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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49553


    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:[Department of International Business] Theses

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