政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85923
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51057846      線上人數 : 971
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/85923


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/85923


    題名: 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.
    貢獻者: 杜化宇
    Anthony Tu
    陳豐隆
    Warren F.L. Chen
    關鍵詞: 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
    上傳時間: 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.
    3. Bekaert, Geert, Campbell R. Harvey, "Emerging equity market volatility", Journal of Financial Economics, 43(1997), pp. 29-77.
    4. Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31 (April 1986), pp. 307-327.
    5. Diamonte, Robin L., John M. Liew, and Ross L. Stevens, "Political Risk in Emerging and developed Markets", Financial Analysts Journal, May. / June 1996, pp. 71-76.
    6. Divecha, Arjun B., Jaime Drach, and Dan Stefek, "Emerging Markets: A Quantitative Perspective", Journal of Portfolio Management, Fall 1992, pp. 41-50.
    7. Duffee, G.R., "Stock returns and volatility: A firm level analysis", Journal of Financial Economics, 37(1995), pp. 399-420.
    8. Elyasiani, Elyas and Iqbal Mansur, "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model", Journal of Banking & Finance, 22(1998), pp. 535-563.
    9. Enders, Walter, Applied Econometric Time Series ,1995.
    10. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "Country Risk and Global Equity Selection", Journal of Portfolio Management, vol. 21, no.2, Winter 1995, pp. 74-83.
    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.
    15. Harvey, Campbell R., "Predictable Risk and Returns in Emerging Markets", Review of Financial Studies, 8 (1995), pp. 773-816.
    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
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML2262檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