Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/21094
DC FieldValueLanguage
dc.contributor吳中書zh_TW
dc.contributorChung-Shu Wuen_US
dc.contributor郭平欣zh_TW
dc.contributorPing-Sing Kuoen_US
dc.contributor.advisor蘇明俊zh_TW
dc.contributor.advisorMin-Jiun Suen_US
dc.contributor.authorHsu, Chia-Kaien_US
dc.contributor.author徐家凱zh_TW
dc.contributor.other中興大學zh_TW
dc.date2013zh_TW
dc.date.accessioned2014-06-06T07:15:13Z-
dc.date.available2014-06-06T07:15:13Z-
dc.identifierU0005-0606201212262200zh_TW
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dc.identifier.urihttp://hdl.handle.net/11455/21094-
dc.description.abstractThe relationship between stock markets and foreign exchange markets is much closer due to the globalization and foreign capital allowance, and therefore to understand relationship between stock markets and foreign exchange markets is helpful to both companies and investors on investment and hedge. In the past financial sensitivity studies, the relationship between variables and between volatility of variables are often discussed together, but the BEKK Asymmetric GARCH model is used rarely. The past studies indicated that BEKK Asymmetric GARCH model were better than EGARH model on capturing the effect of news on volatility, and that BEKK Asymmetric GARCH model was suitable for capturing volatility of Taiwan stock market and Taiwan foreign exchange market. Consequently. This study applies BEKK Asymmetric GARCH model to explore the sensitivity between stock returns and foreign exchange returns in Taiwan. The findings of this study are as follow: (1) USD, EU, JPY and CNY exchange return have negative impact on Taiwan stock exchange capitalization weighted stock return; (2) USD, EU, and CNY exchange return have negative impact on Taiwan electronics stock return; (3) Taiwan Electronics Stock Return has negative impact on EU exchange return; (4) The volatility transmission between stock return and foreign exchange return is bi-directional; (5) The volatilities of stock market and foreign exchange market have asymmetric effect respectively; (6) The news of stock market has significant impact on volatility of foreign exchange market, and the news of foreign exchange market has significant impact on volatility of stock market.en_US
dc.description.abstract在全球化以及外資逐漸開放下,股市與匯市的相互關係越來越密切,因此瞭解股市與匯市間的關係,對於企業及投資者在投資及避險上都有相當的幫助。過去金融相關文獻在探討變數間的敏感性時,經常同時探討變數間的相互關係以及其波動度間的相互關係,而在國外及本國內的相關文獻中較少以BEKK Asymmetric GARCH模型來探討股市與匯市間的敏感性。根據過去文獻中發現,BEKK Asymmetric GARCH模型在捕捉訊息衝擊上是優於EGARCH模型,且BEKK Asymmetric GARCH模型能適切的捕捉台灣股市與匯市波動度,因此本研究使用BEKK Asymmetric GARCH模型,探討台灣股價報酬率與匯價報酬率間的敏感性。實證結果發現:(1)美元、歐元、日圓及人民幣匯價報酬率皆分別對台灣加權股價之股價報酬率具有負向影響;(2)美元、歐元及人民幣匯價報酬率皆分別對台灣電子類股之股價報酬率具有負向影響;(3)台灣電子類股之股價報酬率對歐元匯價報酬率具有負向影響;(4)本研究之股價報酬率對匯價報酬率的波動度具有顯著影響,且匯價報酬率對股價報酬率同樣有顯著影響;(5)股價報酬率與匯價報酬率兩者的波動度皆分別具有非對稱效果;(6)股價報酬率的訊息對匯價報酬率波動度的影響具有顯著的非對稱效果,且匯價報酬率的訊息對股價報酬率波動度的影響同樣具有顯著的非對稱效果。zh_TW
dc.description.tableofcontents第一章 緒論............................................................................... 1 第一節 研究背景與動機............................................................... 1 第二節 研究對象與範圍............................................................... 2 第三節 研究目的......................................................................... 2 第四節 研究流程......................................................................... 3 第二章 文獻探討......................................................................... 4 第一節 恆定性檢定之相關研究...................................................... 4 第二節 Bivariate BEKK Asymmetric GARCH模型之相關研究.......... 5 第三節 敏感性之相關研究............................................................ 6 第四節 股市與匯市間的敏感性之相關研究..................................... 7 第五節 文獻回顧與研究方向....................................................... 12 第三章 研究方法....................................................................... 14 第一節 研究架構....................................................................... 14 第二節 恆定性檢定.................................................................... 15 第三節 Bivariate BEKK Asymmetric GARCH模型......................... 18 第四節 股價報酬率與匯價報酬率間的敏感性分析.......................... 21 第四章 實證分析....................................................................... 23 第一節 研究樣本與研究區間....................................................... 23 第二節 股價報酬率與匯價報酬率的樣本敘述性統計分析................ 25 第三節 股價報酬率與匯價報酬率的恆定性檢定............................. 26 第四節 股價報酬率與匯價報酬率之Bivariate BEKK Asymmetric GARCH模型實證與選擇結果............................................................................ 27 第五節 股價報酬率與匯價報酬率間的敏感性之實證分析................ 49 第六節 股價報酬率與匯價報酬率之波動度的非對稱效果................ 65 第五章 研究結論與建議.............................................................. 69 第一節 結論.............................................................................. 69 第二節 研究建議........................................................................ 80 參考文獻................................................................................... 81 附錄......................................................................................... 84zh_TW
dc.language.isoen_USzh_TW
dc.publisher企業管理學系所zh_TW
dc.relation.urihttp://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0606201212262200en_US
dc.subjectBEKK Asymmtric GARCH 模型zh_TW
dc.subjectBEKK Asymmetric GARCH modelen_US
dc.subject敏感性zh_TW
dc.subject非對稱效果zh_TW
dc.subjectsensitivityen_US
dc.subjectasymmetric effecten_US
dc.titleThe Study of the Sensitivity between Stock Market and Foreign Exchange Market in Taiwan - The Application of Bivariate BEKK Asymmetric GARCH Modelen_US
dc.title台灣股市與匯市的敏感性之研究 ─ 應用Bivariate BEKK Asymmetric GARCH模型zh_TW
dc.typeThesis and Dissertationzh_TW
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