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題名 亞太盆地國家股市報酬、波動性與國家信用評比等級的關聯性
Stock Return, Volatility and Country Credit Risk: The Asia-Pacific Markets
作者 陳豐隆
Chen, Warren F.L.
貢獻者 杜化宇
Anthony Tu
陳豐隆
Warren F.L. Chen
關鍵詞 亞太盆地
股票報酬率
波動度
國家信用
時間序列
干預模型
衝擊反應分析
Asia-Pacific Basin
stock return
volatility
country credit
time series
intervention analysis
impulse response analysis
日期 1998
上傳時間 21-四月-2016 17:05:52 (UTC+8)
摘要 近年來國際金融局勢詭譎多變，金融危機層出不窮，無論外資或有意投入國外股市的投資人都勢必更加小心。本研究乃針對亞太盆地國家的股票報酬率與國家信用水準變動做分析，並依開發中國家與已開發國家之別，嘗試探究其差異。本文的研究方法採用時間序列的模型(干預模型與衝擊反應分析)，檢定亞太盆地國家股票報酬率的時間序列型態，及國家信用變動對股票報酬率及其波動性的影響。實證結果顯示：
For the recent years, the global financial environment has been changing rapidly, which reminds qualified foreign institutional investors of more caution. This survey focuses on the relationship between stock returns, volatility and country credit rating changes among countries in the Asia-Pacific Basin. This research further divides the 12 sample countries into two categories, developed markets and emerging ones, and finds out the differences between both groups. The empirical methods used here are intervention analysis and impulse response analysis. The empirical results are as follows:
參考文獻 1. 吳佳貞，波動度預測模型之探討，政治大學金融研究所未出版碩士論文，民國八十七年六月。
     2. 姚海青，我國股票市場融資比率與融券保證金成數調整對股價與股價波動性影響之研究，銘傳大學金融研究所未出版碩士論文，民國八十七年五月。
     3. 莊金維，台灣股市時間序列特性與市場干預效果，政治大學財務管理研究所未出版碩士論文，民國八十七年六月。
     4. 許文成，台灣股票市場波動性之衡量及其影響因子之探討，中山大學財務管理研究所未出版碩士論文，民國八十五年六月。
     5. 詹益慶，資本資產訂價模式在亞太股票市場的驗證，國立台灣科技大學管理技術研究所企業管理學程博士論文，民國八十七年。
     
     1. Bailey, Warren and Y. Peter Chung, "Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market", Journal of Financial and Quantitative Analysis, vol. 30, No. 4, Dec. 1995, pp. 541-561.
     2. Baillie, Richard T. and Ramon P. DeGennaro, "Stock Returns and Volatility", Journal of Financial and Quantitative Analysis, Vol.25, No. 2 , June 1990, pp. 203-214.
     3. Bekaert, Geert, Campbell R. Harvey, "Emerging equity market volatility", Journal of Financial Economics, 43(1997), pp. 29-77.
     4. Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31 (April 1986), pp. 307-327.
     5. Diamonte, Robin L., John M. Liew, and Ross L. Stevens, "Political Risk in Emerging and developed Markets", Financial Analysts Journal, May. / June 1996, pp. 71-76.
     6. Divecha, Arjun B., Jaime Drach, and Dan Stefek, "Emerging Markets: A Quantitative Perspective", Journal of Portfolio Management, Fall 1992, pp. 41-50.
     7. Duffee, G.R., "Stock returns and volatility: A firm level analysis", Journal of Financial Economics, 37(1995), pp. 399-420.
     8. Elyasiani, Elyas and Iqbal Mansur, "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model", Journal of Banking & Finance, 22(1998), pp. 535-563.
     9. Enders, Walter, Applied Econometric Time Series ,1995.
     10. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "Country Risk and Global Equity Selection", Journal of Portfolio Management, vol. 21, no.2, Winter 1995, pp. 74-83.
