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題名 金融危機與產業共動性之研究：以臺灣股市為例
Study of the Financial Crisis and the Connectivity of Taiwan’s Industries
作者 鄭郁蓁
Cheng, Yu Chen
貢獻者 郭維裕
鄭郁蓁
Cheng, Yu Chen
關鍵詞 金融崩潰風險
風險衡量指標
主成分分析
Granger因果關係檢定
日期 2016
上傳時間 2-Aug-2016 15:51:03 (UTC+8)
摘要 有鑑於美國次貸危機引發的金融風暴席捲全球，造成了大型金融機構倒閉、全球經濟衰退以及投資人的鉅額虧損，政府與投資人開始重視風險的控管，學術界及實務界也建構出各種能夠衡量金融風險的指標，期能達到防患未然的功效。本研究將Billio, Getmansky, Lo, and Pelizzon (2011)使用的主成分分析(Principal Components Analysis)與Granger因果關係檢定(Granger Causality Test)兩種統計方法應用至臺灣股市，證實臺灣各產業指數的連動性高，尤其在金融不穩定的情況下共動性會大增，使危機容易在體系內擴散。而在金融危機時期，食品工業和紡織纖維產業是其他產業最主要的影響者，金融保險業、觀光產業及貿易百貨業則最容易受到其他產業的影響。
參考文獻 Adrian, T., and M. Brunnermeier, 2010, “CoVaR,” Staff Report 348, Federal Reserve Bank of New York.

Alexander, L., 2010, “Opening Remarks,” working paper, Measuring Systemic Risk: A Conference Sponsored by the Milton Friedman Institute, the Chicago Fed, and the New York Fed.

Billio, M., M. Getmansky, A. W. Lo, and L. Pelizzon, 2011, “Econometric Measures of Systemic Risk in the Finance and Insurance Sectors,” National Bureau of Economic Research.

Bisias, D., Flood, M., Lo, A., and Valavanis, S, 2012, “A Survey of Systemic Risk Analytics,” working paper, US Department of the Treasury.

Giesecke, K., and B. Kim, 2009, “Risk analysis of collateralized debt obligations,” working paper.

Group of Ten, 2001, “Report on Consolidation in the Financial Sector: Chapter III. Effects of Consolidation on Financial Risk,” working paper, International Monetary Fund.

Khandani, A. E., A. J. Kim, and A. W. Lo, 2010, “Consumer Credit Risk Models via
Machine-Learning Algorithms,” Journal of Banking and Finance, 34(11), 2767–2787.

Kritzman, M., Y. Li, S. Page, and R. Rigobon, 2010, “Principal Components as a Measure of Systemic Risk,” Revere Street Working Paper Series: Financial Economics 272-28, Revere Street Working Paper Series.

Rosengren, E. S., 2010, “Asset Bubbles and Systemic Risk,” working paper, Federal Reserve Bank of Boston, Speech delivered at the Global Interdependence Center’s Conference on “Financial Interdependence in the World’s Post-Crisis Capital Markets”, Philadelphia, March 3, 2010.

郭維裕，李淯靖，陳致綱與林建秀，2014年9月，「台灣產業指數的外溢效果」，經濟論文叢刊，407476，2014。
描述 碩士
國立政治大學
國際經營與貿易學系
104351003
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104351003
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 鄭郁蓁zh_TW
dc.contributor.author (Authors) Cheng, Yu Chenen_US
dc.creator (作者) 鄭郁蓁zh_TW
dc.creator (作者) Cheng, Yu Chenen_US
dc.date (日期) 2016en_US
dc.date.accessioned 2-Aug-2016 15:51:03 (UTC+8)-
dc.date.available 2-Aug-2016 15:51:03 (UTC+8)-
dc.date.issued (上傳時間) 2-Aug-2016 15:51:03 (UTC+8)-
dc.identifier (Other Identifiers) G0104351003en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99525-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 104351003zh_TW
dc.description.abstract (摘要) 有鑑於美國次貸危機引發的金融風暴席捲全球，造成了大型金融機構倒閉、全球經濟衰退以及投資人的鉅額虧損，政府與投資人開始重視風險的控管，學術界及實務界也建構出各種能夠衡量金融風險的指標，期能達到防患未然的功效。本研究將Billio, Getmansky, Lo, and Pelizzon (2011)使用的主成分分析(Principal Components Analysis)與Granger因果關係檢定(Granger Causality Test)兩種統計方法應用至臺灣股市，證實臺灣各產業指數的連動性高，尤其在金融不穩定的情況下共動性會大增，使危機容易在體系內擴散。而在金融危機時期，食品工業和紡織纖維產業是其他產業最主要的影響者，金融保險業、觀光產業及貿易百貨業則最容易受到其他產業的影響。zh_TW
dc.description.tableofcontents 表 次 ii
圖 次 iv
第一章 緒論 1
第二章 研究方法 4
第一節 主成分分析(Principal Components Analysis) 4
第二節 Granger因果關係檢定(Granger Causality Test) 6
第三章 實證研究 8
第一節 資料描述 8
第二節 實證結果分析 14
一、 主成分分析結果 14
二、 Granger因果關係檢定結果 17
第四章 結論 40
附錄 42
參考文獻 61		zh_TW
dc.format.extent 1824190 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104351003en_US
dc.subject (關鍵詞) 金融崩潰風險zh_TW
dc.subject (關鍵詞) 風險衡量指標zh_TW
dc.subject (關鍵詞) 主成分分析zh_TW
dc.subject (關鍵詞) Granger因果關係檢定zh_TW
dc.title (題名) 金融危機與產業共動性之研究：以臺灣股市為例zh_TW
dc.title (題名) Study of the Financial Crisis and the Connectivity of Taiwan’s Industriesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Adrian, T., and M. Brunnermeier, 2010, “CoVaR,” Staff Report 348, Federal Reserve Bank of New York.

Alexander, L., 2010, “Opening Remarks,” working paper, Measuring Systemic Risk: A Conference Sponsored by the Milton Friedman Institute, the Chicago Fed, and the New York Fed.

Billio, M., M. Getmansky, A. W. Lo, and L. Pelizzon, 2011, “Econometric Measures of Systemic Risk in the Finance and Insurance Sectors,” National Bureau of Economic Research.

Bisias, D., Flood, M., Lo, A., and Valavanis, S, 2012, “A Survey of Systemic Risk Analytics,” working paper, US Department of the Treasury.

Giesecke, K., and B. Kim, 2009, “Risk analysis of collateralized debt obligations,” working paper.

Group of Ten, 2001, “Report on Consolidation in the Financial Sector: Chapter III. Effects of Consolidation on Financial Risk,” working paper, International Monetary Fund.

Khandani, A. E., A. J. Kim, and A. W. Lo, 2010, “Consumer Credit Risk Models via
Machine-Learning Algorithms,” Journal of Banking and Finance, 34(11), 2767–2787.

Kritzman, M., Y. Li, S. Page, and R. Rigobon, 2010, “Principal Components as a Measure of Systemic Risk,” Revere Street Working Paper Series: Financial Economics 272-28, Revere Street Working Paper Series.

Rosengren, E. S., 2010, “Asset Bubbles and Systemic Risk,” working paper, Federal Reserve Bank of Boston, Speech delivered at the Global Interdependence Center’s Conference on “Financial Interdependence in the World’s Post-Crisis Capital Markets”, Philadelphia, March 3, 2010.

郭維裕，李淯靖，陳致綱與林建秀，2014年9月，「台灣產業指數的外溢效果」，經濟論文叢刊，407476，2014。		zh_TW