التفاصيل البيبلوغرافية
| العنوان: |
市場波動性與股價波動性之長短期動態關係研究 ; A Study on Dynamic Relationship between Market Volatility and Stock Index Volatility |
| المؤلفون: |
施富鐘 |
| المساهمون: |
林正寶, Jeng-Bau Lin |
| بيانات النشر: |
企業管理學系研究所 |
| سنة النشر: |
2004 |
| المجموعة: |
National Chung Hsing University Institutional Repository - NCHUIR / 國立中興大學 |
| مصطلحات موضوعية: |
Market Volatility, 市場波動, Stock Index Volatility, Cointegration, VECM, Variance Decomposition, 股價指數波動, 共整合, 誤差修正模型, 變異數分解 |
| الوصف: |
本研究之研究主旨為分析研究台灣市場總體經濟變數之波動性（以下簡稱市場波動性）與股價指數波動性兩者間之長短期動態關係。本研究所涵蓋之總體經濟變數包括利率波動、匯率波動、失業率波動、物價波動、國際原油價格波動與工業生產指數波動，而股價波動則是以台灣發行量加權股價指數為代表。資料範圍從是從1984年1月到2003年3月。 在研究結論中有關長期均衡關係的部分，實證結果顯示市場波動與股價波動皆存在單根，同時，市場波動與股價波動兩者間存在共整合關係，穩定性檢定模型CUSUM of squares的檢定結果也支持該長期均衡關係。Granger因果關係模型則指出台灣市場的股價波動會領先物價波動。在短期動態關係部分，根據衝擊反應函數圖形與變異數分解模型所顯示，股價波動對於市場波動變動都呈現緩慢而平滑的的反應，影響期間多數都在一年之內。同時，在體系內，股價波動、利率波動、匯率波動、失業率波動與國際原油價格波動其外生性相對較強，其他變數包括物價波動與工業生產波動則是外生性相對較弱的變數。 ; This study investigates the dynamic relationships between stock index volatility and market volatility using the monthly data running from January 1984 to March 2003 in Taiwan. The market volatility being investigated in this study involves interest rate volatility, exchange rate volatility, unemployment rate volatility, oil price volatility, inflation rate volatility and industrial production volatility. All the variables examined present a unit root by the ADF and the KPSS test. By Johansen cointegration test, this study finds the result that there exists the long run equilibrium relationship between the stock index volatility and the market volatility. The stability test of CUSUM of squares also confirms that the series are consistent and stable. The result of Granger causality test indicates that, among all volatilities analyzed, only the stock index volatility one-way leads the inflation rate volatility. The empirical results of impulse response functions point out that, the stock index volatility reacts in a steady and smoothing way while the market volatility changes over time. Evidence of variance decomposition shows that stock index volatility caused by all the other volatilities would gradually diminish after twelve periods. In addition, the other four variables underlined, including the stock index volatility, the interest rate volatility, the unemployment rate volatility, oil price volatility and the exchange rate volatility present strong exogeneity orderings whereas both the inflation rate volatility and the industrial production volatility show weak exogeneity ... |
| نوع الوثيقة: |
thesis |
| اللغة: |
English |
| العلاقة: |
http://hdl.handle.net/11455/20452Test |
| الإتاحة: |
http://hdl.handle.net/11455/20452Test |
| حقوق: |
none |
| رقم الانضمام: |
edsbas.26D08970 |
| قاعدة البيانات: |
BASE |
