Sheng, H. C.、Tu, A. H.(2000)。A Study of Cointegration and Variance Decomposition among National Equity Indices before and during the Period of the Asian Financial Crisis。Journal of Multinational Financial Management,10(3),345-365。
10.
Hamao, Y. R.、Masulis, R. W.、Ng, V. K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。
11.
Najand, M.、Yung, K.(1991)。A GARCH Examination of the Relationship between Volume and Price Variability in Futures Markets。Journal of Futures Markets,11(5),465-478。
12.
Inclan, C.、Tiao, G. C.(1994)。Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance。Journal Of the American Statistical Association,89(427),913-923。
13.
Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。
14.
Cheung, Y. L.、Mak, S. C.(1992)。The International Transmission of Stock Market Fluctuation between the Developed Markets and the Asian Pacific Markets。Applied Financial Economics,2(1),43-47。
15.
Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。
16.
方文碩(20000500)。金融危機期間股票報酬風險貼水與貶值效果。風險管理學報,2(1),39-68。
延伸查詢
17.
Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。The Journal of Finance,45(1),221-229。
18.
Longin, Francois、Solnik, Bruno(1995)。Is the correlation in international equity returns constant: 1960-1990?。Journal of International Money and Finance,14(1),3-26。
19.
Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。
20.
Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。
21.
Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。
22.
Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。
23.
Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。
24.
Scholes, Myron、Williams, Joseph T.(1977)。Estimating Betas from Nonsynchronous Data。Journal of Financial Economics,5(3),309-327。
25.
Ratner, M.(1992)。A Cointegration Test of the Impact of Foreign Exchange Rates on U. S. Stock Market Prices。Global Finance Journal,4,93-101。
26.
黃柏農、Sohng, S. N.、楊慶偉(1999)。State Dependent Correlation and Lead-Lag Relation When Volatility of Markets is Large Evidence from the US and Asian Emerging Markets。Journal of Economic Development,24(2),57-77。
27.
Roll, R.(1989)。Price Volatility, International Market Links, and Their Implications for Regulatory Policies。The Journal of Financial Research,211-246。
研究報告
1.
Edwards, S.(1998)。Interest Rate Volatility, Capital Controls, and Contagion。
2.
Ostry, J. D.(1998)。Financial Market Contagion in the Asian Crisis。IMF。
3.
Forbes, K.、Rigobon, R.(1999)。No contagion, only interdependence: Measuring stock market co-movements。
4.
Eichengreen, B.、Rose, A. K.、Wyplosz, C.(1996)。Contagious Currency Crises。National Bureau of Economic Research。
5.
Cerra, V.、Saxena, S. C.(2000)。Contagion, Monsoons, and Domestic Turmoil in Indonesia: A Case Study in the Asian Currency Crisis。沒有紀錄。
6.
Edwards, S.(2000)。Interest Rates, Contagion and Capital Controls。沒有紀錄。
7.
Engle, R.(2000)。Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH Models。沒有紀錄。
8.
Favero, C. A.、Giavazzi, F.(2000)。Looking for Contagion: Evidence from the ERM。沒有紀錄。
9.
Gelos, G.、Sahay, R.(2000)。Financial Market Spillovers in Transition Economies。
10.
Nagayasu, J.(2000)。Currency Crisis and Contagion: Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand。沒有紀錄。
圖書
1.
Krugman, P. R.、Obstfeld, Maurice(1997)。International Economics--Theory and Policy。Addison-Wesley。
2.
Krueger, A. O.(1983)。Exchange-Rate Determination。Exchange-Rate Determination。Cambridge。
其他
1.
Calvo, S.,Reinhart, C.(1995)。Capital Inflows to Latin America: Is There Evidence of Contagion Effects?,沒有紀錄。
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