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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31600

    Title: 漲跌幅限制差異對股價報酬之影響 : 以臺灣與新加坡現貨市場為例
    Other Titles: The influence of price limit difference on the stock returns-evidence from Taiwan and Singapore spots market
    Authors: 詹桂琴;Chan, Kuei-chin
    Contributors: 淡江大學財務金融學系碩士在職專班
    陳玉瓏;Chen, Yu-lung
    Keywords: 雙變量EGARCH模型;外溢效果;不對稱效果;Bivariate EGARCH Model;Spillover Effects;Asymmetric Effects
    Date: 2009
    Issue Date: 2010-01-11 01:02:02 (UTC+8)
    Abstract: 本文藉由Nelson(1991)所提出之雙變量EGARCH模型,探討臺灣發行量股價指數與新加坡摩根士丹利臺股指數之漲跌幅限制差異,是否對現貨報酬與波動間存在顯著的影響,並進一步探討兩市場間之外溢效果。於模型中也考量美國股市及債市等重要因子,以精確捕捉兩市場的行徑。研究期間涵蓋了1998年7月21日到2008年11月21日的日資料,且變數資料取自於精誠資訊與Bloomberg統計資料庫。

    This paper adopts the Nelson (1991) bivariate EGARCH model to study the difference of price limits between Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Singapore MSCI Taiwan Index that has significant effects on market returns and volatility. Return spillover, volatility spillover, and asymmetry effects of good and bad news are also being exanimate. Certain crucial elements of US stock and bond markets are also included in the model to study the behaviors of both markets. All of variables are collected from the Systex information and Bloomberg system, and the daily data are from July 21, 1998 to Nov. 21, 2008.

    The empirical results reveal that the futures returns of previous period have a significant positive effect on spot market returns in both countries. Furthermore, a negatively two-way relationship of returns spillover in two countries has also been found. The effect of an event on the market of two countries in terms of unexpected volatility is positive. It is also found that the impacts of an event on the market are asymmetric, bad news have greater impacts on stock market than good news in both countries. And the volatility of MSCI Taiwan Index return is affected by the unexpected volatility TAIEX return of previous period, not vice versa. After a thorough examination, checking and collaboration of the model, it is found that the model is well suited in the study. Finally, I wish the results of this paper may offer the market .participants with further knowledge.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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