政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35784

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 | 全文笔数/总笔数 : 113325/144300 (79%)
造访人次 : 51163899 在线人数 : 920

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜寻范围

查询小技巧：

您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果

若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据

进阶搜寻

主页 ‧ 登入 ‧ 上传 ‧ 说明 ‧ 关于政大典藏 ‧ 管理

到手机版

政大機構典藏 > 社會科學學院 > 經濟學系 > 學位論文 > Item 140.119/35784

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/35784

题名:	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
作者:	賴彥君 Lai Yen-Chun
贡献者:	林金龍 Lin Jin-Lung 賴彥君 Lai Yen-Chun
关键词:	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
日期:	2007
上传时间:	2009-09-18 16:01:30 (UTC+8)
摘要:	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。
參考文獻:	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.
描述:	碩士國立政治大學經濟研究所 95258030 96
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0095258030
数据类型:	thesis
显示于类别:	[經濟學系] 學位論文

文件中的档案:

档案	描述	大小	格式	浏览次数
803001.pdf		116Kb	Adobe PDF2	857	检视/开启
803002.pdf		394Kb	Adobe PDF2	786	检视/开启
803003.pdf		145Kb	Adobe PDF2	696	检视/开启
803004.pdf		91Kb	Adobe PDF2	762	检视/开启
803005.pdf		143Kb	Adobe PDF2	749	检视/开启
803006.pdf		128Kb	Adobe PDF2	795	检视/开启
803007.pdf		593Kb	Adobe PDF2	1018	检视/开启
803008.pdf		1922Kb	Adobe PDF2	4161	检视/开启
803009.pdf		1523Kb	Adobe PDF2	1938	检视/开启
803010.pdf		562Kb	Adobe PDF2	945	检视/开启
803011.pdf		1318Kb	Adobe PDF2	1134	检视/开启
803012.pdf		8380Kb	Adobe PDF2	1163	检视/开启
803013.pdf		299Kb	Adobe PDF2	810	检视/开启

在政大典藏中所有的数据项都受到原著作权保护.

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 © - 回馈