none

本篇論文主為信用價差之時間序列研究，及其和違約相關性之間之互動關係研究。發現信用價差之水準值及波動性，都具有兩個明顯不同的狀態期間，另發現信用價差和違約相關系數之間存在正向關係，且信用價差之高低波動狀態和景氣呈現反向變動。 / In this paper, I empirically investigate the dynamics of credit spread with regime switching analysis. The finding exhibits evidence of two distinctive volatility as well as mean regimes for credit spread changes. Moreover, I document (1) that the volatility of credit spread positively corresponds to default correlation and (2) that lower (higher) volatility regimes corresponds to boom (bust) state of economy.

The efficient market hypothesis has been around since 1962, the theory based on a simple rule that states the price of any asset must fully reflect all available information. Yet there is empirical evidence suggesting that markets are too volatile to be efficient. In essence, this evidence seems to suggest that the reaction of the market participants to the information or events that is the crucial factor, rather than the actual information. This highlights the need to include the behavioural finance theory in the pricing of assets. Essentially, the research aims to analyse the efficiency of six key sovereign debt markets during a period of changing volatility including the recent global financial and sovereign debt crises. We analyse the markets in the pre-crisis period and during the financial and sovereign debt crises to determine the impact of the crises on the efficiency of these financial markets. We use two GARCH-based variance bound tests to test the null hypothesis of the market being too volatile to be efficient. Proposing a GJR-GARCH variant of the variance bound test to account for variation in the asymmetrical effect. This leads to an analysis of the changing behaviour of price volatility to identify what makes the market efficient or inefficient. In general, our EMH tests resulted in mixed results, hinting at the acceptance of the null hypothesis of the market being too volatile to be efficient. However, interestingly a number of 2017 observations under both models seem to be hinting at the rejection of the null hypothesis. Furthermore, our proposed GJR-GARCH variant of the variance bound test seems to be more likely to accept the EMH than the GARCH variant of the test.

本篇論文使用SWARCH模型探討布蘭特原油期貨市場的波動性。SWARCH模型將條件變異設定為可隨時間變動而改變，甚至移轉到不同的區間上。實證結果顯示SWARCH (3,3)模型具有最佳配適度與最準確的預測能力。樣本在不同區間下的平滑機率的估計值有助於補捉資料特性，而且當樣本落在高波動率區間上時會對應著重大事件的發生，如1990年波斯灣戰爭、1997年亞洲金融風暴與2001年的911恐怖攻擊。 / This paper investigates the volatility of the Brent crude oil futures markets using Markov-switching ARCH (SWARCH) model. The SWARCH model allows the conditional disturbances to change as time passes and even to switch in different regimes. The empirical evidence shows that the SWARCH (3,3) model performs the best goodness of fit and the best forecast performance between different fitting models. The estimation of smoothing probabilities of data under different regimes facilitates to capture the characteristics of data, and the high-volatility regime is associated with the extraordinary events, such as the 1990’s Persian Gulf War, the 1997’s Asia Financial Crisis, and the 2001’s 911 terrorist attack.