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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31510

    Title: 兩岸危機事件對台灣股匯市之跳躍風險
    Other Titles: Jump risk resulted from the cross-strait crisises impact to Taiwan stock and foreign exchange markets
    Authors: 趙桂光;Chao, Kuei-kuang
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-liang
    Date: 2005
    Issue Date: 2010-01-11 00:50:51 (UTC+8)
    Abstract: 本文以兩種跳躍-擴散模型ARJI與GARCH-constant jump來探討台灣股票市場及外匯市場在面對兩岸危機事件時所產生的異常跳動狀態與變異反應,經由模型估計出的跳躍頻率與跳躍大小加以印證,兩岸危機事件是否顯著的影響股價指數及匯率,實證結果整理於下:
    1.經由Schwarz Criterion與概似比例檢定,結果顯示ARJI模型的配適度較GARCH-constant jump模型為佳。
    關鍵字﹕跳躍-擴散模型、ARJI模型、GARCH-constant jump模型、兩岸危機事件
    This paper includes two Jump-diffusion models ARJI and GARCH-constant jump to discuss the abnormal jumping status and irregular reactions when Taiwan stock market and foreign exchange market encounter the cross-strait crisises. Through models jump frequency and jump range are computed to demonstrate if the cross-strait crisises will have prominent influence on stock index and exchange rate, and the results of real practice are stated as following: (1) Certify through Schwarz Criterion and Likelihood Ratio test, it is found that ARJI model fits the data better than GARCH-constant jump model. (2) The cross-strait crisises increase the possibility for stock index and exchange rate to jump. Since variation induced by jumping process is higher than that by diffusion process, the importance of jumping process becomes apparently during the period of the cross-strait crisises. This finding could be provided as a reference for option pricing and hedging strategy of investors. (3) As for the variation induced by jumping process, the stock market jumping variation of main market induced during the cross-strait crisises is higher than that of OTC market. All is because main market has payment and securities netting system. (4) During the cross-strait crisises, the jumping frequency and jumping range variant of exchange rate is decreased. Therefore, the reaction of jumping frequency and jumping rage comparing to stock market is moderate. (5) In conclusion, we suggest investors could hedge by using derivative products during the cross-strait crisises in order to minimize the loss of their investment portfolio when encounter political or economic conflicted events.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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