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標題: A Study on the Long Memory, Interrelationships and Volatility Spillovers for Stock Price Indexes of Taiwanese TFT-LCD Upper, Middle, and Down Stream Industries: An Application of FIEC-HYGARCH Model
台灣TFT-LCD 產業上中下游股價之長期記憶、關聯性與波動外溢效果之研究:FIEC-HYGARCH模型之應用
作者: Liu, Hsiang-Hsi
Liu, Hao-Yu
關鍵字: 長期記憶;Long Memory;分數共整合;誤差修正模型;HYGARCH模型;波動外溢;Fractionally Cointegrated;Error Correction Model;HYGARCH Model;Volatility Spillovers
出版社: 臺中巿:國立中興大學農業經濟研究所
Project: 應用經濟論叢, Issue 92, Page(s) 119-162.
The purpose of this study is to analyze the long memory, interrelationships and volatility spillovers for stock price indexes of Taiwanese TFT-LCD upper, middle and down stream industries. This study formulates a trivariate FIEC-HYGARCH Model. The sample period of this study extends from January 1, 2003 to June 30, 2010. The empirical results verify that the FIEC-HYGARCH model can be used to capture the effects of long memory. The rate of returns of TFT-LCD upper, middle, and down stream stock price indexes have their own-and cross-market mean spillover effects. These findings imply that the TFT-LCD panel market for each industry is not efficient in the sense that the rate of returns of the indexes for these industries could be predicted by using past information for the investors. The empirical results also reveal that the volatility spillover effects of the rate of returns among TFT-LCD upper, middle and downstream industries in Taiwan. Finally, as for the conditional covariance, the dynamic interrelationships were found to exist among the stock price indexes of these three TFT-LCD panel industries.

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