Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/21019
標題: 台灣股市與美國、歐洲、亞洲主要股市間股價報酬率的波動度導向相關性之研究
The Study of Volatility Driven Correlation in Stock Returns between Taiwan Stock Market and Main Stock Markets of America, Europe and Asia
作者: 吳逸欣
Wu, Yi-Hsin
關鍵字: stock returns
股價報酬率
volatility driven correlation
ARMA model
波動度導向相關性
ARMA模型
出版社: 企業管理學系所
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摘要: 股價報酬率之波動度對於相關性之影響,一直是財金學者所關注的議題,而在許多研究裡皆發現美國股市對於其他國際股市或是亞洲股市,具有重大的影響力。本研究將探討台灣與亞洲、歐洲、美國主要市場間股價報酬率相關性與波動度影響方向與大小。本研究以經對數轉換後隨時間變動的22交易日波動度對經一般Logit轉換後隨時間變動的22交易日相關係數的ARMA迴歸模型等方法,檢驗台灣股市與美國、歐洲、亞洲主要股市間股價報酬率的波動度與相關性是否存在關係,藉此瞭解亞洲、歐洲、美國主要股市之波動度對於台灣股市的衝擊程度,研究結果顯示除部分指數股價報酬率之外,台灣加權指數股價報酬率與其他指數股價報酬率的波動度導向相關性均呈現顯著的正向,並且美國指數股價報酬率波動度對隨時間變動的相關係數之估計參數之絕對值是最高的。
The issue about the impact of volatility in stock returns has been an interesting topic for financial scholars. Moreover, past studies also improved the great impact from America to other international markets or even Asia markets. This study empirically tests the direction and scale of the correlation in stock returns of Taiwan and Main America, European, Asian stock Market. We explore the volatility driven correlation in stock returns of Taiwan stock market and main stock markets of America, Europe and Asia by regressing the generalized logit transformed correlation on the log transformed volatilities to show the volatilities of these stock returns how to affect the relationship of correlation. The result shows that except some stock returns there are significantly positive volatility driven correlation between Taiwan stock return and some stock returns of other stock markets. Besides, we found the volatility of American stock returns has the highest impacts on the correlation between Taiwan and American stock markets in terms of the absolute value of the estimated coefficients in ARMA model.
URI: http://hdl.handle.net/11455/21019
其他識別: U0005-2606201023484500
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2606201023484500
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