碩士 / 國立中央大學 / 產業經濟研究所在職專班 / 102 / This paper is to investigate the interdependence of stock returns and exchange rate changes in Taiwan around Financial Tsunami using a bivariate EGARCH model. The sample period spans from 1/4/2004 to 10/31/2013. We use 2442 daily datum from Taiwan Economy Journal (TEJ) database.
The empirical result shows that the volatility spillovers do exist from exchange rate changes to stock returns in Taiwan around Financial Tsunami. No evidence is found of volatility spillovers from stock returns to exchange rate changes. But we also found that the volatility spillovers effect from exchange rate changes to stock returns is reduced after Financial Tsunami.
Keywords: EGARCH, volatility spillovers effect, Financial Tsunami
| Identifer | oai:union.ndltd.org:TW/102NCU05334006 |
| Date | January 2013 |
| Creators | Ming-Ke Chen, 陳明科 |
| Contributors | , 陳禮潭, 陳忠榮 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 42 |
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