Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/21023
標題: 台灣、美國與中國大陸股市之當日與隔夜股價報酬率的連動性關係之研究
The Study of Linkage in Intraday and Overnight Stock Returns of Taiwan, America, and Mainland China
作者: 黃郁嵐
Huang, Yu-Lan
關鍵字: intraday return
當日股價報酬率
overnight return
GARCH model
隔夜股價報酬率
GARCH模型
出版社: 企業管理學系所
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摘要: 過去有不少關於國際股市的股價報酬率變動對台灣股票市場報酬率影響的文獻,更有美國股市變動對台灣股市報酬率連動關係的探討,但對於台灣受到美國及中國大陸當日與隔夜股價報酬率影響之相關文獻,卻不甚完備,本研究將股價報酬率分解為當日股價報酬率(open to close)與隔夜股價報酬率(close to open),以GARCH探討美國與中國大陸之當日與隔夜股價報酬率與台灣的當日與隔夜股價報酬率之市場動態傳導機制,並將三個地區間的股價指數分為兩類:大盤指數及大型企業指數,以做為比較分析。研究結果發現台灣之當日與隔夜股價報酬率均顯著受到美國與中國大陸之當日與隔夜股價報酬率之影響,其方向有正有負,並且發現美國相對於中國大陸對台灣股市存有較大的影響力。
The impact coming from international stock return change rates to Taiwan stock return rates has been discussed in many literatures. Even the linkage between the changes in American and Taiwan stock markets has also been explored. But the literatures about the effect coming from intraday and overnight stock returns of America and Mainland China to Taiwan are not sufficient. This study separates day return into intraday and overnight returns and using GARCH model to explore the linkage in Intraday and Overnight Stock Returns of Taiwan, America, and Mainland China. Furthermore, we analyze the linkage by grouping the indices of the three areas into market-wide and enterprise index. The results show that the intraday and overnight returns of America and Mainland China positively or negatively affect the intraday and overnight returns of Taiwan. Besides, we also find there is a greater impact coming from America than coming from Mainland China.
URI: http://hdl.handle.net/11455/21023
其他識別: U0005-2806201022323900
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2806201022323900
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