Please use this identifier to cite or link to this item:
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
引用: 參考文獻 中文部分 1. 聶建中、林景春、詹凱婷 (2004)。兩岸三地股價聯動性研究。輔仁管理評論,112,63-82。 英文部分 1. Akgiray, V. (1989), Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts, Journal of Business, 62, 55–80. 2. Bae, K. H., A. Karolyi and R. Stulz (2003), A New Approach to Measuring Financial Contagion, Working Paper, Dice Center at Fisher College of Business, Ohio State University. 3. Baillie, R. and R. DeGennaro (1990), Stock Returns and Volatility, Journal of Financial and Quantitative Analysis, 25, 203–14. 4. Baur, D. and R. C. Jung (2006), Return and Volatility Linkages between The US and The German Stock Market, Journal of International Money and Finance, 25, 598–613. 5. Becker, K. G., J. E. Finnerty and M. Gupta (1990), The Intertemporal Relation between the U.S. and Japanese Stock Markets, Journal of Finance, 45, 1297–306. 6. Bekaert, G. and C. R. Harvey (2000), Foreign Speculators and Emerging Equity Markets, Journal of Finance, 55, 565–613. 7. Bessler D. A. and J. Yang (2003), The Structure of Interdependence in International Stock Markets, Journal of International Money and Finance 22, 261-287. 8. Blasco, N., P. Corredor and R. Santamarı´a (2002), Is Bad News Cause of Asymmetric Volatility Response? A note, Applied Economics, 34, 1227–31. 9. Blasco, N., P. Corredor, C. Del Rio and R. Santamarı´a (2005), Bad News, European Journal of Operational Research, 163, 253–75. 10. Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, 307-327. 11. Bollerslev, T., R. Chou and K. Kroner (1992), ARCH Modeling in Finance: A Review of Theory and Empirical Evidence, Journal of Econometrics, 52, 5–59. 12. Chan, K-C., T-W. Cheng and K-W. Fung (2002), Ownership Restrictions and Stock-price Behavior in China, The Chinese Economy, 34, 29-48. 13. Chou, R-J., L. Li and C-S. Wu (1998), Modeling Taiwan Stock Market and International Linkages, Internatilnal Conference on Finance, March, Department of Finance, National Taiwan University. 14. Conolly, R. A. (1989), An Examination of the Robustness of the Weekend Effect, Journal of Financial and Quantitative Analysis, 24, 133–70. 15. Conolly, R. A. and F-A. Wang (2000), On Stock Market Return Co-movements: Macroeconomic News, Dispersion of Beliefs, and Contagion, Working Paper, Rice University. 16. Darbar, S. M. and P. Deb (1997), Comovement in International Equity Markets, Journal of Financial Research , Fall, 305-322. 17. Dickey, D. A., and W. A. Fuller (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74(366), 427-431. 18. Dickey, D. A., and Fuller, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49(4), 1057-1072. 19. Dunis, C. L. and G. Shannon (2005), Emerging Markets of South-East and Central Asia: Do They Still Offer a Diversification Benefit? Journal of Asset Management, 6(3), 168-90. 20. Dwyer, G. P. and R. W. Hafer (1988), Are National Stock Markets Linked? Federal Reserve Bank of St. Louis Review, Nov/Dec, 3–14. 21. Engle, R. F. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50(4), 987-1007. 22. Engle, R. F. and T. Bollerslev (1986), Modelling the Persistence of Conditional Variances, Econometric Reviews, 5(1), 1-50. 23. Engle, R. F., D. M. Lilien and R. P. Robins (1987), Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M model, Econometrica, 55(2), 391-407. 24. Eun, C., and S. Shim (1989), International Transmission of Stock Market Movements, Journal of Financial and Quantitative Analysis, 24, 241-256. 25. Fabozzi, F. J., C. K. Ma, W. T. Chittenden and R. D. Pace (1995), Predicting Intraday Price Reversals, Journal of Portfolio Management, 21, 42–53. 26. Forbes, K. and R. Rigobon (2002), No Contagion Only Inter-depenence: Measuring Stock Market Co movements, Journal of Finance, 5, 2223-61. 27. Franses, P. H., D. D. Dijk and A. Lucas (2004), Short Patches of Outliers, ARCH and Volatility Modeling, Applied Financial Economics, 14, 221–31. 28. French, K., G. Schwert and R. Stambaugh (1987), Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3–29. 29. Fung, A. K., D. M. Y. Mok and K. Lam (2000), Intraday Price Reversals for Index Futures in the US and Hong Kong, Journal of Banking and Finance, 24, 1179–201. 30. Gallant, A. R., P. E. Rosie and G. Tauchen (1992), Stock Prices and Volume, Review of Financial Studies, 5, 199–242. 31. Ghosh. A. (1999), Who Moves the Asia-Pacific Stock Markets U.S. or Japan?Empirical Evidence Base on the Theory of Cointegration. The Financial Review, 34, 159-170. 32. Gonzalez, J. G., R. W. Spencer and D. T. Walz (2003), A Contemporary Analysis of Mexican Stock Market Volatility, Applied Financial Economics, 13, 741–5. 33. Gosnell, T. F. (1995), The Distribution of Reversals and Continuations and Tests for Intraday Market Efficiency, Journal of Business Finance and Accounting, 22, 225–43. 34. Granger, C. and P. Newsbold (1974), Spurious Regression in Econometric, Journal of Econometrics , 12, 111-120. 35. Hamao, Y., R. W. Masulis and V. Ng (1990), Correlations in Price Changes and Volatility Across International Stock Markets, Review of Financial Studies, 3, 281–307. 