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| Title: | 以次級房貸風暴為對象之股市關聯應用研究
The Study and application of connections between stock markets during subprime mortgage crisis |
| Authors: | 蔡明輝 |
| Contributors: | 劉文卿
蔡明輝 |
| Keywords: | 次級房貸風暴
股市關聯
時間序列
灰關聯分析
Subprime mortgage crisis
Stock relationship
Time Series
Grey Relational Analysis |
| Date: | 2008 |
| Issue Date: | 2016-05-09 11:46:10 (UTC+8) |
| Abstract: | 不同股市的報酬關聯隨時間動態改變，本研究欲了解近期美國、台灣與亞太地區的中國大陸、香港、日本及韓國的報酬連動關係，並進一步觀察次級房貸風暴期間美股對這些地區的關聯改變趨勢。本論文採用灰色理論與時間序列兩種方法，實證發現次級房貸風暴發生期間，台股及亞太地區主要指數不論在報酬率或是報酬率波動性受美股影響的程度大多增強。
實證結果顯示，在風暴期間的報酬率傳導關係，亞太以韓國影響台股最顯著，美股則全面影響亞太指數；在報酬率波動性溢傳上，亞太以日本、美股以道瓊工業影響台股最強，台股則是電子類股被美股影響最重，但營建類股在與美股或是亞太指數的關聯趨勢變化卻最明顯。另外，灰關聯分析對時間序列檢定的關聯組合可以提供互補的關聯強弱關係說明，且具有相當的正確性。
Connections between stock markets are dynamically changing, and it affects investor`s transnational investment portfolio. We focus on the relationships of stock markets among the United States, Taiwan, Japan, Korea, China and Hong Kong, and eager to understand the connection tendency between Untied States and Asian-Pacific area during the subprime mortgage crisis period. The identified research methods are time series and grey theory, including Granger causality test, GARCH model and grey relational analysis. We find out the returns and volatility in Asian-Pacific stock markets were all affected increasly by U.S. market during the subprime mortgage crisis.
The main empirical results are as follows: In the relationships of returns, Korea affects Taiwan mostly in the Asian-Pacific area, and U.S. market affects all the others entirely during the subprime crisis. In the relationships of volatility, Japan and Dow Jones index affects Taiwan deeply during the period; within all the Taiwan indexs, Electronic Sector Index was affected by the U.S. market mostly than others during the same period, but the connection tendency in the Construction Sector Index with other markets changes more obviously. Otherwise, grey relational analysis can provide complementary explainations as compared to time sereies in the strength of relationships, and the explainations are with plenty credibility. |
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| Description: | 碩士
國立政治大學
資訊管理學系
95356035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095356035 |
| Data Type: | thesis |
| Appears in Collections: | [資訊管理學系] 學位論文
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