碩士 / 嶺東科技大學 / 財務金融研究所 / 100 / The GJR- GARCH Model is employed in this paper to investigate how the European
and the US stock markets asymmetrically affected Taiwanese stock market during the financial crises. The data were collected from four countries, including Taiwan, the US,Italy, and Spain, from April 22, 2004 to December 31, 2011. In total, 1827 stock daily returns on common trading days of the four stock markets were examined. The empirical
results suggest that the US, Italian and Spanish markets have significantly positive influence on Taiwanese stock returns, indicating that the European and the US stock markets take the leading role and have driving force of volatility in Taiwanese stock market. In addition, the four countries’ asymmetrical volatility to Taiwanese stock market
is owing to the outdated information. Furthermore, the asymmetrical volatility resulting from the negative information implies the increase of risks in bear market.
| Identifer | oai:union.ndltd.org:TW/100LTC00304011 |
| Date | January 2012 |
| Creators | Ueh-Chuan Miu, 繆岳娟 |
| Contributors | Yung-Lieh Yang, 楊永列 博士 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 53 |
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