碩士 / 國立臺北大學 / 統計學系 / 93 / The purpose of this study is to detect the effects of co-movement and volatility spillovers among Taiwan, Hong Kong, Shanghai and Shenzhen stock markets. This research applied VEC-TGARCH model to examine the interactive relationship of returns and transmission of volatilities among these markets. The sample period begins from Mar. 3, 1995 to Mar. 3, 2005. The main empirical results are as follows:
First of all, these time series of the four stock market returns are all stationary time series. Based on the Johansen cointegration test, it has been found that there is a cointegrating relationship among these four markets. The time series of return rate are tested to find that there are ARCH effect and volatility asymmetry in them. This means that there is volatility clustering in these series and different influences on their variances respect to different signs of the unexpected shocks. Every stock market has spillover effect in its return and the one between Taiwan and Hong Kong is alternative. Though Shenzhen doesn’t have spillover effects to Taiwan directly, it does through Hong Kong.
In the variances and covariances of the pridicted errors of the empirical model, Taiwan and Hong Kong stock markets have cross-spillopver effects, and they have the most obvious influences on each other. In addition, these four stock markets can’t take up all shocks in one day and remain to the next day. And last, the covariances of pairwise stock markets change through the time.
| Identifer | oai:union.ndltd.org:TW/093NTPU0337012 |
| Date | January 2005 |
| Creators | Chang, Zhen-Zhong, 張振中 |
| Contributors | Liu, Hsiang-Hsi, Lee, Mong-Hong, 劉祥熹, 李孟峰 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 96 |
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