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題名:全球主要股市之外溢效果-以外溢指數為衡量方法
作者:吳雪伶 引用關係
作者(外文):Wu, Hsueh-Ling
校院名稱:中國文化大學
系所名稱:國際企業管理學系
指導教授:柯勝揮
梁榮輝
學位類別:博士
出版日期:2012
主題關鍵詞:外溢指數全樣本分析滾動樣本分析穩健性分析市場模型spillover indexfull-sample analysisrolling-sample analysisrobustness analysismarket model
原始連結:連回原系統網址new window
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本研究採用Diebold and Yilmaz (2010, 2012)所提出的外溢指數方法,應用KPSS一般化預測誤差變異數分解做為VAR模型中變數之間關係的分析工具,並計算出各個國家一般指數與金融指數報酬與波動的外溢指數,藉以瞭解外溢效果的方向與程度,同時對照國際重大的危機事件,觀察其外溢效果變化的情況。文中檢驗美洲、歐洲、與亞洲等十五個國家一般股市與金融股市之報酬外溢效果和波動外溢效果。
主要發現如下:
近二十年來全球主要股市的外溢效果逐漸升高,顯示國際股市之間確實存在市場互相影響的現象,而且互動關係越來越密切。不論報酬外溢或波動外溢,都有地區性現象,而歐美股市對亞洲等地區的股市有很強的影響力。另外,本研究經由市場模型驗證金融指數的報酬外溢與波動外溢,均與未經市場模型調整前的結果無甚差異。本研究在不同的滾動視窗或預測範圍與變數排序的檢測下,均顯示結果的穩健性獲得支持。
This study empirically examines the spillover effect in global equity markets. The spillover index approach proposed by Diebold and Yilmaz (2010, 2012) is used to measure the degree of spillover among general stock markets or financial markets in America, Europe, and Asia. We observe the change of spillover effect during the major international crises on various stock markets. The main findings are as follows:
During the past two decades, the spillover effects in the global stock markets in-creased gradually and their interaction were getting closer and closer. Both spillover ef-fects of return and volatility have regional phenomenon. Moreover the stock markets in Europe and the United States have a strong influence on Asia. In addition, this study use the market model to verify the financial index. It almost shows the same results as before. The robustness of this model is checked by using different rolling window, forecast range and variable order . The results support the robustness.
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