Please use this identifier to cite or link to this item:
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;整合性;volatility spillover;time-varying conditional correlations;DCC MV-GARCH;波動度外溢;隨時間變動的相關係數;動態條件相關多變量模型
出版社: 企業管理學系所
引用: 參考文獻 中文部分 1. 袁天心 (2006)。利用國內外總體經濟變數預測台灣電子類股指數。南台科技大學高階主管企管碩士論文,未出版,台南縣。 英文部分 1. Al-Zeaud, H. A. (2009), Asymmetric Volatility Phenomenon: An Application to Major European Countries, International Management Review, 5(1), 37-49. 2. Antoniou, A. and P. Holmes (1995), Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH, Journal of Banking & Finance, 19, 117-29. 3. Ang, A. and G. Bekaert (1999), International Asset Allocation with Time-Varying Correlations ,Working Paper 7056, National Bureau of Economic Research, Inc. 4. Antoniou, A., G. Pescetto and A. Violaris (2003), Modelling International Price Relationships and Interdependencies between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis, Journal of Business Finance and Accounting, 30(5-6), 645-67. 5. Antoniou, A., G. M. Pescetto and I. Stevens (2007), Market-Wide and Sectoral Integration: Evidence from the UK, USA and Europe. Managerial Finance, 33(3), 173-194. 6. Arouri, M. E. H. and D. K. Nguyen (2010), Time-Varying Characteristics of Cross-Market Linkages with Emipirical Application to Gulf Stock Markets, Managerial Finance, 36(1), 57-70. 7. Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307-327. 8. Bollerslev, T. (1988), On the Correlation Structure for the Generalized Autoregressive Conditional Heteroscedastic Process, Journat of Time Series Analysis, 9, 121-31. 9. Bollerslev, T., R. F. Engle and J. M. Wooldridge (1988), A Capital Asset Pricing Model with Time-Varying Covariances, Journal of Political Economy, 96(1), 116-131. 10. Bollerslev, T. (1990), Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalised ARCH Model, Review of Economics and Statistics, 72(3), 498–505. 11. Bollerslev, T., R.Y. Chou and K.F. Kroner (1992), ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence, Journal of Econometrics, 52, 5-59. 12. Braun, P.A., D.B. Nelson and A.M. Sunier (1995), Good News, Bad News, Volatility, and Betas, Journal of Finance, 50, 1575-603. 13. Campbell, J.Y., M. Lettau, B.G. Malkiel and Y. Xu (2001), Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Journal of Finance, 56(1), 1-43. 14. Cappiello, L., R.F. Engle and K Sheppard (2003), Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns, Working Paper 204, European Central Bank. 15. CGFS (Committee on the Global Financial System) (1999), A Review of Financial Markets in Aurtumn 1998, Bank for International Settlements, October. 16. Chang,A. K-H., S-L. Chou and C-S. Wu (2000), International Transmission of Stock Market Movements within the Great China Economic Area, PanPacific Management Review, 3, 283-298. 17. Chiang, T. C. and S-C. Doong (2001), Empirical Analysis of Stock Returns and Volatility Evidence form Seven Asian Stock Markets Based on TAR-GARCH Model, Review of Quantitative Finance and Accounting, 17(3), 301-318. 18. Chou, R. Y., J-L. Lin and C-S. Wu (1999), Modeling Taiwan Stock Market and International Linkages, Pacific Economic Review, 4(3), 305-320. 19. Choudhry, T. (2000), Meltdown of 1987 and Meteor Showers among Pacific-Basin Stock Markets , Applied Financial Economics, 10(1), 71-80. 20. Christiansen, C. (2000), Macroeconomic announcement effects on the covariance structure of government bond returns, Journal of Empirical Finance, 75, 479-507. 21. De Santis, G. and B. Gerard (1997), International Asset Pricing and Portfolio Diversification with Time-Varying Risk, Journal of Finance, 52, 1881-912. 22. Dickey, D. A. and W. A. Fuller (1979), Distribution of the Estimators for Autoregressive Time Series with Unit Root, Journal of the American Statistical Association, 74(366), 427-431. 23. Dickey, D. A., and W. A. Fulle (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49(4), 1057-1072. 24. Eichengreen, B., A. Rose and C. Wyplosz (1996), Contagious Currency Crises, NBER Working Paper Series, 7267, July. 25. Enders, W. (2004), Applied econometric time series, John Wiley &Sons. 26. Engle, R. (2002), Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, Journal of Business and Economic Statistics, 20, 339–50. 27. Engle, R. and K. Kroner (1995), Multivariate Simultaneous Generalized ARCH, Econometric Theory , 11, 122-50 28. Engle, R. F. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007. 29. Engle, R.F. and K. Sheppard (2001), Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH, Department of Economics Working Paper 22, University of California, San Diego, CA. 30. Eun, C. S. and S. Shim (1989), International Transmission of Stock Market Movements, Journal of Financial and Quantitative Analysis, 24(2), 241-56. 31. Friedman, T. L. (2005), The World Is Flat, Farra, Straus and Giroux, NY. 32. Gerlach, S. and F. Smets (1995), Contagious Speculative Attacks, European Journal of Political Economy, 11, 44-63. 33. Goetzmann, W. N., L. Li and K.G. Rouwenhorst (2002), Long-Term Global Market Correlations, Journal of Business, 78, 1-38. 34. Granger, C., and P. Newsbold (1974), Spurious Regression in Econometric, Journal of Econometric , 12, 111-120. 35. Gruble, H. G. and K. Fadner (1971), The Interdependence of International Equity Markets. Journal of Finance, 26, 89-94. 36. Gulen, H. and M. Stewart (2000), Stock Index Futures Trading and Volatility in International Equity Markets, Working Paper, University of Georgia, Athens, GA. 37. Hamao, Y., R. W. Masulis and V. Ng (1990), Correlation in Price Changes and Volatility across International Stock Market. The Review of Financial Studies, 3(2), 281-307. 38. Haque, M. and I. Kouki (2009), Effect of 9/11 on the Conditional Time-Varying Equity Risk Premium: Evidence from Developed Markets, Journal of Risk Finance, 10(3), 261-276 39. Ibbotson, R. G., R. C. Carr and A. W. Robinson (1982), International Equity and Bond Returns, Financial Analysts Journal, 38(4), 61-83. 40. Jeong, J-G. (1999), Cross-Border Transmission of Stock Price Volatility: Evidence from The Overlapping Trading Hours, Global Finance Journal, 10(1), 53–70. 41. Kanas, A. (1998), Volatility Spillovers Across Equity Markets: Europeanevidence, Applied Financial Economics, 8(3), 245-256. 42. Knif, J. and S. Pynnonen (2007), Volatility Driven Changes in Stock Return Correlation Dynamics, Managerial Finance, 33(3), 220-235 43. Koutmos, G. (1996), Modelling the dynamic interdependence of major European stock markets, Journal of Business Finance and Accounting, 23(7), 975-88. 44. Kwiatkowski, D., C. P. Phillips, P. Schmidt and Y. Shin (1992), Testing the Null Hypothesis of Stationary Against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159-178. 45. Laurent, S. (2004), Analytical Derivates of the APARCH Model, Computational Economics, 24(1), 51-57. 46. Lien, D. and L. Yang (2009), Intraday Return and Volatility Spill-Over Across International Copper Futures Markets, International Journal of Managerial Finance, 5(1), 135-149. 47. Ljung, G. and G. Box (1978), On a Measure of Lack of Fit in Time Series Models, Biometrika, 65(2), 297-303. 48. Longin, F. and B. Solnik (1995), Is the Correlation in International Equity Returns Constant: 1960–1990, Journal of International Money and Finance, 14, 3–26. 49. Longin, F. and B. Solnik (2001), Extreme Correlation of International Equity Markets , Journal of Finance, 56(2), 649-76. 50. Mandelbrot, B. (1963), The Variation of Certain Speculative Prices. Journal of Business, 36(4), 394. 51. Nelson, C. R., and C. I. Plosser (1982), Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implication, Journal of Monetary Economics, 10(2), 139-162. 52. Savva, C. S. (2009), International Stock Markets Interactions and Conditional Correlations, Journal of International Financial Markets, Institutions & Money, 19(4), 645-661. 53. Savva, C. S., D. R. Osborn and L. Gill (2009), Spillovers and Correlations between US and Major European Stock Markets: the Role of the Euro, Applied Financial Economics, 19, 1595-1604. 54. Schwert, W. G. (2002), Stock Volatility in the New Millennium: How Wacky is Nasdaq?, Journal of Monetary Economics, 49(1), 3-26. 55. Scruggs, J. T. (1998), Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two Factor Approach, Journal of Finance, 53, 575-603. 56. Syriopoulos, T. and E. Roumpis (2009), Dynamic Correlations and Volatility Effects in the Balkan Equity Markets, Journal of International Financial Markets, Institutions & Money, 19(4), 565-587. 57. Theodossiou, P. and U. Lee (1993), Mean and Volatility Spillovers across Major National Stock Markets: Future Empirical Evidence, Journal of Financial Research, 16, 337-50. 58. Wong Swau, D. (2003), Contagion: An Empirical Test International. Finance Discussion Paper, No.775, Board of Governors of the Federal Reserve System Washington D.C. 2-22. 59. Yafee, R. A., and M. McGee (2000), Introduction to Time Series Analysis and Forecasting with Application of SAS and SPSS, Academic Press. Inc. 60. Yiu, M. S., W-Y. Alex Ho and D. F. Choi (2010). Dynamic Correlation Analysis of Financial Contagion in Asian Markets in Global Financial Turmoil, Applied Financial Economics, 20. 345-354.
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

Show full item record

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.