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| Title: | 台灣股票市場的產業外溢效果
Spillover of industry effect in Taiwan stock market |
| Authors: | 張孟溢
Chang, Meng Yi |
| Contributors: | 郭維裕
Kuo, Wei Yu
張孟溢
Chang, Meng Yi |
| Keywords: | 外溢效果
一般化向量自我相關模型
產業
波動
報酬
Spillover
generalized VAR
industry
volatility
return |
| Date: | 2009 |
| Issue Date: | 2010-12-08 13:43:01 (UTC+8) |
| Abstract: | We investigate the spillover of industry effect in Taiwan stock market. Using a generalized vector autoregressive where forecast-error variance decompositions are invariant to variable ordering, we objectively propose measures of both total and directional spillovers on return and volatility daily data. In full-sample analysis, there is a heavy spillover effect in the interaction between stock market and industries. The stock market acts as a receiver from the information diffused from the industries, but the industries could not be confirmed as spillover outputer or inputer. The rolling-sample findings also pinpoint the high spillovers during the financial events. Finally, conducting the robustness test, we divide the sample periods into subperiods and switch the daily data toward weekly and monthly data, then obtaining the consistent results with prior inference. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
97351007
98 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0097351007 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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