碩士 / 國立臺灣海洋大學 / 應用經濟研究所 / 98 / This paper investigates the dynamic correlations among Taiwan, Japan, South Korea and China stock market, under subprime mortgage and financial tsunami by use VEC GJR DCC-GARCH model and VEC Copula GJR-GARCH model. It also discusses the contagion effect of the crisis of subprime mortgage and financial tsunami on the Taiwan, Japan, South Korea and China finance market. The sample period of this study is from January 1, 1997 to September 1, 2009.
The empirical results obtaining from the VEC GJR DCC-GARCH verify that during the crisis of subprime mortgage and financial tsunami period, the correlation coefficients among Taiwan, Japan and Korea markets have increased, but there are not significant correlations among China and Taiwan, Japan, Korea markets have increased. The results also indicated that the return and volatility correlation of Taiwan, Japan and Korea markets are affected by the crisis of subprime mortgage and financial (contagion effect), rather than simply by cross-markets information transmission through the volatility spillovers between any two markets as metioned above.
In addition, the of VEC Copula GJR-GARCH model signify the highly tail-dependency structure among Taiwan, Japan, Korea and China markets. We also found that the market dependency between those any two markets have increased during the period of subprime mortgage crisis and financial tsunami.
| Identifer | oai:union.ndltd.org:TW/098NTOU5452010 |
| Date | January 2010 |
| Creators | 吳坤澤 |
| Contributors | Man-Ser Jan, Hsiang-Hsi Liu, 詹滿色, 劉祥熹 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 195 |
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