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題名：亞洲金融風暴對臺灣股匯市影響：跳躍-擴散模型應用
書刊名：朝陽商管評論
作者：李彥賢／姜淑美／邱建良 引用關係
作者(外文)：Lee, Yen-hsien／Chuang, Shu-mei／Chiu, Chien-liang
出版日期：2006
頁次：頁1-22
主題關鍵詞：跳躍-擴散模型；GARCH-ARJI模型；GARCH-CJ模型；金融風暴；Jump-diffusion model；GARCH-ARJI model；GARCH-CJ model；Asia finance crisis
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  • 被引用次數被引用次數:期刊(3) 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:3
  • 共同引用共同引用:41
  • 點閱點閱:36
本文以GRCH-ARJI與GARCH-CJ兩種跳躍-擴散模型，探討金融風暴事件對股匯市所產生跳躍狀態的頻率與跳躍狀態的變異。實證結果發現不管利用GARCH-CJ模型與GARCH-ARJI模型的估計結果皆顯示股匯市報酬率均存在著異常資訊所造成不連續的跳躍行為。再者，本研究利用Schwarz Criterion與概似比檢定發現GARCH-ARJI模型的配適度相較於GARCH-CJ模型更加適合。最後在加入金融風暴事件至GARCH-ARJI-D模型發現股匯市的跳躍行為特性依然存在著，而在金融風暴期間的跳躍大小的變異數與跳躍頻率皆有顯著的增加。此外，跳躍過程所引發的變異比例均高於擴散過程所引發的變異數，除了加權股價指數外。且在金融風暴事件期的跳躍過程所引發之變異比例均較非金融風暴事件期間提高約15-30%。
This study employs GARCH-ARJI and GARCH-CJ models to examine jump frequency and risk of Taiwan stock and foreign exchange markets during Asia Finance Crisis period. Empirical results show that the returns of Taiwan stock and foreign exchange markets exist jump behavior resulting from unexpected events, no matter which GARCH-ARJI and GARCH-CJ models applied. Second, this study finds that the GARCH-ARJI model better than GARCH-CJ model, using Schwarz Criterion and LR test. Finally, considering Asia Finance Crisis events in GARCH-ARJI-D model, the returns of Taiwan stock and foreign exchange markets also exist jump behavior resulting form unexpected events; and further, their jump risk and frequency have enhance during Asia Finance Crisis event. Furthermore, during Asia Finance Crisis period the jump-induced variances are higher than diffusion-induced variance except Taiwan stock index; and further, they increase 15% to 30% more than non-Asia Finance Crisis period.
期刊論文
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26.聶建中、蔡育迪(20001000)。亞洲金融風暴對臺灣與東南亞各國股價指數及匯率間互動的影響。企銀季刊，24(2)，197-215。  延伸查詢new window
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31.王凱立、陳美玲(20030600)。亞洲金融風暴發生前後美國與臺灣股市動態關聯之進一步研究。經濟論文叢刊，31(2)，191-252。new window  延伸查詢new window
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研究報告
1.Das, S. R.(1998)。Poisson-Gaussian Processes and the Bond Market。  new window
2.Ostry, J. D.(1998)。Financial Market Contagion in the Asian Crisis。  new window
圖書論文
1.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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