臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：極端報酬下亞洲股市之蔓延效果：應用Copula分析法
書刊名：經濟與管理論叢
作者：賴奕豪 引用關係／江福松 引用關係／林煌傑
作者(外文)：Lai, Yi-hao／Chiang, Fu-sung／Lin, Huang-chieh
出版日期：2010
卷期：6:2
頁次：頁247-270
主題關鍵詞：股價指數；蔓延效果；不對稱性；偏態t分配；Copula；Stock index；Contagion；Asymmetry；Skewed t distribution
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(4) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:14
  • 點閱點閱:55
本文結合具不對稱相關結構及極値特性的Copula函數及具偏態t分配之GJR-GARCH模型 (GJR-GARCH-ST) 估計台灣、香港、日本、韓國及新加坡股市間的蔓延條件機率，據以探討極端事件下之蔓延機制。實證結果如下：(1) 香港或新加坡發生極端正向或負向衝擊時，彼此較可能受到影響，隱含同時包含香港與新加坡股票資產的投資組合在極端衝擊下具有較低的的風險分散效益，投資人應避免同時持有；(2) 當香港或台灣出現極端負向衝擊時，較不可能相互影響，隱含同時包含香港與台灣股票資產之多頭投資組合具有較佳風險分散效果；(3) 當日本或台灣股市發生極端正向衝擊時，較不可能相互影響，隱含同時包含日本與台灣股票資產之空頭投資組合具有較佳風險分散效果。本文研究結果可幫助多、空方投資人了解亞洲股市間極端衝擊之蔓延機制，據以建立投資組合，分散極端衝擊下之投資風險。
This study applies copula functions with properties of asymmetric dependence structures and extreme value and the GJR-GARCH model with skewed Student t distribution (GJR-GARCH-ST) to estimate the marginal and joint distributions of stock returns in Taiwan, Hong Kong, Japan, South Korea and Singapore. Furthermore, this study applies the conditional probability of contagion to investigate the possibility of the extreme co-movement among Asian stock markets given that an extreme positive or negative shock occurs in one of them. The empirical results are as follows: (1) both large market rise and fall result in the highest possibility of co-movement between the Hong Kong and Singaporean markets, implying the risk diversification benefits offered by the portfolios with Hong Kong and Singapore are very limited; (2) when Hong Kong faces an extreme fall, Taiwan is less likely affected, and vice versa, implying long portfolios built around Hong Kong and Taiwan represent a better risk diversification; (3) when Japan experiences an extreme positive impact, Taiwan is the less likely affected, and vice versa, implying short portfolios built around the Taiwan and Japanese markets represent a better risk diversification. The conclusions can help bullish and bearish investors realize the co-movement between Asian markets and diversify risks under extreme impact.
期刊論文
1.Markowitz, H. M.(1952)。Portfolio Selection。Journal of Finance，7(1)，77-91。  new window
2.王冠閔、吳書慧(200612)。臺灣股、匯市與美國股市傳導機制之實證分析。運籌研究集刊，10，1-15。new window  延伸查詢new window
3.Gravelle, T.、M. Kichian、J. Morley(2006)。Detecting shift-contagion in currency and bond markets。Journal of International Economics，68(2)，409-423。  new window
4.方文碩、王冠閔、董澍琦(200604)。亞洲金融危機期間股票市場的蔓延效果。管理評論，25(2)，61-82。new window  延伸查詢new window
5.Clayton, D. G.(1978)。A Model for Association in Bivariate Life Tables and Its Application in Epidemiological Studies of Familial Tendency in Chronic Disease Incidence。Biometrika，65(1)，141-151。  new window
6.Click, Reid W.、Plummer, Michael G.(2005)。Stock Market Integration in ASEAN after the Asian Financial Crisis。Journal of Asian Economics，16(1)，5-28。  new window
7.Corhay, A.、Rad, A. T.、Urbain, J. P.(1995)。Long Run Behavior of Pacific-Basin Stock Prices。Applied Financial Economics，5，11-18。  new window
8.Fernandez, V.(2008)。Multi-Period Hedge Ratios for A Multi-Asset Portfolio When Accounting for Returns Co-Movement。Journal of Futures Markets，28，182-207。  new window
9.Friedman, J.、Shachmurove, Y.(1997)。Co-Movements of Major European Community Stock Markets: A Vector Autoregression Analysis。Global Finance Journal，8(2)，257-277。  new window
10.Genius, M.、Strazzera, E.(2008)。Applying the Copula Approach to Sample Selection Modelling。Applied Economics，40(11)，1443-1455。  new window
