政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35784
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113451/144438 (79%)
Visitors : 51290466      Online Users : 970
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/140.119/35784


    Title: 美國次級房貸風暴對全球股價走勢的衝擊與影響-以DCC模型分析
    Using DCC Model to Analyze the Impact of the Subprime Mortage Crisis on the Global Stock Market
    Authors: 賴彥君
    Lai Yen-Chun
    Contributors: 林金龍
    Lin Jin-Lung
    賴彥君
    Lai Yen-Chun
    Keywords: 次級房貸
    動態條件自我相關模型
    台灣股市
    美國股市
    subprime
    DCC
    Taiwan stock market
    American stock market
    Date: 2007
    Issue Date: 2009-09-18 16:01:30 (UTC+8)
    Abstract: 摘要
    2007年初美國發生次級房貸大量違約, 陸續有銀行倒閉, 進而撼
    動整個美國與歐洲股市。一向與美國有密切貿易關係的台灣,在此事
    件中到底受到多大的影響? 本文利用DCC模型探討次貸風暴前後,台
    美股價間的關係是否有發生顯著的變化? 實證結果發現: 台灣與美國
    的動態相關係數在次級房貸之後, 反而變小, 可見台灣的股市並未受
    到很大的衝擊, 而亞洲地區的大多數國家也都與台灣相似,與美國的
    動態相關係數變小,可見亞洲地區在次貸風暴中扮演著避風港的角色。
    Reference: Baele, Lieven (2003), “Volatility spillover effects in european equity markets”, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration, URL:
    http://ideas.repec.org/p/rug/rugwps/03-189.html.
    Bauwens, Luc, Sabastien, Laurent, and Jeroen V. K., Rombouts (2006), “Multivariate garch models: a survey”, Journal of Applied Econometrics, 21(1), 79–109.
    Bollerslev, Tim (1986), “Generalized autoregressive conditional heteroskedasticity”, Journal of Econometrics, 31(3), 307–327.
    Campbell, Rachel, Kees, Koedijk, and Paul, Kofman (2002), “Increased correlation in bearmarkets”, Financial Analysts Journal, 58(1), 87–94.
    Cappiello, Lorenzo, Robert F., Engle, and Kevin, Sheppard (2003), “Asymmetric dynamics in the correlations of global equity and bond returns”, Working Paper Series 204, European Central Bank, URL:
    http://ideas.repec.org/a/oup/jfinec/v4y2006i4p537-572.html.
    Chang, Kung Hsiung, Su Li, Chou, and Chin Shun, Wu (2000), “International transmission of stock market movements within the great china economic area”, Pan Pacific Management Review, 3(2), 283–298.
    Chou, Ray Y., Jin Lung, Lin, and Chung Shu, Wu (1999), “Modeling the taiwan stockmarket and international linkages”, Pacific Economic Review, 4(3), 305–320.
    Dickey, David A. andWayne A., Fuller (1979), “Distribution of the estimators for autoregressive time serieswith a unit root”, Journal of the American Statistical
    Association, 74(366), 427–431.
    Engle, Robert F. (1982), “Autoregressive conditionalheteroscedasticitywith estimates
    of the variance of united kingdominflation”, Econometrica, 50(4), 978–
    1007.
    Engle, Robert F. (2002), “Dynamic conditional correlation a simple class of multivariate garchmodels”, Journal of Business & Economic Statistics, 20(3), 339–350.
    Engle, Robert F. and Kenneth F., Kroner(1995), “Multivariate simultaneous generalized
    arch”, Econometric Theory, 11(1), 122–150.
    Engle, Robert F. and Victor K., Ng (1991), “Measuring and testing the impact of news on volatility”, Working Paper 3681, National Bureau of Economic Research,
    URL: http://www.nber.org/papers/w3681.
    Glosten, Lawrence R., Ravi, Jagannathan, and David E., Runkle (1993), “On the relation between the expected value and the volatility of the nominal excess return on stocks”, Staff Report 157, Federal Reserve Bank of Minneapolis,
    URL: http://ideas.repec.org/p/fip/fedmsr/157.html.
    Kroner, K. E. and Victor K., Ng (1998), “Modeling asymmetric comovements of asset returns”, Review of Financial Studies, 11(4), 817–844.
    Ling, Shiqing and Michael, McAleer (2003), “Asymptotic theory for a vector arma-garch model”, Econometric Theory, 19(02), 280–310, URL:
    http://ideas.repec.org/a/cup/etheor/v19y2003i02p280-310.html.
    Martens, Martin and Ser Huang, Poon (2001), “Returns synchronization and daily correlation dynamics between international stock markets”, Journal of Banking & Finance, 25(10), 1805–1827.
    Nelson, Daniel B. (1991), “Conditional heteroskedasticity in asset returns: A new approach”, Econometrica, 59(2), 347–70, URL:
    http://ideas.repec.org/a/ecm/emetrp/v59y1991i2p347-70.html.
    Pelagatti, Matteo M. and Stefania, Rondena (2005), “Dynamic conditional correlationwith
    elliptical distributions”, Econometrics 0503007, EconWPA,URL:
    http://ideas.repec.org/p/wpa/wuwpem/0503007.html.
    Solnik, Bruno, Cyril, Boucrelle, and Yann Le, Fur (1996), “International market
    correlation and volatility”, Financial Analysts Journal, 52(5), 17–34.
    Tsay, Ruey S. and George C., Tiao (1984), “Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary armamodels”, Journal of the American Statistical Association, 79(385), 84–96.
    Tse, Y. K. and A. K. C., Tsui (2002), “A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations”, Journal of Business & Economic Statistics, 20(3), 351–362.
    Yang, Sheng Yung (2005), “A dcc analysis of international stock market correlations: the role of japan on the asian four tigers”, Applied Financial Economics Letters, 1(2), 89–93, URL:
    http://dx.doi.org/10.1080/17446540500054250.
    Description: 碩士
    國立政治大學
    經濟研究所
    95258030
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095258030
    Data Type: thesis
    Appears in Collections:[Department of Economics] Theses

    Files in This Item:

    File Description SizeFormat
    803001.pdf116KbAdobe PDF2857View/Open
    803002.pdf394KbAdobe PDF2786View/Open
    803003.pdf145KbAdobe PDF2696View/Open
    803004.pdf91KbAdobe PDF2762View/Open
    803005.pdf143KbAdobe PDF2749View/Open
    803006.pdf128KbAdobe PDF2795View/Open
    803007.pdf593KbAdobe PDF21018View/Open
    803008.pdf1922KbAdobe PDF24161View/Open
    803009.pdf1523KbAdobe PDF21938View/Open
    803010.pdf562KbAdobe PDF2945View/Open
    803011.pdf1318KbAdobe PDF21134View/Open
    803012.pdf8380KbAdobe PDF21163View/Open
    803013.pdf299KbAdobe PDF2810View/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