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| 研究生： |
陳思芃 |
|---|---|
| 論文名稱： |
跨市場連動現象之研究 |
| 指導教授： |
林靖
陳心蘋 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
社會科學學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2013 |
| 畢業學年度： | 101 |
| 語文別： | 中文 |
| 論文頁數： | 58 |
| 中文關鍵詞： | VAR 、歐債危機 、市場 |
| 相關次數： | 點閱：138 下載：22 |
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金融市場之間由於跨領域連結性的增強與衍生性商品市場的快速發展，使得金融危機事件發生後所波及的領域與影響的強度都比以往更複雜、更難以預估。本研究為了探討跨市場的互動關係，並且以歐債危機發生區域與時間作為主要觀察，根據歐洲股票市場、債券市場、匯市、全球性工業金屬市場與貴金屬市場建立VAR模型觀察跨市場間的關係，另外又因歐元區的特殊經濟體，根據不同國家之間的股票市場建立VAR模型，包含德國、法國、西班牙、葡萄牙、義大利、希臘、愛爾蘭與英國。
本文目的在於觀察市場間的互動關係與受波動後的影響時間，在研究後的結果發現，在跨市場模型中貴金屬市場與工業金屬市場的區分沒有得到太大的顯著關係，而股市與工業金屬市場是同向趨勢。股票市場模型則是發現英國、德國、法國具有影響其他國家股市的能力，與我們在實務上的概念相符，而希臘股市雖然在這段期間的波動較大，卻與其他國家股市無明顯互動關係。而這些衝擊的影響最多都不會超過五個交易日。
摘要................................................................................................................................ii
目錄...............................................................................................................................iii
表目錄...........................................................................................................................iv
圖目錄............................................................................................................................v
壹、緒論........................................................................................................................1
一、研究背景與動機............................................................................................1
二、研究目的........................................................................................................2
三、研究架構........................................................................................................3
四、研究限制........................................................................................................4
貳、文獻回顧................................................................................................................5
一、金融危機外溢效果(spill-over)之傳導..........................................................5
二、金融市場對市場波動的組成與影響因子.....................................................7
三、歐債危機之研究............................................................................................8
四、相關方法論之回顧........................................................................................9
參、研究方法..............................................................................................................11
一、研究流程......................................................................................................11
二、向量自我迴歸模型......................................................................................12
三、Granger因果關係與衝擊反應函數............................................................15
四、模型設定......................................................................................................17
肆、實證結果..............................................................................................................19
一、變數資料與敘述統計..................................................................................19
二、VAR模型實證結果.....................................................................................27
三、Granger因果關係檢定................................................................................33
四、衝擊反應函數..............................................................................................38
伍、結論與建議..........................................................................................................41
一、研究發現與貢獻..........................................................................................41
二、經濟意涵及政策建議..................................................................................42
參考文獻......................................................................................................................43
附錄..............................................................................................................................45
中文文獻
1. 高鐵梅(2009)，計量經濟分析方法與建模，清華大學出版社，北京市。
2. 陳旭昇(2007)，時間序列分析：總體經濟與財務金融之應用，東華書局，台北市。
3. 黃嘉東(2010)，「歐洲已開發市場之信用違約交換與信用價差動態關係與變化影響因子」，碩士論文，國立政治大學財務管理研究所，台北市。
英文文獻
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21. Tudor, C. (2011), ‘Changes in stock markets interdependencies as a result of the global financial crisis: empirical investigation on the CEE region’, Panoeconomicus, Vol. 58, No. 4, pp. 525-543.
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23. Vansteenkiste, I. and Hiebert, P. (2011), ‘Do house price developments spillover across euro area countries? Evidence from a global VAR’, Journal Of Housing Economics, Vol. 20, No. 4, pp. 200-314.