11.Gumbel, E. J.(1960)。Bivariate Exponential Distributions。Journal of the American Statistical Association，55，698-707。  new window
12.Hansen, B. E.(1994)。Autoregressive Conditional Density Estimation。International Economic Review，35，705-730。  new window
13.Hu, L.(2006)。Dependence Patterns across Financial Markets: A Mixed Copula Approach。Applied Financial Economics，16，717-729。  new window
14.Jarque, C. M.、Bera, A. K.(1987)。A Test for Normality of Observations and Regression Residuals。International Statistical Review，55，163-172。  new window
15.Lai, Yi Hao(200812)。Does Asymmetric Dependence Structure Matter? A Value-at-Risk View。International Journal of Business and Economics，7(3)，249-268。new window  new window
16.Lai, Y. H.、Chen, C. W. S.、Gerlach, R.(2009)。Optimal Dynamic Hedging via Asymmetric Copula-GARCH Models。Mathematics and Computers in Simulation，79，2609-2624。  new window
17.Lai, Y. H.、Tseng, J. C.(2010)。The Role of Chinese Stock Market in Global Stock Markets: A Safe Haven or a Hedge。International Review of Economics and Finance，19，211-218。  new window
18.Lee, H. T.(2009)。A Copula-Based Regime-Switching GARCH Model for Optimal Futures Hedging。Journal of Future Markets，29，946-972。  new window
19.Meric, I.、Meric, G.(1989)。Potential Gains from International Portfolio Diversification and Inter-Temporal Stability and Seasonality in International Stock Market Relationships。Journal of Banking and Finance，13，627-640。  new window
20.Meric, I.、Meric, G.(1997)。Co-Movements of European Equity Markets Before and After the 1987 Crash。Multinational Finance Journal，1，137-152。  new window
21.Ng, T. H.(2002)。Stock Market Linkages in South–East Asia。Asian Economic Journal，16，353-377。  new window
22.Ratner, M.、Leal, L.(1996)。Causality Tests for the Emerging Markets of Latin America。Journal of Emerging Markets，1，29-40。  new window
23.Watson, J.(1978)。A Study of Possible Gains from International Investment。Journal of Business Finance and Accounting，5，195-205。  new window
24.Jondeau, E.、Rockinger, M.(2006)。The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application。Journal of International Money and Finance，25，827-853。  new window
25.Baur, D.(2003)。Testing for Contagion-Mean and Volatility Contagion。Journal of Multinational Financial Management，13，405-422。  new window
26.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。  new window
27.Corsetti, G.、Pericoli, M.、Sbracia, M.(2005)。Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion。Journal of International Money and Finance，24(8)，1177-1199。  new window
28.Forbes, Kristin J.、Rigobon, R.(2002)。No Contagion, Only Interdependence: Measuring Stock Market Comovements。Journal of Finance，57(5)，2223-2261。  new window
29.Hon, M. T.、Strauss, J.、Yong, S.-K.(2004)。Contagion in financial markets after september 11: myth or reality?。Journal of Financial Research，27(1)，95-114。  new window
30.Duan, J. C.、Gauthier, G.、Sasseville, C.、Simonato, J. G.(2006)。Approximating the GJR-GARCH and EGARCH Option Pricing Models Analytically。Journal of Computational Finance，9(3)，41-69。  new window
31.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。  new window
32.Chiang, T. C.、Jeon, B. N.、Li, H.(2007)。Dynamic correlation analysis of financial contagion: evidence from Asian markets。Journal of International Money and Finance，26(7)，1206-1228。  new window
33.Solnik, B.(1974)。Why Not Diversify Internationally Rather than Domestically?。Financial Analysts Journal，30，48-54。  new window
