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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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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.
其他識別: U0005-2606201023484500
Appears in Collections:企業管理學系所

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