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題名 跨國金融危機擴散效果之分析-以Copula模型為分析方法
Analysis of transnational financial crisis contagion effect-copula approach作者 莊旭明
Chuang, Shiu Ming貢獻者 毛維凌
Mao, Wei Lin, Ph.D.
莊旭明
Chuang, Shiu Ming關鍵詞 金融危機
關聯結構函數
蔓延效果
尾端相關性
financial crisis
copula
contagion effect
tail dependence日期 2011 上傳時間 30-Oct-2012 14:04:47 (UTC+8) 摘要 本篇論文主要是想探討在2008年全球金融危機發生後，美國與亞洲國家股票市場之間的相關性是否發生明顯的改變。藉由2005年至2012年美國、新加坡、台灣、日本和泰國的股票市場資料，來觀察各國股票市場的相關性是否產生不對稱的現象，首先檢定美國對其他四個國家有無產生蔓延效果，並藉由不同期間的資料來檢定蔓延效果以看出各國之間是否在極端的情況下產生尾端相關性，最後，再使用不同的關聯結構函數配適出最適合資料的模型。
The main idea of this paper is to show whether or not that stock market between U.S and Asian country has been obviously changed after 2008 financial crisis. For the sake of observing if there is or not occurred inconsistence phenomenon in each country’s stock market, we use the information from U.S、Singapore、Taiwan、Japan and Thailand since 2005 to 2012. First, look in that if U.S has contagion affects to other four countries and, checkup the contagion effects through the information from different period to find the tail dependence in extreme situation. Finally, to dispose a model which is the most suitable for the information by using different Copula functions.參考文獻 賴亦豪、江福松、林煌傑 (2010)，極端報酬下亞洲股市之蔓延效果:應用Copula分析法，《經濟與管理論叢》，6(2), 247-270。賴柏志 (2004)，關聯結構(copula)在信用風險管理之運用，金融風險管理季刊。Ang, A., and Chen, J. (2002), “Asymmetric Correlations of Equity Portfolios,” Journal of Financial Economics, 63, 443-494.Arestis, P., Caporale, G.M., Cipollini, C., Spagnolo, N. (2005),“Testing for Financial Contagion Between Developed and Emerging Markets During the 1997 East Asian Crisis,” International Journal of Finance and Economics, 10(4), 359-367.Azad, S. (2009),“Efficiency, Cointegration and Contagion in Equity Markets: Evidence from China,”Japan and South Korea Asian Economic Journal,23(1), 93-118.Bradley, B. and Taqqu, M., (2005),“How to Estimate Spatial Contagion between Financial Markets,”Finance Letters, 3 (1), 64-76.Bradley, B. and Taqqu, M., (2005),“Empirical evidence on spatial contagion between financial markets,”Finance Letters, 3 (1), 77-86.Chancharoenchai, K. and Dibooglu, S. (2006),“Volatility Spillovers and Contagion During the Asian Crisis: Evidence from six Southeast Asian Stock Markets,”Emerging Markets Finance and Trade, 42(2), 4-17.Chollete, L., Pena, V., and Lu, C. C. (2011),“International diversification: A copula approach,”Journal of banking and Finance, 35, 403-417.Duan, J. C., Gauthier G., Sasseville, C., and Simonato, J. G. (2006),“No Contagion, Only Independence: Measuring Stock Market Comovements,”Journal of Finance, 57(5), 2223-2261.Forbes, K. and Rigobon, R. (1999),“No Contagion, Only Independence: Measuring Stock Market Comovements,”Journal of Finance, 57(5), 2223-2261.Hong, Y., Tu, J., and Zhou, G. (2007),“Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation,”Journal of Multivariate Analysis, 20, 1547-1581.Hu, L. (2006),“Dependence patterns across financial markets: a mixed copula approach,”Applied Financial Economics, 16(10), 717-729.Joe, H. and Xu, J. J. (1996),“The Estimation Method of Inference Functions for Margins for Multivariate Models,”Technical Report, No. 166, Department of Statistics, University of British Columbia.Joe, H. (1997), “Multivariate Models and Dependence Concept, ” London: Chapman and Hall.Lai, Y. H. and Tseng, J. C. (2010),“The Role of Chinese Stock Market in Global Stock Markets: A safe Haven or a Hedge?”International Review of Economics and Finance, 19, 211-218.Longin, F. A. and Solnik, B. (2001),“Extreme Correlation of International