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國際股市與匯市之波動與關連性比較 = Volatility and co...

國立高雄大學應用經濟學系碩士班

國際股市與匯市之波動與關連性比較 = Volatility and correlation comparison in international stock and foreign exchange markets

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	Volatility and correlation comparison in international stock and foreign exchange markets
作者:	徐偉城,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	民99[2010]
面頁冊數:	69面圖，表 : 30公分;
標題:	動態條件相關係數
標題:	Dynamic conditional correlation
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/14829088420686362015
摘要註:	在以往許多文獻中，對於匯率變動是否影響股市報酬持兩派意見，一派認為有影響，另一派則認為影響微乎其微，本研究以三變量DCC-EGARCH模型來分析金融市場間的相關係數以及匯率變動是否會對股市報酬波動造成影響。本研究使用美國股市報酬與台灣、日本、南韓、新加坡、泰國、印尼、菲律賓、馬來西亞八國股匯市的週資料來探討他們之間從2000年到2010年的連動關係變化，結果發現相關係數隨時間變化而變化的幅度十分顯著，其無法用非條件固定相關係數來描述整個動態時間過程裡各國股匯市與美國股市之間的連動關係，各國股匯市之間的相關性，除菲律賓外大都為負，各國股市與美國股市間的相關性，除台灣外大都為正，而匯市與美國股市間的相關性大都為負相關或無相關居多。研究結果也發現，匯率波動會增加股市報酬波動的機會，匯率變動是會對股市報酬造成影響的，但台灣的研究結果顯示匯率波動並不會影響股市報酬的波動，這可能是因為中央銀行長期關注匯市，不讓匯率與匯率評價相差太多，將匯率波動控制在一定程度之內，導致本文研究結果顯示匯率的波動不會影響股市報酬的波動。 In the past empirical studies, there are different views about the impact of exchange rate changes for stock market returns, and some researchers claim that stock returns are significantly affected by exchange rate fluctuations, while others argue that exchange rate movements provide little or no explanation for stock returns. Our study analyze the correlations between international financial markets and weather the volatility in equity markets is influenced by exchange rate fluctuations with three-variables DCC-EGARCH model.Our study applies weekly data of U.S. stock return, and the equity and exchange rate returns of Taiwan, Japan, Korea, Singapore, Thailand, Indonesia, Philippines and Malaysia to investigate the comovements among markets from 2000 to 2010. Empirical results show that correlation between international financial markets varies vary significant extent with time, we can not discuss the comovements of international financial markets with fixed correlation hypothesis. Exchange rate fluctuations held a relatively large fraction of the variation in local stock market returns, and exchange rate movements provide large explanation for investors in making investment decisions, but except in Taiwan. This may be due to central bank concern about foreign exchange market, not to evaluate the exchange rate and exchange rate difference in too many waves, resulting in this research shows that exchange rate fluctuations will not affect the volatility of stock returns.

國際股市與匯市之波動與關連性比較 = Volatility and correlation comparison in international stock and foreign exchange markets
徐, 偉城

國際股市與匯市之波動與關連性比較 = Volatility and correlation comparison in international stock and foreign exchange markets / 徐偉城撰 - [高雄市] : 撰者, 民99[2010]. - 69面 ; 圖，表 ; 30公分.
參考書目：面.
動態條件相關係數Dynamic conditional correlation

國際股市與匯市之波動與關連性比較 = Volatility and correlation comparison in international stock and foreign exchange markets
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