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題名 越南，台灣和美國股票市場之時間序列分析
A time-series analysis on the stock markets of Vietnam, Taiwan and the US.作者 黃氏秋賢
Hien, Hoang Thi Thu貢獻者 蔡政憲
Tsai, Jason
黃氏秋賢
Hoang Thi Thu Hien關鍵詞 整合移動平均自回歸模型
廣義自回歸條件異方差模型
風險價值
越南股票市場
波動性
ARIMA
GARCH
VAR
Vietnam stock market
Volatility日期 2019 上傳時間 7-Aug-2019 16:22:00 (UTC+8) 摘要 無
This thesis investigates the interdependence relationship between the Vietnam stock market and other advanced equity markets, including Taiwan and US during the period from 2000 to 2019. An ARIMA-GARCH model is used to capture the volatility transmissions and a VAR model is used to describe the returns linkage. I find statistical evidence that the Vietnam stock market is partially affected by its past performance and strongly affected by performance of US market, while there is little association between Vietnam and Taiwan stock markets.參考文獻 Ahmad, N., Ahmed, A. A., Yveinhardt, Y., Streimikienec, D. (2016) “Empirical analysis of stock returns and volatility: Evidence from Asian stock markets”, Technological and Economic Development of Economy, Vol. 22(6): 808–829.Chancharoenchai, K. & Dibooglu, S. (2006) “Volatility Spillovers and Contagion During the Asian Crisis. Evidence from Six Southeast Asian Stock Markets”, Emerging Markets Finance and Trade, Vol. 42, No. 2, pp. 4–17.Chao, S. W. (2019) “The Role of US Variables in Long-Run and Short-Run Taiwan Stock Volatility”, Emerging Markets Finance & Trade, 55:1153–1170.Coghlan, A. “A Little Book of R for Time Series”. a-little-book-of-r-for-time-series.readthedocs.io/en/latest/. Accessed on February 1st, 2019.Elton, E. J. & Gruber, M. J. (1997) “Modern Portfolio Theory, 1950 to Date”, New York University, Stern School of Business, Finance Department, Working paper series.Green, S. (2011) "Time Series Analysis of Stock Prices Using the Box-Jenkins Approach", Electronic Theses & Dissertations. Paper 668.Hyndman, R.J., & Athanasopoulos, G. (2018) “Forecasting: principles and practice”, 2nd edition, OTexts: Melbourne, Australia. OTexts.com/fpp2. Accessed on December 1st, 2018.James, G., Witten, D., Hastie, T. & Tibshirani, R. “An introduction to Statistical Learning with Applications in R”, 2013.Koima, J.K, Mwita, P.N & Nassiuma, D.K (2015) “Volatility Estimation of Stock Prices using Garch Method”, European Journal of Business and Management, Vol.7, No.19.Kunt, A. D. and Maksimovis, V. (1996) “Stock Market Development and Financing Choices of Firms”, The World Bank Economic Review, Vol. 10, Issue 2, pp. 341–369.Lupi, C. (2009) “Unit Root CADF Testing with R”, Journal of Statistical Software, 32(2), 1--19. http://www.jstatsoft.org/v32/i02/Luu, T. T. (2011) “The relationship between the United States and Vietnam stock markets”, The International Journal of Business and Finance Research, Vol. 5, No. 1.Malik, A., Tran, M. H, Abumustafa, N. I., & Jamal, A. (2018) “Examining the integration between Vietnamese stock market and markets from US, UK, China, Japan and ASEAN”, International Journal of Developing and Emerging Economies, Vol.6, No.2, pp.21-38.Nguyen, T. T. D., Rainey, I. D. and Gregoriou, A. (2012) “Financial Development and the Determinants of Capital Structure in Vietnam”. Available at http://dx.doi.org/10.2139/ssrn.2014834.Nist/Sematech e-Handbook of Statistical Methods, "Introduction to Time Series Analysis". Accessed on March, 2019.Schmidt, Dr. “Autoplot: Graphical Methods with ggplot2”. Wrathematics, my stack runneth over. Accessed on March, 2019.Wooldridge, J. M. “Introductory Econometrics. A modern approach”, 6th edition, 2016.Vo, X. V. & Ellis, C. (2018) “International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries”, Emerging Markets Review, 36, 19-27.Xiao, L. & Dhesi, G. (2010) “Volatility spillover and time-varying conditional correlation between the European and US stock markets”, Global Economy and Finance Journal, Vol.3, No. 2., pp. 148–164.Yang, J. & Bessler, D. A (2008) “Contagion around the October 1987 stock market crash”, European Journal of Operational Research, 184, 291–310. 描述 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
106933054資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106933054 資料類型 thesis dc.contributor.advisor 蔡政憲 zh_TW dc.contributor.advisor Tsai, Jason en_US dc.contributor.author (Authors) 黃氏秋賢 zh_TW dc.contributor.author (Authors) Hoang Thi Thu Hien en_US dc.creator (作者) 黃氏秋賢 zh_TW dc.creator (作者) Hien, Hoang Thi Thu en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:22:00 (UTC+8) - dc.date.available 7-Aug-2019 16:22:00 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:22:00 (UTC+8) - dc.identifier (Other Identifiers) G0106933054 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124801 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營管理英語碩士學位學程(IMBA) zh_TW dc.description (描述) 106933054 zh_TW dc.description.abstract (摘要) 無 zh_TW dc.description.abstract (摘要) This thesis investigates the interdependence relationship between the Vietnam stock market and other advanced equity markets, including Taiwan and US during the period from 2000 to 2019. An ARIMA-GARCH model is used to capture the volatility transmissions and a VAR model is used to describe the returns linkage. I find statistical evidence that the Vietnam stock market is partially affected by its past performance and strongly affected by performance of US market, while there is little association between Vietnam and Taiwan stock markets. en_US dc.description.tableofcontents 1. Introduction 11.1. Motivations 11.2. Overview of the Vietnam, Taiwan and US stock markets 31.2.1. Overview of the Vietnam stock market. 