Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23071
標題: Spillovers of Stock Return and Volatility -- Empirical study from Industrial Indexes
亞洲國家和美國及日本間的傳動關係 --從產業指數的角度
作者: 劉俊宏
Liou, Jyun-Hong
關鍵字: spillover;傳動;industrial indexes;Dynamic conditional correlation coefficient(DCC);產業指數;動態條件相關係數
出版社: 財務金融系所
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摘要: 
In the first part of this paper, we investigate the spillover effects of returns and fluctuations between the US and Asian countries, and between Japan and other Asian countries from the perspective of industrial index. Next, utilizing the conditional dynamic correlation coefficient, as well as the market value and trade volume of the specified industry, it is to be determined if the market indices are correlated to a particular industrial index in the US and Asian countries, as well as Japan and the other Asian countries. The sample period is from 2 January 1995 to 20 October 2005. Regardless of market indices or industrial indices, the returns in the US has a more significant influence than that in Japan on the Asian countries. The spillover of some industrial indexes are even large than the one of market index. With regards to the variance equation, the influences of the US and Japan on the same industries in the Asian countries are not as significant. However, the fluctuations in Japan are influenced by the same industries in the East Asian Tigers. The second part find that the industrial sector (CS) in Hong Kong (HK), the industrial sector (FI) in Indonesia (ID), the industrial sector (IT) in South Korea (KO), the industrial sector (FI) in Malaysia (MY), the industrial sector (CS), (NC) and (RE) in Philippines (PH) and the industrial sector (IT) and (NS) in Singapore (SG) may drive the relationship between the market indices in the US forward. The industrial sector (IT) in Taiwan (TA) may may drive the relationship between the market indices in Japan forward.

本文的第一個部分從產業指數的角度探討美國和亞洲國家及日本和亞洲國家報酬率及波動的傳導效果,第二部分利用動態相關係數,輔以該產業的市值及交易量,想找出亞洲市場和美國或日本間是否由某產業指數來帶動市場指數的連動。樣本期間為1995/1/2到2005/10/209包含市場指數及9個產業指數,本文發現,不論市場指數或產業指數,美國報酬對亞洲國家報酬的影響力遠大於日本,在一階傳遞的部分,部分產業指數間的傳遞效果甚至大於市場指數間的傳遞。在波動度方面,亞洲國家不太受到美國和日本相同產業的影響,但日本的波動度會受亞洲四小龍相同產業的影響。本文第二部分發現香港(HK)的週期性服務(CS)、印尼(ID)的金融產業(FI)、南韓(KO)的資訊科技業(IT)、馬來西亞(MY)的金融業(FI)、非週期性消費財(NC)及一般產業(GI)、菲律賓(PH)的週期性服務(CS)、非週期性消費財(NC)及能源產業(RE)、新加坡的資訊科技產業(IT)及非週期性服務(NS)、泰國(TH)的金融業(FI)、非週期性服務(NS)及能源產業(RE),這些國家的這些產業可能帶動和美國市場指數間的關係。而台灣(TA)的資訊科技業(IT)可能帶動和日本市場指數間的關係。
URI: http://hdl.handle.net/11455/23071
其他識別: U0005-1608200621350300
Appears in Collections:財務金融學系所

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