碩士 / 義守大學 / 財務金融學系碩士班 / 93 / This paper develops a bivariate GJR GARCH-M model to analyze GDRs and their underlying securities. First, we divide the daily returns into daytime returns and overnight returns, and then investigate the dynamics relationships and transmission effects between them. Secondly, we test if the dynamic relationships have structure change when the exchange rate depreciates and appreciates. Moreover, to improve the power of empirical results, we also include the error-correction term in the GJR GARCH-M model. The empirical findings are summarized as follows:
1.The returns and volatility spillover effect from domestic market to foreign market is much stronger than the opposite way, which means that domestic market plays a dominant role and foreign market plays a satellite role.
2.When the exchange rate depreciates considerably, the spillover effect from GDR market to domestic market declines. Moreover, when the exchange rate appreciates by a large percentage, the positive spillover effect from domestic market to foreign market is strengthened.
3.By adding the error correction term, we have more understanding about the dynamic adjustment process of long-run equilibrium between GDRs and underlying securities.
4.There exist significant volatility spillovers from overnight returns to daytime returns in domestic market. Foreign market exist significant volatility spillovers between overnight returns and daytime returns. Moreover, there exists significant volatility spillovers between domestic market and foreign market, but those from domestic market is stronger than those from foreign market.
| Identifer | oai:union.ndltd.org:TW/093ISU05214021 |
| Date | January 2005 |
| Creators | Meng-jou Hsiao, 蕭孟柔 |
| Contributors | Jau-Rong Li, 李昭蓉 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 103 |
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