34.Hsu, C. C.、Tseng, C. P.、Wang, Y. H.(2008)。Dynamic Hedging with Futures: A Copula-Based GARCH Model。Journal of Futures Markets，28(11)，1095-1116。  new window
35.Patton, A. J.(2006)。Modelling Asymmetric Exchange Rate Dependence。International Economic Review，47，527-556。  new window
36.Levy, H.、Sarnat, M.(1970)。International Diversification of Investment Portfolios。American Economic Review，60，668-675。  new window
37.Tobin, James(1958)。Liquidity Preference as Behavior Towards Risk。Review of Economic Studies，25(2)，65-86。  new window
38.Li, David X.(2000)。On Default Correlation: A Copula Function Approach。Journal of Fixed Income，9(4)，43-54。  new window
39.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
40.Grubel, Herbert G.(1968)。Internationally Diversified Portfolios: Welfare Gains and Capital Flows。The American Economic Review，58(5)，1299-1314。  new window
41.Lessard, Donald R.(1976)。World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction Through International Diversification。Financial Analysts Journal，32(1)，32-38。  new window
42.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
43.King, Mervyn A.、Wadhwani, Sushil(1990)。Transmission of Volatility between Stock Markets。The Review of Financial Studies，3(1)，5-33。  new window
44.Bartram, S. M.、Taylor, S. J.、Wang, Y. H.(2007)。The Euro and European Financial Market Dependence。Journal of Banking & Finance，31，1461-1481。  new window
45.Nelson, D. B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica，59，347-370。  new window
46.Aggarwal, R.、Kyaw, N.(2005)。Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests。International Review of Financial Analysis，14(4)，393-406。  new window
47.Turgutlu, E.、Ucer, B.(2010)。Is Global Diversification Rational? Evidence from Emerging Equity Markets Through Mixed Copula Approach。Applied Economics，42(5)，647-658。  new window
48.Fortin, I.、Kuzmics, C.(2002)。Tail-Dependence in Stock-Return Pairs, International Journal of Intelligent Systems in Accounting。Finance and Management，11，89-107。  new window
49.Mendes, B.(2005)。Asymmetric Extreme Interdependence in Emerging Equity Markets。Applied Stochastic Models in Business and Industry，21，483-498。  new window
50.Lai, Yi-Hao(2009)。Copula-based dynamic hedging strategies in stock index futures: International evidence。Review of Futures Markets，18，7-26。  new window
51.Sklar, Abe(1959)。Fonctions de Reparition a n Dimensions et Leurs Marges。Publications de l’Institut de Statistique de l’Universite de Paris，8，229-231。  new window
研究報告
1.Calvo, S.、Reinhart, C.(1996)。Capital Flows to Latin America: Is There Evidence of Contagion Effects。  new window
2.Costinot, A.、Roncalli, T.、Teiletche, J.(2000)。Revisiting the Dependence between Financial Markets with Copulas。  new window
3.Eichengreen, B.、Rose, A.、Wyplosz, C.(1996)。Contagious Currency Crises。  new window
4.Joe, H.、Xu, J. J.(1996)。The Estimation Method of Inference Functions for Margins for Multivariate Models。Department of Statistics, University of British Columbia。  new window
5.Saadi-Sedik, T.、Petri, M.(2006)。The Jordanian Stock Market-Should You Invest in It for Risk Diversification or Performance?。  new window
圖書
1.Joe, H.(1997)。Multivariate Models and Dependence Concepts。London：Chapman and Hall。  new window
2.Nelsen, Roger B.(1999)。An Introduction to Copulas。New York：Springer。  new window
3.Cherubini, U.、Luciano, E.、Vecchiato, W.(2004)。Copula Methods in Finance。John Wiley and Sons。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：1024（臺灣：1021，外國：3） ／ 本年度總使用人次：1473665 ／ 訪客人次（自102年09月）：67273680
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上