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dc.contributor.authorHuang, Yu-Lanen_US
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dc.description.abstract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。zh_TW
dc.description.abstractThe 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.en_US
dc.description.tableofcontents目 錄 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 2 第三節 研究流程 3 第二章 文獻探討 5 第一節 市場間連動性之相關研究 5 第二節 當日與隔夜股價報酬率之相關研究 18 第三節 恆定性檢定之相關研究 28 第四節 自我迴歸條件變異模型之相關研究 28 第五節 文獻回顧與研究方向 29 第三章 研究方法 30 第一節 研究架構 30 第二節 當日與隔夜股價報酬率 31 第三節 恆定性檢定 31 第四節 GARCH 模型 35 第五節 股市間之當日與隔夜股價報酬率的連動性 37 第四章 實證分析 41 第一節 研究樣本與研究期間 41 第二節 台灣、美國與中國大陸股市之當日與隔夜股價報酬率之敘述統計分析 43 第三節 台灣、美國與中國大陸股市之當日與隔夜股價報酬率之恆定性檢定 45 第四節 台灣、美國與中國大陸股市間大盤股價指數當日與隔夜股價報酬率的連動性之GARCH實證分析 47 第五節 台灣、美國與中國大陸股市間大型企業股價指數當日與隔夜股價報酬率的連動性之GARCH實證分析 51 第六節 台灣、美國與中國大陸股市間大盤與大型企業股價指數當日與隔夜股價報酬率的連動性之比較分析 55 五章 研究結論與建議 61 第一節 結論 61 第二節 研究建議 66 參考文獻 67 附錄 72zh_TW
dc.subjectintraday returnen_US
dc.subjectovernight returnen_US
dc.subjectGARCH modelen_US
dc.titleThe Study of Linkage in Intraday and Overnight Stock Returns of Taiwan, America, and Mainland Chinaen_US
dc.typeThesis and Dissertationzh_TW
item.openairetypeThesis and Dissertation-
item.fulltextno fulltext-
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