     11. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "Expected Returns and Volatility in 135 Countries.", Journal of Portfolio Management, vol. 21,no.3, Spring 1996, pp. 46-58.
     12. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "The influence of Political, Economic, and Financial Risk on Expected Fixed-Income Returns", The Journal of Fixed Income, June 1996, pp. 7-30.
     13. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "Political Risk, Economic Risk , and Financial Risk", Financial Analysts Journal, Nov. / Dec.1996, pp.29-46.
     14. Hamilton, James D., Time Series Analysis, 1994.
     15. Harvey, Campbell R., "Predictable Risk and Returns in Emerging Markets", Review of Financial Studies, 8 (1995), pp. 773-816.
     16. Lamoureux, Christopher G. and William D. Lastrapes, "Heteroskaedasticity in Stock Return Data: Volume versus GARCH Effects", The Journal of Finance, vol. XLV. No.1, March 1990, pp.221-229.
     17. Ng, V., Engle, R.F., Rothschild, M., "A multi-dynamic-factor model for stock returns", Journal of Econometrics, 52(1992), pp. 245-266.
     18. Phylaktis, Kate, "Capital market integration in the Pacific Basin region: an impulse response analysis", Journal of International Money and Finance, 18(1999), pp. 267-287.
     19. Solnik, Bruno H., International Investments, third ed., 1996.
描述 碩士
國立政治大學
財務管理研究所
86357001
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001493
資料類型 thesis
dc.contributor.advisor 杜化宇zh_TW
dc.contributor.advisor Anthony Tuen_US
dc.contributor.author (作者) 陳豐隆zh_TW
dc.contributor.author (作者) Warren F.L. Chenen_US
dc.creator (作者) 陳豐隆zh_TW
dc.creator (作者) Chen, Warren F.L.en_US
dc.date (日期) 1998en_US
dc.date.accessioned 21-四月-2016 17:05:52 (UTC+8)-
dc.date.available 21-四月-2016 17:05:52 (UTC+8)-
dc.date.issued (上傳時間) 21-四月-2016 17:05:52 (UTC+8)-
dc.identifier (其他 識別碼) B2002001493en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85923-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 86357001zh_TW
dc.description.abstract (摘要) 近年來國際金融局勢詭譎多變，金融危機層出不窮，無論外資或有意投入國外股市的投資人都勢必更加小心。本研究乃針對亞太盆地國家的股票報酬率與國家信用水準變動做分析，並依開發中國家與已開發國家之別，嘗試探究其差異。本文的研究方法採用時間序列的模型(干預模型與衝擊反應分析)，檢定亞太盆地國家股票報酬率的時間序列型態，及國家信用變動對股票報酬率及其波動性的影響。實證結果顯示：zh_TW
dc.description.abstract (摘要) For the recent years, the global financial environment has been changing rapidly, which reminds qualified foreign institutional investors of more caution. This survey focuses on the relationship between stock returns, volatility and country credit rating changes among countries in the Asia-Pacific Basin. This research further divides the 12 sample countries into two categories, developed markets and emerging ones, and finds out the differences between both groups. The empirical methods used here are intervention analysis and impulse response analysis. The empirical results are as follows:en_US
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001493en_US
dc.subject (關鍵詞) 亞太盆地zh_TW
dc.subject (關鍵詞) 股票報酬率zh_TW
dc.subject (關鍵詞) 波動度zh_TW
dc.subject (關鍵詞) 國家信用zh_TW
dc.subject (關鍵詞) 時間序列zh_TW
dc.subject (關鍵詞) 干預模型zh_TW
dc.subject (關鍵詞) 衝擊反應分析zh_TW
dc.subject (關鍵詞) Asia-Pacific Basinen_US
dc.subject (關鍵詞) stock returnen_US
dc.subject (關鍵詞) volatilityen_US
dc.subject (關鍵詞) country crediten_US
dc.subject (關鍵詞) time seriesen_US
dc.subject (關鍵詞) intervention analysisen_US
