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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/86449

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86449

Title:	台灣與國際股市相關係數的時間數列分析及應用 Comovements in Taiwan and international equity market
Authors:	吳銀釧 Wu, Yin-Chuan
Contributors:	胡聯國吳銀釧 Wu, Yin-Chuan
Keywords:	相關係數共變異數時間數列異質條件變異數 Correlation Covariance Time-series GARCH
Date:	1997
Issue Date:	2016-04-27 11:22:13 (UTC+8)
Abstract:	本篇論文的目的，希望以台灣為出發點來看，台灣與國際股市間的互動性，所著重的指標仍以共變數與相關係數為主，但同時也考慮了相關係數具有序列相關的影響，希望藉由這種模型的設計能夠找出台灣與國際股市之間的互動性，進而加以應用。 we examine the co-movements of equity returns in five major international markets by characterizing the time-varying cross-country covariances and correltions. Using a generalized positive definite multivariate GARCH model, we find that Taiwan and Korea stock markets have zero permanent and transitory covariance.The other pairs of markets examined display significant permanent and transitory covariance. We also find that ,while conditional correlations betweem returns are gernerally small, they change considerably over time. An event analysis suggests that basing diversification strategies on these conditional correlations is potentially beneficial.
Description:	碩士國立政治大學國際經營與貿易學系 85351004
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002001901
Data Type:	thesis
Appears in Collections:	[國際經營與貿易學系 ] 學位論文

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