| dc.contributor.advisor | 林金龍 | zh_TW |
| dc.contributor.advisor | Lin Jin-Lung | en_US |
| dc.contributor.author (Authors) | 賴彥君 | zh_TW |
| dc.contributor.author (Authors) | Lai Yen-Chun | en_US |
| dc.creator (作者) | 賴彥君 | zh_TW |
| dc.creator (作者) | Lai Yen-Chun | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 18-Sep-2009 16:01:30 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 16:01:30 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 16:01:30 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095258030 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35784 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟研究所 | zh_TW |
| dc.description (描述) | 95258030 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 摘要2007年初美國發生次級房貸大量違約, 陸續有銀行倒閉, 進而撼動整個美國與歐洲股市。一向與美國有密切貿易關係的台灣,在此事件中到底受到多大的影響? 本文利用DCC模型探討次貸風暴前後,台美股價間的關係是否有發生顯著的變化? 實證結果發現: 台灣與美國的動態相關係數在次級房貸之後, 反而變小, 可見台灣的股市並未受到很大的衝擊, 而亞洲地區的大多數國家也都與台灣相似,與美國的動態相關係數變小,可見亞洲地區在次貸風暴中扮演著避風港的角色。 | zh_TW |
| dc.description.tableofcontents | 第一章序論1第一節研究動機. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1第二節次級房貸簡介. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1第三節研究方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2第二章文獻回顧與模型設定4第一節單變量GARCH模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4第二節多變量GARCH模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8第三章實證結果17第一節資料來源. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17第二節資料處理. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17第三節ARCH檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18第四節VAR模型估計. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19第五節DCC模型估計. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21第四章結論與建議25第一節結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25第二節建議. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26表. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .28圖. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .43參考文獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .67 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095258030 | en_US |
| dc.subject (關鍵詞) | 次級房貸 | zh_TW |
| dc.subject (關鍵詞) | 動態條件自我相關模型 | zh_TW |
| dc.subject (關鍵詞) | 台灣股市 | zh_TW |
| dc.subject (關鍵詞) | 美國股市 | zh_TW |
| dc.subject (關鍵詞) | subprime | en_US |
| dc.subject (關鍵詞) | DCC | en_US |
| dc.subject (關鍵詞) | Taiwan stock market | en_US |
| dc.subject (關鍵詞) | American stock market | en_US |
| dc.title (題名) | 美國次級房貸風暴對全球股價走勢的衝擊與影響-以DCC模型分析 | zh_TW |
| dc.title (題名) | Using DCC Model to Analyze the Impact of the Subprime Mortage Crisis on the Global Stock Market | en_US |
| dc.type (資料類型) | thesis | en |
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