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題名 臺灣各類股與國際股市間外溢效果的認定與動態分析
Spillover effects and dynamic analysis between Taiwan and global stock markets
作者 李佳磬
貢獻者 徐士勛
李佳磬
關鍵詞 金融傳導
外溢效果
預測誤差變異數分解
日期 2016
上傳時間 1-Jul-2016 15:23:57 (UTC+8)
摘要 本文應用向量自我迴歸模型與一般化預測誤差變異數分解，並將其估計結果導入網路拓樸與引力佈局模型的概念，來探討臺灣類股與國際股票市場之間報酬率的傳導結構與外溢效果。我們使用了 2001 年 7 月至 2015 年 10 月的臺灣加權股價指數、臺灣 19 個類股股價指數與國際間 43 個國家之主要股市指數來進行分析。我們發現，除了已開發國家之股市對臺灣類股有較大的影響外，部份亞洲發展中國家亦與臺灣類股之間有相當緊密的連結。另外，雖然國際股市對臺灣類股的外溢效果在 2013 年之後有所下降，但整體而言，臺灣類股受到國際股市的影響在過去十年之間大致呈現上升的趨勢。
參考文獻 黃裕烈、管中閔 (2014), “向量自我迴歸模型, 計量方法與 R 程式”。
H. Lutkepohl (2005). New Introduction to Multiple Time Series Analysis.
Koop, G., M.H. Pesaran, and S.M. Potter (1996). Impulse Response Analysis in Non-Linear Multivariate Models. Journal of Econometrics, 74,　119–147.
Pesaran, H.H. and Y. Shin (1998). Generalized Impulse　Response Analysis　in Linear Multivariate Models.　Economics Letters, 58, 17–29.
Markku Lanne and Henri Nyberg (2014). Generalized　Forecast Error Variance Decomposition for Linear and　Nonlinear Multivariate Models.
M. Jacomy, S. Heymann, T. Venturini, and M. Bastian (2011). ForceAtlas2,　A Continuous Graph Layout Algorithm for Handy Network Visualization.
Claessens, S., Forbes, K.J. (2001). International　Financial Contagion. Kluwer　Academic Publishers, Boston, Dordrecht and London.
King, M., Sentana, E. and Wadhwani, S. (1994). Volatility and Links Between National Stock Markets. Econometrica, 62(4), 1–33.
Edwards, S., Susmel, R. (2001). Volatility Dependence and Contagion in　Emerging Equity Markets. Journal of Development Economics, 66,　505–532
Forbes, K.J. and Rigobon, R. (2002). No Contagion, Only Interdependence　Measuring Stock Market Comovements. Journal of Finance, 57(5),　22–61.
Baur, D. (2003). Testing for Contagion - Mean and Volatility Contagion.　Journal of Multinational Financial Management, 13, 405–422
Frank, N., Hesse, H. (2009). Financial Spillovers to　Emerging Markets　During the Global Financial Crisis.
Baur, D., Fry, R. A. (2009). Multivariate Contagion and　Interdependence.
Dooley, M. P., Hutchison, M.M., (2009). Transmission of the U.S. Subprime Crisis to Emerging Markets Evidence on the Decoupling-Recoupling　Hypothesis.
Diebold, F.X. and K. Yilmaz (2009). Measuring Financial Asset Return　and Volatility Spillovers, with Application to Global Equity Markets.　Economic Journal, 119, 158–171.
K. Yilmaz (2010). Return and Volatility Spillovers among the East Asian　Equity Markets. Journal of Asian Economics, 21(3), 304–313.
Diebold, F.X. and K. Yilmaz (2011). Equity Market Spillovers in the Americas.
Diebold, F.X. and K. Yilmaz (2014). On the Network Topology of Variance　Decompositions Measuring the Connectedness of Financial Firms. Journal of Econometrics, 182(1), 119–134.
Demirer, M., Diebold, F.X., Liu, L. and K. Yilmaz (2015). Estimating　Global Bank Network Connectedness.