Equity Markets,”Journal of Finance, 56(2), 649-676.Pontines, V. and Siregar, R.Y. (2009),“Tranquil and Crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of DCC procedure,”Applied Financial Economics, 19(9), 745-752.Roncalli, T., Bouye, E., Durrleman, V., Nikeghbali, A., and Riboulet, G., (1959),“Copulas: an open field for risk management,”Warwick Business School Financial Econometrics Research Centre, Universal of Warwick, working Paper.Ruicheng, Y., Xuezhi, Q., and Tian, C., (2009),“CDO pricing using single factor copula model with stochastic correlation and random factor loading,”Journal of Mathematical Analysis and Applications, 350(1), 73-80.Sklar, A. (1959),“Fonctions de repartition a n dimensions et leurs marges,”Publications de l’Institut de Statistique de l’Universite de Paris, 8, 229-231.Steven, S. and Ng, W. L. (2009),“The Effect of Real Estate Downturn on the Link between REITs and the Stock Market,”Journal of Real Estate Portfolio Management, 15(3), 211-219.Yiu, M. S., Ho, W.Y., and Choi, D. F. (2010),“Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil,”Applied Financial Economics, 20(4), 345-354. 描述 碩士
國立政治大學
經濟學系
98258009
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098258009 資料類型 thesis dc.contributor.advisor 毛維凌 zh_TW dc.contributor.advisor Mao, Wei Lin, Ph.D. en_US dc.contributor.author (Authors) 莊旭明 zh_TW dc.contributor.author (Authors) Chuang, Shiu Ming en_US dc.creator (作者) 莊旭明 zh_TW dc.creator (作者) Chuang, Shiu Ming en_US dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 14:04:47 (UTC+8) - dc.date.available 30-Oct-2012 14:04:47 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 14:04:47 (UTC+8) - dc.identifier (Other Identifiers) G0098258009 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54880 - 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) 98258009 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 本篇論文主要是想探討在2008年全球金融危機發生後，美國與亞洲國家股票市場之間的相關性是否發生明顯的改變。藉由2005年至2012年美國、新加坡、台灣、日本和泰國的股票市場資料，來觀察各國股票市場的相關性是否產生不對稱的現象，首先檢定美國對其他四個國家有無產生蔓延效果，並藉由不同期間的資料來檢定蔓延效果以看出各國之間是否在極端的情況下產生尾端相關性，最後，再使用不同的關聯結構函數配適出最適合資料的模型。 zh_TW dc.description.abstract (摘要) The main idea of this paper is to show whether or not that stock market between U.S and Asian country has been obviously changed after 2008 financial crisis. For the sake of observing if there is or not occurred inconsistence phenomenon in each country’s stock market, we use the information from U.S、Singapore、Taiwan、Japan and Thailand since 2005 to 2012. First, look in that if U.S has contagion affects to other four countries and, checkup the contagion effects through the information from different period to find the tail dependence in extreme situation. Finally, to dispose a model which is the most suitable for the information by using different Copula functions. en_US dc.description.tableofcontents 中文摘要 1英文摘要 2第一章 緒論 3第一節 研究動機與目的 3第二節 研究範圍與資料來源 5第三節 研究流程論文架構 6第二章 文獻回顧 7第一節 Contagion 7第二節 Copula 8第三章 研究方法 9第一節 Contagion之測度檢定 9第二節 Copula方法及其定理之介紹 10第三節 經驗累積分配函數(Empirical CDF) 12第四節 實證模型建構 13第四章 實證結果與分析 15第一節 基本相關分析 15第二節 Contagion檢定結果 20第三節 Copula模型選擇 24第五章 結論 26Appendix 27A. Introduction of Copulas 27B. Syntax 28Reference 41 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098258009 en_US dc.subject (關鍵詞) 金融危機 zh_TW dc.subject (關鍵詞) 關聯結構函數 zh_TW dc.subject (關鍵詞) 蔓延效果 zh_TW dc.subject (關鍵詞) 尾端相關性 zh_TW dc.subject (關鍵詞) financial crisis en_US dc.subject (關鍵詞) copula en_US dc.subject (關鍵詞) contagion effect en_US dc.subject (關鍵詞) tail dependence en_US dc.title (題名) 跨國金融危機擴散效果之分析-以Copula模型為分析方法 zh_TW dc.title (題名) Analysis of transnational financial crisis contagion effect-copula approach en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 賴亦豪、江福松、林煌傑 (2010)，極端報酬下亞洲股市之蔓延效果:應用Copula分析法，《經濟與管理論叢》，6(2), 247-270。