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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31491

    Title: 拋補利率平價對股價報酬率的影響 : 已開發國家及開發中國家之實證研究
    Other Titles: The impacts of covered interest rate parity on the returns of stock prices : empirical analysis from developed and developing countries.
    Authors: 謝秀瑛;Hsieh, Hsiu-ying
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱建良;Chiu, Chien-liang;陳玉瓏;Chen, Yu-lung
    Keywords: 拋補利率平價;ARJI-Trend模型;恆常要素;短暫要素;Covered interest rate parity;ARJI-Trend model;Component model;Permanent model;Transitory component
    Date: 2007
    Issue Date: 2010-01-11 00:49:48 (UTC+8)
    Abstract: 本文針對已開發國家及開發中國家之個別國家進行拋補利率平價理論之分析,並結合Engle and Lee(1993)將股票報酬率之條件變異數分解成恆常要素(permanent or long-run)與短暫要素(transitory or short-run)的模型及Chan and Maheu (2002)的ARJI模型所組合而成之ARJI-Trend模型,探討各國之拋補利率平價對股票市場的影響以及股票市場之日報酬率可能產生之隨時間改變的條件波動率(time-varying conditional volatility)、波動率的要素因子(the component factors of volatility)及跳躍(jumps)等現象,並分析已開發及開發中國家之差異。
    In the past, there had been considerable interest in the investigations of whether the covered interest rate parity (CIP) holds or not. The CIP in the macroeconomic level is quite important because it implies that the interest rate, spot and forward exchange rates are related in a particular way. Indeed, their relations affect the capital flow in financial markets significantly. The purpose of this paper is to explore the relations between the permanent and transitory components of deviation from the CIP and stock returns. We apply the ARJI-Trend model which combines component model, proposed by Engle and Lee (1993), and ARJI model, proposed by Chan and Maheu (2002), to capture the daily data of the stock markets in many countries which are separated into developed and developing countries.
    The result shows that the CIP in our samples is failure to hold because the central banks of each country may try to intervene their short term interest rate and exchange rate levels. Moreover, we found not only the conditional variance and jump frequency are time varying but also the existence of both permanent and transitory components of the conditional variance in the whole sample period. In the meantime, the shock of the permanent component of conditional variance is larger than the temporary component in Taiwan and England stock market.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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