描述 碩士
國立政治大學
經濟學系
103258012
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103258012
資料類型 thesis
dc.contributor.advisor 徐士勛zh_TW
dc.contributor.author (Authors) 李佳磬zh_TW
dc.creator (作者) 李佳磬zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 1-Jul-2016 15:23:57 (UTC+8)-
dc.date.available 1-Jul-2016 15:23:57 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2016 15:23:57 (UTC+8)-
dc.identifier (Other Identifiers) G0103258012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98642-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 103258012zh_TW
dc.description.abstract (摘要) 本文應用向量自我迴歸模型與一般化預測誤差變異數分解，並將其估計結果導入網路拓樸與引力佈局模型的概念，來探討臺灣類股與國際股票市場之間報酬率的傳導結構與外溢效果。我們使用了 2001 年 7 月至 2015 年 10 月的臺灣加權股價指數、臺灣 19 個類股股價指數與國際間 43 個國家之主要股市指數來進行分析。我們發現，除了已開發國家之股市對臺灣類股有較大的影響外，部份亞洲發展中國家亦與臺灣類股之間有相當緊密的連結。另外，雖然國際股市對臺灣類股的外溢效果在 2013 年之後有所下降，但整體而言，臺灣類股受到國際股市的影響在過去十年之間大致呈現上升的趨勢。zh_TW
dc.description.tableofcontents 1 緒論 1
2 文獻回顧 2
3 實證模型 4
3.1 網路拓樸 4
3.2 網路佈局模型 5
3.3 預測誤差變異數分解 9
3.4 新一般化預測誤差變異數分解 13
4 實證方法 16
4.1 資料說明 16
4.2 研究方法 20
5 實證結果 25
5.1 靜態分析 25
5.2 動態分析 32
6 結論 43		zh_TW
dc.format.extent 60147378 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103258012en_US
dc.subject (關鍵詞) 金融傳導zh_TW
dc.subject (關鍵詞) 外溢效果zh_TW
dc.subject (關鍵詞) 預測誤差變異數分解zh_TW
dc.title (題名) 臺灣各類股與國際股市間外溢效果的認定與動態分析zh_TW
dc.title (題名) Spillover effects and dynamic analysis between Taiwan and global stock marketsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 黃裕烈、管中閔 (2014), “向量自我迴歸模型, 計量方法與 R 程式”。
H. Lutkepohl (2005). New Introduction to Multiple Time Series Analysis.
Koop, G., M.H. Pesaran, and S.M. Potter (1996). Impulse Response Analysis in Non-Linear Multivariate Models. Journal of Econometrics, 74,　119–147.
Pesaran, H.H. and Y. Shin (1998). Generalized Impulse　Response Analysis　in Linear Multivariate Models.　Economics Letters, 58, 17–29.
Markku Lanne and Henri Nyberg (2014). Generalized　Forecast Error Variance Decomposition for Linear and　Nonlinear Multivariate Models.
M. Jacomy, S. Heymann, T. Venturini, and M. Bastian (2011). ForceAtlas2,　A Continuous Graph Layout Algorithm for Handy Network Visualization.
Claessens, S., Forbes, K.J. (2001). International　Financial Contagion. Kluwer　Academic Publishers, Boston, Dordrecht and London.
King, M., Sentana, E. and Wadhwani, S. (1994). Volatility and Links Between National Stock Markets. Econometrica, 62(4), 1–33.
Edwards, S., Susmel, R. (2001). Volatility Dependence and Contagion in　Emerging Equity Markets. Journal of Development Economics, 66,　505–532
Forbes, K.J. and Rigobon, R. (2002). No Contagion, Only Interdependence　Measuring Stock Market Comovements. Journal of Finance, 57(5),　22–61.
Baur, D. (2003). Testing for Contagion - Mean and Volatility Contagion.　Journal of Multinational Financial Management, 13, 405–422
Frank, N., Hesse, H. (2009). Financial Spillovers to　Emerging Markets　During the Global Financial Crisis.
Baur, D., Fry, R. A. (2009). Multivariate Contagion and　Interdependence.
Dooley, M. P., Hutchison, M.M., (2009). Transmission of the U.S. Subprime Crisis to Emerging Markets Evidence on the Decoupling-Recoupling　Hypothesis.
Diebold, F.X. and K. Yilmaz (2009). Measuring Financial Asset Return　and Volatility Spillovers, with Application to Global Equity Markets.　Economic Journal, 119, 158–171.
K. Yilmaz (2010). Return and Volatility Spillovers among the East Asian　Equity Markets. Journal of Asian Economics, 21(3), 304–313.
Diebold, F.X. and K. Yilmaz (2011). Equity Market Spillovers in the Americas.
Diebold, F.X. and K. Yilmaz (2014). On the Network Topology of Variance　Decompositions Measuring the Connectedness of Financial Firms. Journal of Econometrics, 182(1), 119–134.
Demirer, M., Diebold, F.X., Liu, L. and K. Yilmaz (2015). Estimating　Global Bank Network Connectedness.		zh_TW