English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113822/144841 (79%)
Visitors : 51849550      Online Users : 411
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/129113


    Title: 亞洲主要股市報酬波動的潛在鏈結程度衡量
    Measuring the Connectedness of Returns and Volatilities in Asian Stock Markets
    Authors: 徐士勛*
    Hsu, Shih-Hsun
    李佳罄
    Contributors: 經濟系
    Keywords: 股市報酬率與波動率;廣義預測誤差變異數分解;鏈結指數;外溢效果;網 絡佈局圖
     Return and Volatility ; generalized forecast error variance decomposition ; connectedness ; spillover effect ; connectedness layout
    Date: 2019-01
    Issue Date: 2020-03-05 11:45:49 (UTC+8)
    Abstract: 本研究根據 Diebold and Yilmaz (2014, Journal of Econometrics) 所延伸網絡拓 樸 (network topology) 的概念與分析架構, 利用向量自我迴歸模型 (vector autoregression, VAR) 之廣義預測誤差變異數分解 (generalized forecast error variance decomposition) 的估計結果, 在 「控制歐美主要股市影響」 下, 建立了亞洲各股市 報酬率及波動率對應的潛在鏈結 (connectedness) 關係網絡。 我們發現 (1) 亞洲各 股市之間的鏈結有越趨緊密的態勢 ; (2) 鏈結指數在金融危機與外生衝擊事件發生 時具有較高的數值, 此反映危機發生時各股市間更為緊密的依存現象 ; (3) 亞洲股 市的金融傳導網絡主要以香港和新加坡為中心, 而中國與俄羅斯股市則與其餘亞 洲股市無顯著的鏈結。
    According to the network topology and the framework proposed by Diebold and Yilmaz (2014), this paper measures the potential connectedness of returns and volatilities among Asian stock markets while controlling for the effects of European and U.S. stock markets. The main findings are (i) the connectedness among Asian stock markets is getting closer in general; (ii) the larger values of the connectedness index are usually observed in the periods of financial crises; (iii) Hong Kong and Singapore play the major roles as far as spillover effects on Asian stock markets are concerned, whereas China and Russia play only minor roles.
    Relation: 經濟論文叢刊, 47卷4期, 579 - 620
    Data Type: article
    DOI 連結: https://doi.org/ 10.6277/TER.201912_47(4).0003
    DOI: 10.6277/TER.201912_47(4).0003
    Appears in Collections:[經濟學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    157.pdf6182KbAdobe PDF2250View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback