伴隨加拿大股票市場門檻之三股票市場報酬波動的動態關聯性分析：台灣、韓國及新加坡股票市場之實證研究

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Title:	伴隨加拿大股票市場門檻之三股票市場報酬波動的動態關聯性分析：台灣、韓國及新加坡股票市場之實證研究 Dynamic Relatedness Analysis of Three Stock Market Return Volatility with a Threshold of Canada Stock Market: Evidence of Taiwan, Korea, and Singapore Countries
Authors:	洪萬吉
Contributors:	醫務管理系
Keywords:	Stock market returns trivariate GARCH model asymmetrical effect trivariate asymmetric GARCH model DCC.
Date:	2014
Issue Date:	2015-03-02 11:21:40 (UTC+8)
Abstract:	This paper studies the associations among and the model construction of Taiwan, Korea, and Singapore’s stock markets during the period from January 2003 to December 2013. In this paper we construct a dynamic conditional correlation (DCC) and a trivariate AGARCH (1, 1) model to evaluate the associations, and find that there does exist an asymmetrical effect among the three stock markets with a factor of Canada stock market. The result of empirical correlation analyses also shows that Taiwan’s stock market returns positively affect the Korea and Singapore stock market returns, and the volatility of the three stock market returns interact with one another. Furthermore, the time lags of Taiwan stock market returns do not affect the returns of the Korea and Singapore stock markets. The variation risk of the Canada’s stock market returns’ volatility affects the variation risks of Taiwan, Korea and Singapore stock market returns. Empirical results also show that both good and bad news of the Canada stock market will actually affect the variation risks of those three stock market returns. Therefore, based on the viewpoint of DCC, the explanatory ability of the trivariate AIGARCH(1, 1) model is better than the traditional model of the trivariate GARCH. The evidence suggests that stock market investors or international fund managers must evaluate the variation risk and relationships of the stock market returns’ volatility.
Relation:	計畫編號：CN10320；計畫年度：103
Appears in Collections:	[Dept. of Hospital and Health (including master's program)] Chna Project

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