dc.subject (關鍵詞) impulse response analysisen_US
dc.title (題名) 亞太盆地國家股市報酬、波動性與國家信用評比等級的關聯性zh_TW
dc.title (題名) Stock Return, Volatility and Country Credit Risk: The Asia-Pacific Marketsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. 吳佳貞，波動度預測模型之探討，政治大學金融研究所未出版碩士論文，民國八十七年六月。
     2. 姚海青，我國股票市場融資比率與融券保證金成數調整對股價與股價波動性影響之研究，銘傳大學金融研究所未出版碩士論文，民國八十七年五月。
     3. 莊金維，台灣股市時間序列特性與市場干預效果，政治大學財務管理研究所未出版碩士論文，民國八十七年六月。
     4. 許文成，台灣股票市場波動性之衡量及其影響因子之探討，中山大學財務管理研究所未出版碩士論文，民國八十五年六月。
     5. 詹益慶，資本資產訂價模式在亞太股票市場的驗證，國立台灣科技大學管理技術研究所企業管理學程博士論文，民國八十七年。
     
     1. Bailey, Warren and Y. Peter Chung, "Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market", Journal of Financial and Quantitative Analysis, vol. 30, No. 4, Dec. 1995, pp. 541-561.
     2. Baillie, Richard T. and Ramon P. DeGennaro, "Stock Returns and Volatility", Journal of Financial and Quantitative Analysis, Vol.25, No. 2 , June 1990, pp. 203-214.
     3. Bekaert, Geert, Campbell R. Harvey, "Emerging equity market volatility", Journal of Financial Economics, 43(1997), pp. 29-77.
     4. Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31 (April 1986), pp. 307-327.
     5. Diamonte, Robin L., John M. Liew, and Ross L. Stevens, "Political Risk in Emerging and developed Markets", Financial Analysts Journal, May. / June 1996, pp. 71-76.
     6. Divecha, Arjun B., Jaime Drach, and Dan Stefek, "Emerging Markets: A Quantitative Perspective", Journal of Portfolio Management, Fall 1992, pp. 41-50.
     7. Duffee, G.R., "Stock returns and volatility: A firm level analysis", Journal of Financial Economics, 37(1995), pp. 399-420.
     8. Elyasiani, Elyas and Iqbal Mansur, "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model", Journal of Banking & Finance, 22(1998), pp. 535-563.
     9. Enders, Walter, Applied Econometric Time Series ,1995.
     10. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "Country Risk and Global Equity Selection", Journal of Portfolio Management, vol. 21, no.2, Winter 1995, pp. 74-83.
     11. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "Expected Returns and Volatility in 135 Countries.", Journal of Portfolio Management, vol. 21,no.3, Spring 1996, pp. 46-58.
     12. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "The influence of Political, Economic, and Financial Risk on Expected Fixed-Income Returns", The Journal of Fixed Income, June 1996, pp. 7-30.
     13. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta, "Political Risk, Economic Risk , and Financial Risk", Financial Analysts Journal, Nov. / Dec.1996, pp.29-46.
     14. Hamilton, James D., Time Series Analysis, 1994.
     15. Harvey, Campbell R., "Predictable Risk and Returns in Emerging Markets", Review of Financial Studies, 8 (1995), pp. 773-816.
     16. Lamoureux, Christopher G. and William D. Lastrapes, "Heteroskaedasticity in Stock Return Data: Volume versus GARCH Effects", The Journal of Finance, vol. XLV. No.1, March 1990, pp.221-229.
     17. Ng, V., Engle, R.F., Rothschild, M., "A multi-dynamic-factor model for stock returns", Journal of Econometrics, 52(1992), pp. 245-266.
     18. Phylaktis, Kate, "Capital market integration in the Pacific Basin region: an impulse response analysis", Journal of International Money and Finance, 18(1999), pp. 267-287.
     19. Solnik, Bruno H., International Investments, third ed., 1996.		zh_TW