學術產出-學位論文
| 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 | 7-八月-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 (作者) | 黃氏秋賢 | zh_TW |
| dc.contributor.author (作者) | 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 | 7-八月-2019 16:22:00 (UTC+8) | - |
| dc.date.available | 7-八月-2019 16:22:00 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-八月-2019 16:22:00 (UTC+8) | - |
| dc.identifier (其他 識別碼) | 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 1 1.1. Motivations 1 1.2. Overview of the Vietnam, Taiwan and US stock markets 3 1.2.1. Overview of the Vietnam stock market. 4 1.2.2. Overview of the Taiwan stock market. 5 1.2.3. Overview of the US stock market. 6 2. Literature Review 7 3. Chapter 3: Data and Methodology 9 3.1. Data 9 3.2. Methodology 10 3.2.1. ARIMA (Autoregressive Integrated Moving Average) 10 3.2.2. ARCH/GARCH (Generalized Autoregressive Conditionally Heteroscedastic) 13 3.2.3. VAR (Vector Auto-Regression) 14 4. Results and Discussions 16 4.1. Stationarity test on prices 16 4.2. Differencing time-series 17 4.3. ARIMA 18 4.3.1. Diagnosing ACF and PACF 18 4.3.2. ARIMA 20 4.4. ARCH/GARCH 24 4.4.1. VNI 24 4.4.2. TAIEX 26 4.4.3. SPX 28 4.5. VAR 29 4.5.1. Co-integration test 29 4.5.2. VAR 30 4.5.3. 4.5.3 Granger Causality test 33 5. Conclusions 35 6. 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 |