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標題: 美國、台灣、中國大陸股市之大盤及電子類股間的整合性研究
The Study of Market-wide and Electronic Sector Integration in Stock Returns of America, Taiwan and Mainland China
作者: 蘇惠珍
Su, Huei-Jen
關鍵字: Integration
volatility spillover
time-varying conditional correlations
出版社: 企業管理學系所
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摘要: 隨著金融市場全球化,增加了市場間波動度的轉移,對於投資人來說,了解國際市場間資產動態的相互依賴的關係對於每日的財務管理是必要的;除了整體市場外,各別行業的波動度也可能會導致整個市場的波動度增加。國際資本市場為部分區隔、部分整合的型態,但隨著各國市場的成長及國際投資的增加及金融危機的發生,各國股市間的整合程度也會隨之提高,有關國際股市間的整合性以及國際多角化投資組合是否能提高投資效益的課題便成為財務學界研究的一個重要方向,本研究使用DCC (Dynamic Conditional Correlation) 之多變量 (multivariate, MV) GARCH (Generalized Autoregressive Conditional Heteroskedasticity) 一般化自我迴歸條件異質變異數模型,來探討台灣、美國、中國大陸股票市場之大盤及電子類股共六項指數之股價報酬率間的隨時間變動相關與波動度外溢之現象。實證結果為:(1)就大盤股價指數報酬率間的整合性而言,台灣與中國大陸大盤股價指數報酬率間的整合性和台灣與美國大盤股價指數報酬率間的整合性相比顯得較小;(2) 就大盤與電子類股股價指數間的整合性而言,從波動度外溢性與隨時間變動的相關性兩觀點來看得到不一致的結論,所以實際的整合性須視波動度外溢性與隨時間變動的相關性何者較具影響而定;(3) 就電子類股股價指數間的整合性而言,台灣與美國電子業呈負向整合性,而台灣與中國大陸電子業間呈正向整合性。
With the increasing globalization of the world financial markets, and the consequent greater volatility transference between markets, understanding what drives international financial market integration is essential for everyday financial management. In addition, the volatility of every industry may cause the aggregate stock market volatility to increase. Some of the international asset markets are segmented, and some of them are integrated. As the markets grew, international investments increased, and financial crisis appeared, the integration in stock markets are also raising. The issue that whether the integration in stock markets and the diversification in investment can make a high return on investment has been an important research direction in financial academic circle. This study uses the DCC MV-GARCH model to explore the phenomenon of time-varying conditional correlations and volatility spillover in Market-wide and Electronic Sector, all six stock return rates of Taiwan, America and Mainland China. The result shows that: (1) In the integration of Market-wide stock return rates, the integration between the stock return rates of Taiwan and Mainland China is lower comparing with the integration between the stock return rates of Taiwan and America;(2) In the opinions of volatility spillover and time-varying conditional correlations, the integration of Market-wide and electronic sector integration is not consist. Therefore, the actual integration depends on whether the volatility spillover or time-varying conditional correlation has a greater impact; (3) In the integration of Electronic Sector stock return rates, there is a negative integration between Taiwan and America, and a positive integration between Taiwan and mainland China.
其他識別: U0005-2606201023474400
Appears in Collections:企業管理學系所



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