賴柏志 (2004)，關聯結構(copula)在信用風險管理之運用，金融風險管理季刊。Ang, A., and Chen, J. (2002), “Asymmetric Correlations of Equity Portfolios,” Journal of Financial Economics, 63, 443-494.Arestis, P., Caporale, G.M., Cipollini, C., Spagnolo, N. (2005),“Testing for Financial Contagion Between Developed and Emerging Markets During the 1997 East Asian Crisis,” International Journal of Finance and Economics, 10(4), 359-367.Azad, S. (2009),“Efficiency, Cointegration and Contagion in Equity Markets: Evidence from China,”Japan and South Korea Asian Economic Journal,23(1), 93-118.Bradley, B. and Taqqu, M., (2005),“How to Estimate Spatial Contagion between Financial Markets,”Finance Letters, 3 (1), 64-76.Bradley, B. and Taqqu, M., (2005),“Empirical evidence on spatial contagion between financial markets,”Finance Letters, 3 (1), 77-86.Chancharoenchai, K. and Dibooglu, S. (2006),“Volatility Spillovers and Contagion During the Asian Crisis: Evidence from six Southeast Asian Stock Markets,”Emerging Markets Finance and Trade, 42(2), 4-17.Chollete, L., Pena, V., and Lu, C. C. (2011),“International diversification: A copula approach,”Journal of banking and Finance, 35, 403-417.Duan, J. C., Gauthier G., Sasseville, C., and Simonato, J. G. (2006),“No Contagion, Only Independence: Measuring Stock Market Comovements,”Journal of Finance, 57(5), 2223-2261.Forbes, K. and Rigobon, R. (1999),“No Contagion, Only Independence: Measuring Stock Market Comovements,”Journal of Finance, 57(5), 2223-2261.Hong, Y., Tu, J., and Zhou, G. (2007),“Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation,”Journal of Multivariate Analysis, 20, 1547-1581.Hu, L. (2006),“Dependence patterns across financial markets: a mixed copula approach,”Applied Financial Economics, 16(10), 717-729.Joe, H. and Xu, J. J. (1996),“The Estimation Method of Inference Functions for Margins for Multivariate Models,”Technical Report, No. 166, Department of Statistics, University of British Columbia.Joe, H. (1997), “Multivariate Models and Dependence Concept, ” London: Chapman and Hall.Lai, Y. H. and Tseng, J. C. (2010),“The Role of Chinese Stock Market in Global Stock Markets: A safe Haven or a Hedge?”International Review of Economics and Finance, 19, 211-218.Longin, F. A. and Solnik, B. (2001),“Extreme Correlation of International Equity Markets,”Journal of Finance, 56(2), 649-676.Pontines, V. and Siregar, R.Y. (2009),“Tranquil and Crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of DCC procedure,”Applied Financial Economics, 19(9), 745-752.Roncalli, T., Bouye, E., Durrleman, V., Nikeghbali, A., and Riboulet, G., (1959),“Copulas: an open field for risk management,”Warwick Business School Financial Econometrics Research Centre, Universal of Warwick, working Paper.Ruicheng, Y., Xuezhi, Q., and Tian, C., (2009),“CDO pricing using single factor copula model with stochastic correlation and random factor loading,”Journal of Mathematical Analysis and Applications, 350(1), 73-80.Sklar, A. (1959),“Fonctions de repartition a n dimensions et leurs marges,”Publications de l’Institut de Statistique de l’Universite de Paris, 8, 229-231.Steven, S. and Ng, W. L. (2009),“The Effect of Real Estate Downturn on the Link between REITs and the Stock Market,”Journal of Real Estate Portfolio Management, 15(3), 211-219.Yiu, M. S., Ho, W.Y., and Choi, D. F. (2010),“Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil,”Applied Financial Economics, 20(4), 345-354. zh_TW
