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系統識別號 U0002-3105200700080300
中文論文名稱 高階動差的國際資訊傳遞效果-台灣與美國股價指數之實證研究
英文論文名稱 International Information Transmission Effect of Higher Moment-An Empirical Study of Taiwan and US Stock Indices
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 劉筱盈
研究生英文姓名 Hsiao-Ying Liu
學號 694490052
學位類別 碩士
語文別 中文
口試日期 2007-05-19
論文頁數 61頁
口試委員 指導教授-邱建良
共同指導教授-陳玉瓏
委員-李命志
委員-黃博怡
委員-姜淑美
中文關鍵字 訊息傳遞效果  偏態的傳遞效果  GARCHS模型  兩階段估計 
英文關鍵字 Information transmission effect  Skewness spillover effect  GARCHS model  Two-step estimation 
學科別分類 學科別社會科學商學
中文摘要 本文有別於以往文獻在探討國際股市間波動外溢效果時,僅止於一階與二階動差的傳導效果,擬將台灣與美國股市間訊息傳遞效果的議題,延伸擴展至偏態的傳遞效果,探討美國對台灣股市之影響及股票市場間之國際傳導,擬使用單變量GARCHS模型(Harvey and Siddique, 1999; León et al., 2005)搭配兩階段的估計方法,探討於1998年1月5日至2006年12月29日,美國與台灣股價指數間之報酬率、波動性與偏態之外溢效果,以提供投資者進行國際投資組合及政府制定未來經濟政策之參考。
研究結果發現美股主要指數對台灣加權股價指數無論以日資料或是週資料估計,皆存在顯著的報酬率與波動外溢效果,此結論與以往文獻相同。而在偏態係數的外溢效果方面,本文僅發現以日資料估計時,史坦普500指數與那斯達克對台股指數存在偏態係數外溢效果,此結果對於具有偏態偏好的投資者或是以報酬率、變異數與偏態係數作投資組合選擇的投資者具有重要的實際意義。
英文摘要 Previous studies of international information transmission effect only focused on the first and second moment spillover effects. This study extends this issue to examine the third moment spillover effect among Taiwan and U.S. stock markets. The univariate GARCHS model (Harvey and Siddique, 1999; León et al., 2005) with two-step estimation procedure is adopted to investigate the mean, variance and skewness spillover effects during the sample period of Jan 5, 1998 to Dec 29, 2006 in order to provide some implications for the international investors and government economic policy.
The empirical results indicate that the U.S. stock markets have significant mean and volatility spillover effects to Taiwan stock markets when estimating with daily and weekly data, which is consistent with previous studies. As for the skewness spillover effect, we find that only S&P 500 and Nasdaq have skewness spillover effect to Taiwan stock market when estimating with daily data. The evidences reported here have important practical meanings to skewness-preferred investors and those who make portfolio selection with mean, variance and skewness.
論文目次 第一章 緒論…………………………………………………………1
第一節 研究背景與動機……………………………………………1
第二節 研究目的……………………………………………………3
第三節 研究架構……………………………………………………4
第四節 研究流程圖…………………………………………………5
第二章 文獻回顧……………………………………………………6
第一節 國外文獻……………………………………………………6
第二節 國內文獻………………………………………………… 19
第三章 研究方法………………………………………………… 32
第一節 單根檢定………………………………………………… 32
第二節 ARCH效果檢定…………………………………………… 34
第三節 條件變異數不對稱檢定………………………………… 36
第四節 AR-GJR-GARCHS模型………………………………………38
第四章 實證結果分析…………………………………………… 41
第一節 研究對象、研究期間與資料處理……………………… 41
第二節 基本統計量分析………………………………………… 42
第三節 單根檢定………………………………………………… 43
第四節 ARCH效果檢定…………………………………………… 45
第五節 條件變異數不對稱檢定………………………………… 46
第六節 AR-GJR-GARCHS模型之估計結果…………………………47
第五章 結論與研究建議 …………………………………………52
第一節 結論……………………………………………………… 53
第二節 研究建議………………………………………………… 53
參考文獻……………………………………………………………… 54
一、國外文獻……… …………………………………………………55
二、國內文獻… ………………………………………………………60

表目錄
【表2-1-1】國外文獻整理……………………………………………14
【表2-2-1】國內文獻整理……………………………………………26
【表4-2-1】股價日報酬率之基本統計量……………………………42
【表4-3-1】股價原始序列之單根檢定(水準項)……………………45
【表4-3-2】股價日報酬率之單根檢定(差分項)……………………45
【表4-4-1】診斷性分析………………………………………………46
【表4-5-1】條件變異數不對稱檢定…………………………………47
【表4-6-1】AR-GJR-GARCHS模型之估計結果……………………… 48
【表4-6-2】美股各指數對台灣加權股價指數之外溢效果(日資料)50
【表4-6-3】美股各指數對台灣加權股價指數之外溢效果(週資料)51

圖目錄
【圖1.4】論文架構圖…………………………………………5
【圖4-2-1】股價指數走勢圖…………………………………………43
【圖4-2-2】股價報酬率走勢圖………………………………………43







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二、國內文獻
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14. 楊育軒(2003),「台、美、日三國股價資訊傳遞之研究」,國立台北大學企業管理 學系研究所碩士論文。
15. 賴怡洵(2000),「美、日、港、台股價資訊傳遞多元GARCH模式之研究」,證券櫃檯月刊,第五十二期,1-17。
16. 楊筆琇(1998),台灣電子股指數與美國股價指數互動關係之實證研究,國立成功大學企業管理研究所碩士論文。
17. 劉健欣(1999),台灣股市與美國股市關連性之實證研究,淡江大學管理科學研究所碩士論文。
18. 謝朝光(2001),台灣與亞太股市間關聯性與動態相關係數之研究,國立台北大學企業管理學系碩士論文。
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