36. Jang, Hoyoon and S. Wonsik (2002), The Asian Financial Crisis and the Co-movement of Asian Stock Markets, Journal of Asian Economics, 13(1), 94-104. 37. Karolyi, G. A. (1995), A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada, Journal of Business and Economic Statistics, January, 13(1), 11-25. 38. King, M. and S. Wadhwani (1990), Transmission of volatility between stock markets, Review of Financial Studies, 3, 5–33. 39. King, M., E. Sentana and S. Wadhwani (1994), Volatility and Links Between National Stock Markets, Econometrica, 62, 901-934. 40. Knif, J. and S. Pynnönen (1999), Local and Global Price Memory of International Stock Markets, Journal of International Financial Markets,Institutions and Money , 9, 129-147. 41. Koutmos, G. and G. G. Booth (1995), Asymmetric Volatility Transmission in International Stock Markets, Journal of International Money and Finance, 14, 747–62. 42. Kyriacou, K. and L. Sarno (1999), The Temporal Relationship between Derivatives Trading and Spot Market Volatility in the UK: Empirical Analysis and Monte Carlo Evidence, Journal of Futures Markets, 19, 245–70. 43. Kwiatkowski, D., C. P. Phillpis, P. Schmidt and Y. Shin (1992), Testing the Null Hypothesis of Stationary Against the Alternatives of a Unit Root: How Sure Are We That Economic Time Series Have a Uint Root? Journal of Econometrics , 54, 159-178. 44. Lee, B-S., O-M. Rui and S-S. Wang (2004), Information Transmission between the NASDAQ and Asian Second Board Markets, Journal of Banking and Finance, 28, 1637–70. 45. Lessard, D. R. (1974), World, National, and Industry Factor in Equity Returns, The Journal of Finance, 29(2), 379-399. 46. Lin, W-L., R. F. Engle and T. Ito (1994), Do Bulls and Bears Move across Borderss? International Transmisson of Stock Returns and Volatility, The Review of Finalcial Studies 3, 507-508. 47. Liu, Y-A. and M-S. Pan (1997), Mean and Volatility Spillovers Effects in the U.S. and Asian Stock Pacific-Basin Markets, Multinational Finance Journal, 1(1), 47-62 48. Lo, A. W. and A. C. MacKinlay (1990), When are contrarian profits due to market overreaction? Review of Financial Studies, 3, 175–205. 49. Masih, A. M. M. and R. Masih (2001), Long and Short Term Dynamic Causal Transmission amongst International Stock Markets, Journal of International Money and Finance, 20, 563-587 50. Masih, A. and R. Masih (1999), Are Asian Stock Markets Fluctuations Due Mainly to Intra-regional Contagion Effects? Evidence Based on Asian Emerging Stock Markets, Pacific-Basin Finance Journal, 7, 251–82. 51. Miralles-Marcelo, J. L. and J. L. Miralles- Quirós (2008), Intraday Linkages between the Spanish and the US Stock Markets: Evidence of an Overreaction Effects, Applied Economics, 42(2), 223-235. 52. Ozun, A. (2007). Are the Reactions of Emerging Equity Markets to the Volatility in Advanced Markets Similar? Comparative Evidence from Brazil and Turkey. International Research Journal of Finance and Economics, 9, 220-30. 53. Peiro´, A., J. Quesada and E. Uriel (1998), Transmission of Movements in Stock Markets, The European Journal of Finance, 4, 331–43. 54. Rahman, S., C-F. Lee and A. P. Ang (2002), Intraday Return Volatility Process: Evidence from Nasdaq Stocks, Review of Quantitative Finance and Accounting, 19, 155–80. 55. Roll, R. (1992), Industrial Structure and the Comparative Behavior of International Stock Market Indices, Journal of finance 47, 3-42. 56. Said, S. E., and D. A. Dickey (1984), Testing for Unit Roots in Autoregressive-moving Average Models of Unknown Order, Biometrika, 71(3), 599-607. 57. Stoll, H. R. and R. E. Whaley (1990), Stock Market Structure and Volatility, Review of Financial Studies, 3, 37–71. 58. Susmel, R. and R. F. Engle (1994), Hourly Volatility Spillovers between International Equity Markets, Journal of International Money and Finance, 13, 3–25. 59. Theodossiou, P., E. Kahya, G. Koutmos and A. Christofi (1997), Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets, The Financial Review, 32(2), 205-224. 60. Von Furstenberg, G. M. and B. N. Jeon (1989), International Stock Price Movements:Links and Messages, Brooking Papers on Economic Activity, 1, 125-179. 61. Wang, S. S. and M. Firth (2004), Do Bears and Bulls Swim Across Oceans? Market Information Transmission between Greater China and the Rest of the World, International Financial Markets, Institutions and Money, 14, 235–54. 62. Wang, S. S., O. M. Rui and M. Firth (2002), Return and Volatility Behavior of Dually-traded Stocks: the Case of Hong Kong, Journal of International Money and Finance, 21, 265–93. 63. Wei, K. C., Y. Liu, C. Yang and G. Chaung (1995), Volatility and Price Change Spillover Effects Across the Developed and Emerging Markets, Pacific-Basin Finance Journal, 3, 113–36. 64. Zhu, H., Z. Lu and S. Wang (2004), Causal Linkages among Shanghai, Shenzhen and Hong Kong Stock Markets, International Journal of Theoretical and Applied Finance, 7, 135-149.
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.
其他識別: U0005-2806201022323900
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.