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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/85923


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    题名: 亞太盆地國家股市報酬、波動性與國家信用評比等級的關聯性
    Stock Return, Volatility and Country Credit Risk: The Asia-Pacific Markets
    作者: 陳豐隆
    Chen, Warren F.L.
    贡献者: 杜化宇
    Anthony Tu
    陳豐隆
    Warren F.L. Chen
    关键词: 亞太盆地
    股票報酬率
    波動度
    國家信用
    時間序列
    干預模型
    衝擊反應分析
    Asia-Pacific Basin
    stock return
    volatility
    country credit
    time series
    intervention analysis
    impulse response analysis
    日期: 1998
    上传时间: 2016-04-21 17:05:52 (UTC+8)
    摘要: 近年來國際金融局勢詭譎多變，金融危機層出不窮，無論外資或有意投入國外股市的投資人都勢必更加小心。本研究乃針對亞太盆地國家的股票報酬率與國家信用水準變動做分析，並依開發中國家與已開發國家之別，嘗試探究其差異。本文的研究方法採用時間序列的模型(干預模型與衝擊反應分析)，檢定亞太盆地國家股票報酬率的時間序列型態，及國家信用變動對股票報酬率及其波動性的影響。實證結果顯示：
    For the recent years, the global financial environment has been changing rapidly, which reminds qualified foreign institutional investors of more caution. This survey focuses on the relationship between stock returns, volatility and country credit rating changes among countries in the Asia-Pacific Basin. This research further divides the 12 sample countries into two categories, developed markets and emerging ones, and finds out the differences between both groups. The empirical methods used here are intervention analysis and impulse response analysis. The empirical results are as follows:
    參考文獻: 1. 吳佳貞，波動度預測模型之探討，政治大學金融研究所未出版碩士論文，民國八十七年六月。
    2. 姚海青，我國股票市場融資比率與融券保證金成數調整對股價與股價波動性影響之研究，銘傳大學金融研究所未出版碩士論文，民國八十七年五月。
    3. 莊金維，台灣股市時間序列特性與市場干預效果，政治大學財務管理研究所未出版碩士論文，民國八十七年六月。
    4. 許文成，台灣股票市場波動性之衡量及其影響因子之探討，中山大學財務管理研究所未出版碩士論文，民國八十五年六月。
    5. 詹益慶，資本資產訂價模式在亞太股票市場的驗證，國立台灣科技大學管理技術研究所企業管理學程博士論文，民國八十七年。

    1. Bailey, Warren and Y. Peter Chung, "Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market", Journal of Financial and Quantitative Analysis, vol. 30, No. 4, Dec. 1995, pp. 541-561.
    2. Baillie, Richard T. and Ramon P. DeGennaro, "Stock Returns and Volatility", Journal of Financial and Quantitative Analysis, Vol.25, No. 2 , June 1990, pp. 203-214.
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    11. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "Expected Returns and Volatility in 135 Countries.", Journal of Portfolio Management, vol. 21,no.3, Spring 1996, pp. 46-58.
    12. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "The influence of Political, Economic, and Financial Risk on Expected Fixed-Income Returns", The Journal of Fixed Income, June 1996, pp. 7-30.
    13. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "Political Risk, Economic Risk , and Financial Risk", Financial Analysts Journal, Nov. / Dec.1996, pp.29-46.
    14. Hamilton, James D., Time Series Analysis, 1994.
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    16. Lamoureux, Christopher G. and William D. Lastrapes, "Heteroskaedasticity in Stock Return Data: Volume versus GARCH Effects", The Journal of Finance, vol. XLV. No.1, March 1990, pp.221-229.
    17. Ng, V., Engle, R.F., Rothschild, M., "A multi-dynamic-factor model for stock returns", Journal of Econometrics, 52(1992), pp. 245-266.
    18. Phylaktis, Kate, "Capital market integration in the Pacific Basin region: an impulse response analysis", Journal of International Money and Finance, 18(1999), pp. 267-287.
    19. Solnik, Bruno H., International Investments, third ed., 1996.
    描述: 碩士
    國立政治大學
    財務管理研究所
    86357001
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002001493
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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