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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54880


    Title: 跨國金融危機擴散效果之分析-以Copula模型為分析方法
    Analysis of transnational financial crisis contagion effect-copula approach
    Authors: 莊旭明
    Chuang, Shiu Ming
    Contributors: 毛維凌
    Mao, Wei Lin, Ph.D.
    莊旭明
    Chuang, Shiu Ming
    Keywords: 金融危機
    關聯結構函數
    蔓延效果
    尾端相關性
    financial crisis
    copula
    contagion effect
    tail dependence
    Date: 2011
    Issue Date: 2012-10-30 14:04:47 (UTC+8)
    Abstract: 本篇論文主要是想探討在2008年全球金融危機發生後，美國與亞洲國家股票市場之間的相關性是否發生明顯的改變。藉由2005年至2012年美國、新加坡、台灣、日本和泰國的股票市場資料，來觀察各國股票市場的相關性是否產生不對稱的現象，首先檢定美國對其他四個國家有無產生蔓延效果，並藉由不同期間的資料來檢定蔓延效果以看出各國之間是否在極端的情況下產生尾端相關性，最後，再使用不同的關聯結構函數配適出最適合資料的模型。
    The main idea of this paper is to show whether or not that stock market between U.S and Asian country has been obviously changed after 2008 financial crisis. For the sake of observing if there is or not occurred inconsistence phenomenon in each country’s stock market, we use the information from U.S、Singapore、Taiwan、Japan and Thailand since 2005 to 2012. First, look in that if U.S has contagion affects to other four countries and, checkup the contagion effects through the information from different period to find the tail dependence in extreme situation. Finally, to dispose a model which is the most suitable for the information by using different Copula functions.
    Reference: 賴亦豪、江福松、林煌傑 (2010)，極端報酬下亞洲股市之蔓延效果:應用Copula分析法，《經濟與管理論叢》，6(2), 247-270。
    賴柏志 (2004)，關聯結構(copula)在信用風險管理之運用，金融風險管理季刊。
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    Description: 碩士
    國立政治大學
    經濟學系
    98258009
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0098258009
    Data Type: thesis
    Appears in Collections:[Department of Economics] Theses

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