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    政大典藏 > College of Commerce > Department of MIS > Theses >  Item 140.119/94748


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94748


    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.
    Reference: 中文部分：
    1. 史開泉、吳國威、黃有評(1994)。灰色信息關係論。台北市：全華科技圖書。
    2. 江金山、吳佩玲、蔣祥第、張廷政、詹福賜、張軒庭、溫坤禮(1998)。灰色理論入門。台北市：高立圖書。
    3. 江忠和(2003)。台灣地區創業投資公司屬性與財務績效關聯之研究－灰色理論之應用。私立朝陽科技大學企業管理研究所碩士論文，未出版，台中縣。
    4. 朱正修(2004)。台灣股市與國際股市連動性之研究。國立成功大學統計學研究所碩士論文，未出版，台南市。
    5. 李敏生(2000)。NASDAQ股市對於台灣股市報酬率與波動性的影響。國立交通大學經營管理研究所碩士論文，未出版，新竹市。
    6. 李志鴻(2004)。兩岸三地股市與美國股市相關連性研究。私立中國文化大學經濟學研究所碩士論文，未出版，台北市。
    7. 邱梅蘭(2005)。金磚四國與臺灣股市動態之關聯性研究。私立嶺東科技大學財務金融研究所碩士論文，未出版，台中縣。
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    9. 唐宜楷(1998)。台灣加權股價指數預測-灰色預測之運用。國立台灣大學財務金融學研究所碩士論文，未出版，台北市。
    10. 許意鈴(2003)。共同基金淨值之預測－灰色理論、類神經網路及適應性類神經模糊推論系統之應用。國立台灣科技大學資訊管理研究所碩士論文，未出版，台北市。
    11. 張偉哲、溫坤禮、張廷政(2000)。灰關聯模型方法與應用。台北市：高立圖書。
    12. 張國川(2006)。應用灰色關聯分析及類神經網路建構一金融商品價差走勢預測模型。私立朝陽科技大學財務金融研究所碩士論文，未出版，台中縣。
    13. 夏郭賢、吳漢雄(1998)。灰關聯分析之線性數據前處理探討。灰色系統學刊，1(1)，47-53。
    14. 游梓堯(2002)。美國股市與台灣股市關連性研究─VAR、GARCH與灰關聯分析之應用。國立台灣科技大學資訊管理研究所碩士論文，未出版，台北市。
    15. 溫坤禮、張簡士琨、葉鎮愷、王建文、林慧珊(2006)。MATLAB在灰色系統理論的應用。台北市：全華科技圖書。
    16. 楊奕農(2005)。時間序列分析。台北市：雙葉書廊。
    17. 鄧聚龍(2000)。灰色系統理論與應用。台北市：高立圖書。
    英文部分：
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    11. Liu, Y. A, M.-S. Pan, and J. C. P. Shieh (1998). International Transmission of Stock Price Movements Evidence from the U.S. and Five Asian-Pacific Markets. Journal of Economics and Finance, 22(1), 59-69.
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    Combination. Journal of Business & Economic Statistics, 4(1), 59-70.
    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:[Department of MIS] Theses

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