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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35784


    Title: 美國次級房貸風暴對全球股價走勢的衝擊與影響-以DCC模型分析
    Using DCC Model to Analyze the Impact of the Subprime Mortage Crisis on the Global Stock Market
    Authors: 賴彥君
    Lai Yen-Chun
    Contributors: 林金龍
    Lin Jin-Lung
    賴彥君
    Lai Yen-Chun
    Keywords: 次級房貸
    動態條件自我相關模型
    台灣股市
    美國股市
    subprime
    DCC
    Taiwan stock market
    American stock market
    Date: 2007
    Issue Date: 2009-09-18 16:01:30 (UTC+8)
    Abstract: 摘要
    2007年初美國發生次級房貸大量違約, 陸續有銀行倒閉, 進而撼
    動整個美國與歐洲股市。一向與美國有密切貿易關係的台灣,在此事
    件中到底受到多大的影響? 本文利用DCC模型探討次貸風暴前後,台
    美股價間的關係是否有發生顯著的變化? 實證結果發現: 台灣與美國
    的動態相關係數在次級房貸之後, 反而變小, 可見台灣的股市並未受
    到很大的衝擊, 而亞洲地區的大多數國家也都與台灣相似,與美國的
    動態相關係數變小,可見亞洲地區在次貸風暴中扮演著避風港的角色。
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    Description: 碩士
    國立政治大學
    經濟研究所
    95258030
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095258030
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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