41.2.2. Overview of the Taiwan stock market. 51.2.3. Overview of the US stock market. 62. Literature Review 73. Chapter 3: Data and Methodology 93.1. Data 93.2. Methodology 103.2.1. ARIMA (Autoregressive Integrated Moving Average) 103.2.2. ARCH/GARCH (Generalized Autoregressive Conditionally Heteroscedastic) 133.2.3. VAR (Vector Auto-Regression) 144. Results and Discussions 164.1. Stationarity test on prices 164.2. Differencing time-series 174.3. ARIMA 184.3.1. Diagnosing ACF and PACF 184.3.2. ARIMA 204.4. ARCH/GARCH 244.4.1. VNI 244.4.2. TAIEX 264.4.3. SPX 284.5. VAR 294.5.1. Co-integration test 294.5.2. VAR 304.5.3. 4.5.3 Granger Causality test 335. Conclusions 356. References 37 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106933054 en_US dc.subject (關鍵詞) 整合移動平均自回歸模型 zh_TW dc.subject (關鍵詞) 廣義自回歸條件異方差模型 zh_TW dc.subject (關鍵詞) 風險價值 zh_TW dc.subject (關鍵詞) 越南股票市場 zh_TW dc.subject (關鍵詞) 波動性 zh_TW dc.subject (關鍵詞) ARIMA en_US dc.subject (關鍵詞) GARCH en_US dc.subject (關鍵詞) VAR en_US dc.subject (關鍵詞) Vietnam stock market en_US dc.subject (關鍵詞) Volatility en_US dc.title (題名) 越南，台灣和美國股票市場之時間序列分析 zh_TW dc.title (題名) A time-series analysis on the stock markets of Vietnam, Taiwan and the US. en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ahmad, N., Ahmed, A. A., Yveinhardt, Y., Streimikienec, D. (2016) “Empirical analysis of stock returns and volatility: Evidence from Asian stock markets”, Technological and Economic Development of Economy, Vol. 22(6): 808–829.Chancharoenchai, K. & Dibooglu, S. (2006) “Volatility Spillovers and Contagion During the Asian Crisis. Evidence from Six Southeast Asian Stock Markets”, Emerging Markets Finance and Trade, Vol. 42, No. 2, pp. 4–17.Chao, S. W. (2019) “The Role of US Variables in Long-Run and Short-Run Taiwan Stock Volatility”, Emerging Markets Finance & Trade, 55:1153–1170.Coghlan, A. “A Little Book of R for Time Series”. a-little-book-of-r-for-time-series.readthedocs.io/en/latest/. Accessed on February 1st, 2019.Elton, E. J. & Gruber, M. J. (1997) “Modern Portfolio Theory, 1950 to Date”, New York University, Stern School of Business, Finance Department, Working paper series.Green, S. (2011) "Time Series Analysis of Stock Prices Using the Box-Jenkins Approach", Electronic Theses & Dissertations. Paper 668.Hyndman, R.J., & Athanasopoulos, G. (2018) “Forecasting: principles and practice”, 2nd edition, OTexts: Melbourne, Australia. OTexts.com/fpp2. Accessed on December 1st, 2018.James, G., Witten, D., Hastie, T. & Tibshirani, R. “An introduction to Statistical Learning with Applications in R”, 2013.Koima, J.K, Mwita, P.N & Nassiuma, D.K (2015) “Volatility Estimation of Stock Prices using Garch Method”, European Journal of Business and Management, Vol.7, No.19.Kunt, A. D. and Maksimovis, V. (1996) “Stock Market Development and Financing Choices of Firms”, The World Bank Economic Review, Vol. 10, Issue 2, pp. 341–369.Lupi, C. (2009) “Unit Root CADF Testing with R”, Journal of Statistical Software, 32(2), 1--19. http://www.jstatsoft.org/v32/i02/Luu, T. T. (2011) “The relationship between the United States and Vietnam stock markets”, The International Journal of Business and Finance Research, Vol. 5, No. 1.Malik, A., Tran, M. H, Abumustafa, N. I., & Jamal, A. (2018) “Examining the integration between Vietnamese stock market and markets from US, UK, China, Japan and ASEAN”, International Journal of Developing and Emerging Economies, Vol.6, No.2, pp.21-38.Nguyen, T. T. D., Rainey, I. D. and Gregoriou, A. (2012) “Financial Development and the Determinants of Capital Structure in Vietnam”. Available at http://dx.doi.org/10.2139/ssrn.2014834.Nist/Sematech e-Handbook of Statistical Methods, "Introduction to Time Series Analysis". Accessed on March, 2019.Schmidt, Dr. “Autoplot: Graphical Methods with ggplot2”. Wrathematics, my stack runneth over. Accessed on March, 2019.Wooldridge, J. M. “Introductory Econometrics. A modern approach”, 6th edition, 2016.Vo, X. V. & Ellis, C. (2018) “International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries”, Emerging Markets Review, 36, 19-27.Xiao, L. & Dhesi, G. (2010) “Volatility spillover and time-varying conditional correlation between the European and US stock markets”, Global Economy and Finance Journal, Vol.3, No. 2., pp. 148–164.Yang, J. & Bessler, D. A (2008) “Contagion around the October 1987 stock market crash”, European Journal of Operational Research, 184, 291–310. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900462 en_US
