| dc.contributor.advisor | 黃仁德<br>蕭明福 | zh_TW |
| dc.contributor.advisor | HUANG, REN-DE<br>XIAO, MING-FU | en_US |
| dc.contributor.author (作者) | 石佳煌 | zh_TW |
| dc.contributor.author (作者) | SHIH, CHIA-HUANG | en_US |
| dc.creator (作者) | 石佳煌 | zh_TW |
| dc.creator (作者) | SHIH, CHIA-HUANG | en_US |
| dc.date (日期) | 2024 | en_US |
| dc.date.accessioned | 4-九月-2024 14:38:48 (UTC+8) | - |
| dc.date.available | 4-九月-2024 14:38:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 4-九月-2024 14:38:48 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0111258021 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/153293 | - |
| 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) | 111258021 | zh_TW |
| dc.description.abstract (摘要) | 隨著全球化的加速，國際間的經濟和金融活動日益緊密，市場的連動性明顯增強，在這樣的時空背景下，深入研究各國股市之間的互動關係，特別是對特定國家或區域的影響機制，將有助於更好地理解全球金融體系的運作規律。本文運用向量自我迴歸模型及Diebold 與 Yilmaz（2012）提出的外溢指標，並採用2004年4月至2023年12月的週報酬率與波動率數據，分析美國四大指數與台股加權指數間的關聯性，並進一步探討台灣、美國、日本、中國、香港、日本、英國、德國、及法國等國家股價指數之間的相互影響程度與方向。
本文實證結果，得到以下的結論：各國指數報酬率間具有高度連動性；恆生指數報酬率對台股指數報酬率造成的外溢效果最大；淨外溢效果顯示，台股指數報酬率在市場中主要為被其他指數影響者；淨成對外溢效果亦顯示，台股指數報酬率為被其他指數影響者；各國指數波動度間亦有高度連動性；恆生指數波動度對台股指數波動度造成的外溢效果最大；淨外溢效果顯示，台股指數波動度在市場中主要為被其他指數影響者；淨成對外溢效果亦顯示，台股指數波動度為被其他指數影響者；及金融危機時期，各國指數間的連動性升高。 | zh_TW |
| dc.description.abstract (摘要) | With the acceleration of globalization, international economic and financial activities have become increasingly intertwined, significantly enhancing market interconnectivity. In this context, an in-depth study of the interactions between stock markets, particularly the impact mechanisms on specific countries or regions, will contribute to a better understanding of the operational patterns of the global financial system.
This paper employs the vector autoregression (VAR) model and the spillover index proposed by Diebold and Yilmaz (2012), using weekly return and volatility data from April 2004 to December 2023, to analyze the relationship between the four major U.S. indices and the Taiwan weighted index. Furthermore, it explores the degree and direction of mutual influence among the stock indices of Taiwan, the United States, Japan, China, Hong Kong, Japan, the United Kingdom, Germany, and France.
According to the research results, the following conclusions were obtained: there is a high degree of interconnectivity among the returns of various indices; the Hang Seng Index returns have the greatest spillover effect on the Taiwan Index returns; the net spillover effect shows that the Taiwan Index returns are primarily influenced by other indices in the market; the net pairwise spillover effect also indicates that the Taiwan Index returns are influenced by other indices; there is a high degree of interconnectivity among the volatilities of various indices; the Hang Seng Index volatility has the greatest spillover effect on the Taiwan Index volatility; the net spillover effect shows that the Taiwan Index volatility is primarily influenced by other indices in the market; the net pairwise spillover effect also indicates that the Taiwan Index volatility is influenced by other indices; and during the financial crisis period, the interconnectivity among various indices increased. | en_US |
| dc.description.tableofcontents | 第一章 緒論1
第二章 文獻回顧3
第三章 實證模型8
第四章 實證過程與結果12
第一節 資料來源與特性12
一、資料來源12
二、資料特性13
第二節 台灣與美股指數間的關聯性分析15
一、 指數報酬率的VAR模型迴歸結果15
二、 指數波動度的VAR模型迴歸結果18
第三節 各國股價指數報酬率的外溢效果21
一、 各國股價指數報酬率的VAR模型迴歸結果21
二、 指數報酬率的外溢效果分析23
第四節 各國股價指數波動度的外溢效果30
一、 各國股價指數波動度的VAR模型迴歸結果30
二、 指數波動度的外溢效果分析32
第五節 各國股價指數的動態外溢效果36
一、 指數報酬率的動態外溢效果分析37
二、 指數波動度的動態外溢效果分析45
第五章 結論51
參考文獻 54 | zh_TW |
| dc.format.extent | 1886731 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0111258021 | en_US |
| dc.subject (關鍵詞) | 外溢效果 | zh_TW |
| dc.subject (關鍵詞) | 向量自我迴歸模型 | zh_TW |
| dc.subject (關鍵詞) | 總外溢效果 | zh_TW |
| dc.subject (關鍵詞) | 動態外溢效果 | zh_TW |
| dc.subject (關鍵詞) | Spillover Effect | en_US |
| dc.subject (關鍵詞) | Vector Autoregressive Model | en_US |
| dc.subject (關鍵詞) | Total Spillover Effect | en_US |
| dc.subject (關鍵詞) | Dynamic Spillover Effect | en_US |
| dc.title (題名) | 各國股市與台灣股市之間外溢效果之研究 | zh_TW |
| dc.title (題名) | The Study of Spillover Effects of Stock Markets among Countries | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 王朝仕、黃嘉興(2003)，〈台股指數對美國三大主要指數理性預期關係之探討〉，國立高雄第一科技大學金融營運系碩士論文。
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張瑛淑(2010)，〈台股指數、美股指數的預測及兩者關連性之分析〉，國立屏東教育大學應用數學系碩士論文。
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