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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/54312
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54312


    Title: 極端事件下台灣股匯市之關聯性— CoVaR應用
    The relationship between TAIEX and NTD/USD in extreme events on CoVaR model
    Authors: 曹君龍
    Contributors: 陳威光
    周冠男

    曹君龍
    Keywords: CoVaR
    關聯性
    股票市場
    外匯市場
    分量迴歸
    Date: 2011
    Issue Date: 2012-10-30 10:42:23 (UTC+8)
    Abstract: 近年來金融性風暴頻傳,導致全球資金快速移動,許多國家的股匯市因此產生劇烈波動,台灣即是其中之一。有鑑於台灣股匯市的波動,部分投資者開始採用股價與匯率的相關性進行未來走勢預測,並建構策略進行交易,但中央銀行一再宣稱台灣股匯市間不存在實質的相關性,並提醒投資大眾不要因錯誤認真而遭逢重大損失,因此本研究的主要目的在於分析極端事件下台灣股匯市的關聯性。
    本研究採用新的風險評估方法「CoVaR」進行分析,其定義為在其他市場發生特殊事件下目標市場的最大可能損失,而CoVaR與VaR的主要差別在於其考慮了其他市場的外溢效果,因此更能充分反映極端事件下的真實風險值。本文採用1993年至2011年的台灣加權股價指數和美元兌台幣匯率日資料,經由實證分析後主要有三大發現:一、美元匯率報酬臨界值與股價指數報酬率呈現負相關,股價指數報酬臨界值也與美元匯率報酬率呈現負相關;二、整體而言,股市多方比空方承受更多的風險,新台幣持有者比美元持有者承受更多的風險;三、股市對匯市的外溢效果較匯市對股市來的強烈。此外,台灣股匯市若採用新風險評估方法CoVaR進行風險值估算,將可以發現其較傳統VaR高出兩成至七成,由此可知台灣股匯市若處於極端事件下,將產生嚴重的風險外溢現象。
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    Description: 碩士
    國立政治大學
    金融研究所
    99352015
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099352015
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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