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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/87184

    Title: 美債危機對臺股之傳染效果影響分析 : ARMAX-GARCH-Copula Type模型之應用
    Other Titles: The contagion effect influence of US debt crisis on Taiwan stock market : application of ARMAX-GARCH-Copula type model
    Authors: 高蕙芬;Kao, Hui-Fen
    Contributors: 淡江大學財務金融學系碩士在職專班
    李沃牆;Lee, Wo-Chiang
    Keywords: 蔓延效果;ARMAX-GARCH Type;Copula;Contagion Effect
    Date: 2012
    Issue Date: 2013-04-13 10:50:00 (UTC+8)
    Abstract: 本研究的目的在於檢驗台灣股市與美國股市之間在美債降評後是否存在傳染效果,研究除了採用ARMAX-GARCH-Copula Type模型驗證兩市場報酬率之關聯結構;並進一步運用雙變量GARCH模型評估美股與台股變異數的波動性。
    The purpose of this study is to investigate whether a contagion effect exists between the Taiwan and US stock markets. In empirical study, we apply ARMAX-GARCH-Copula Type to check the correlation between the two markets, further to evaluate the volatility through Bivatiate GARCH model.
    The results show that the asymmetric ARMAX-EGARCH model is more suitable, both in full sample or before the US debt rating downgrade. However, the symmetric ARMAX-GARCH model is more appropriate for normal distribution data after the downgrade.
    The effect of the 10 year bond yield to US return rate and lag US return rate to Taiwan stock return rate are positive. It exhibits asymmetric results of different news to markets. In addition, there is a significant correlation between the Taiwan and US stock markets. It also implies a short-term contagion effect. The correlation of the two markets is significant before and during the US debt rating downgrading. It means that there is a spillover effect between the two markets. The volatility also increased after downgrading via bivariate GARCH model. It is different when compared with many global financial crises with a long contagion effect.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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