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題名:美國次貸危機對亞洲股票市場與指數期貨波動性的影響
書刊名:華人前瞻研究
作者:李崑進 引用關係陳昱彤
作者(外文):Lee, Kun-chinChen, Yu-tung
出版日期:2012
卷期:8:2
頁次:頁85-105
主題關鍵詞:美國次貸危機雜訊交易者資訊不對稱波動性U.S. subprime mortgage crisisNoise traderInformation asymmetryVolatility
原始連結:連回原系統網址new window
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  • 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:25
  • 點閱點閱:38
本研究探討美國次貸危機後,亞洲市場大量雜訊交易者進入期貨市場交易,使得交易市場資訊環境改變,對期貨與現貨市場波動性的影響為何?藉以檢驗美國次貸危機事件後,聯繫投資人之間資訊不對稱性是否增加或減少。本文實證結果發現,在美國次貸危機事件後,大部份亞洲地區包括台灣、韓國、泰國、新加坡與香港,都顯著增加期貨與現貨市場價格波動。並認為此情況會增加投資人之間資訊不對稱與交易市場不穩定性,並加大市場參與者的投資風險。
After the U.S. subprime mortgage crisis, many noise traders enter the futures markets causing the trading market information change. By using both revised GARCH (1, 1) models, we will exam the subprime crisis impact on both Asian Index Futures and Stock Market Volatility. This study addresses the issue of information asymmetry whether increase or decrease among investors after subprime crisis. The findings we provide in this research indicate that noise traders increase index futures and stock market volatility after the post-subprime mortgage crisis in most Asian areas. Since such actions gives raise to the instability and the investment risk of investors in the transaction market.
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