高低油價期間之門檻模型在兩股票市場報酬:上海與深圳股票市場之實證研究

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標題:	高低油價期間之門檻模型在兩股票市場報酬:上海與深圳股票市場之實證研究 Threshold Model of High and Low Oil Price Periods for Two Stock Market Returns: Empirical Study of Shanghai and Shenzhen’s Stock Markets
作者:	洪萬吉
貢獻者:	醫務管理系(所)
關鍵字:	股票市場報酬油價學生t 分配 GARCH模型非對稱效果 GJR-GARCH 模型雙變量非對稱IGARCH 模型 Stock market returns oil price Student’s t distribution GARCH model asymmetric effect GJR-GARCH model bivariate asymmetric-IGARCH model
日期:	2010
上傳時間:	2011-02-22 15:39:27 (UTC+8)
摘要:	本文探討上海與深圳股票市場之模型建構與其關聯性，同時本文使用高低油價期間之波動當作門檻。研究資料期間為2000年1月至2004年7月與 2005年6月至 2008年10月，且本文也採用學生t分配來分析所提之模型。實證研究結果顯示這兩股票市場是相互影響，且用動態條件相關與雙變量非對稱IGARCH(1，2)模型來評估這兩股票市場的關聯性是適當的。實證研究結果也顯示上海與深圳股票市場之間是呈現正相關，其動態條件相關係數之平均值為0.9642，此也顯示上海與深圳股票市場報酬波動之間是具同步的影響。此外，實證研究結果也顯示上海與深圳股票市場具有不對稱效果。實證研究結果也顯示上海與深圳股票市場報酬將會受到油價期間波動的影響，高油價期間之固定的變異風險是高於低油價期間之固定的變異風險。 This paper discusses the model construction and the association between the Shanghai’s and the Shenzhen’s stock markets. Simultaneously, this paper uses the high and the low oil price periods’ volatility as a threshold for the Shanghai’s and the Shenzhen’s stock market returns. The study data period is from January, 2000 to July, 2004 and June, 2005 to October, 2008. This paper also utilizes Student's t distribution to analyze the proposed model. The results of this empirical study reveals that the two stock markets mutually affected each other, and the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 2) model is appropriate in evaluating the relation between them. The empirical result also indicates that the Shanghai and the Shenzhen’s stock market is a positive relation. The average of the dynamic conditional correlation coefficient equals to 0.9642, which implies that the two stock markets return volatility has a synchronized influence on each other. In addition to the results implied that there is an asymmetrical effect between the Shanghai’s and the Shenzhen’s stock markets. The empirical result also shows that the Shanghai’s and the Shenzhen’s stock market returns will receive the influence of the oil price period’s volatility. The fix variation risk of the high oil price periods is higher the fix variation risk of the low oil price periods.
關聯:	計畫編號：CN9930；計畫年度：99
显示于类别:	[醫務管理系(所)] 校內計畫

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