博碩士論文 etd-0623112-013348 詳細資訊


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姓名 林佳緯 (Chia-Wei Lin) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 100學年第2學期
論文名稱(中) 金融市場的相依性:以股票市場為例 
論文名稱(英) Financial Market dependence : Stock Markets
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    摘要(中) 本文著重於股票市場,而股票指數的目標國家為葡萄牙,義大利,愛爾蘭,希臘和西班牙,而這五個國家被經濟學家稱為歐豬五國。此外,我們添加其他三個國家,分別為美國、英國和德國。本文目的是想要探討在2001到2011的樣本期間內這些國家之間的股市相關結構的變化。
    我們所使用的模型稱為copula模型,而本文的copula模型是奠基於Gaussian copula方法論,在邊際分配上本文是依據GARCH模型規範,而在聯合分配上是使用Gaussian copula模型。
    將相依性參數建構在Copula函數上可以使得依賴性參數成為一個奠基於現在所擁有的信息的動態過程,而這一個動態過程允許時間的變化和非線性的關係。我們的方法結合Copula函數和regime-switching模型,並進一步去證明在這些國家的股市之間存在著相依性的結構。
    最後,我們對國際投資者有兩點報告。首先,如果相依性結構隨著時間而變化,那麼在金融危機時期,國際投資者依據多角化理論所建構的投資組合將會出現多角化的災害,而多角化程度越高將會導致更高的系統性風險。其次,根據實證的結果,不對稱的相依性結構確實存在於金融市場,這個現象印證了多角化理論所建構的投資組合將會導致更高的系統性風險,因此我們得出這樣的結論:在金融危機時期,非多角化理論所建構的投資組合可能優於多角化理論所建構的投資組合。
    摘要(英) This paper focuses on stock markets, including Portugal、Italy、Ireland、Greece and Spain, and these are named PIGS by economists. Furthermore, we add the other three countries, U.S.A.、U.K. and Germany in this paper for investigating the dependence structure in the stock markets between these countries during the period 2001-2011. We implement a regime-switching copula model based on Gaussian copula, which uses a GARCH specification for the marginal distributions and the Gaussian copula for the joint distribution. Our method combines copulas and regime-switching models to demonstrate dependence sructures in stock markets between these countries.
    Based on this paper, we have two reports for international investors. First, if the dependency changes over time, the returns of portfolio diversification may be prone to diversification disasters, and the international investors' degrees of diversification can cause higher systemic risk in the period of financial crisis. Second, the phonomenon of the asymmetric dependence exists in financial markets, and we conclude that non-diversification may be better than diversification in the period of financial crisis.
    關鍵字(中)
  • 多角化投資組合
  • 金融危機
  • 歐債危機
  • 股票市場相依性
  • 歐豬五國
  • 關鍵字(英)
  • The European sovereign debt crisis
  • Stock market dependence
  • Financial crises
  • Regime-switch copula
  • PIGS
  • 論文目次 論文審定書 i
    摘要 ii
    Abstract iii
    Tables v
    Figures vi
    1. Introduction 1
    2. Causes of European sovereign debt crisis 7
    3. Methodology 10
    3.1. Conditional copula 10
    3.2. Regime switches in copula 11
    3.3. Estimation of parameters 13
    3.4. Models for Marginal Distributions and Bivariate Distributions 14
    3.5. Models for Bivariate Distributions 15
    4. Data and Descriptive Statistics 16
    5. Conclusion 23
    Reference 25
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    Zdenk Kudrna, 2012. “Cross‐Border Resolution of Failed Banks in the European Union after the Crisis: Business as Usual.” Journal of Common Market Studies, Vol. 50, Issue 2, pp. 283-299, 2012
    口試委員
  • 郭修仁 - 召集委員
  • 李建強 - 委員
  • 王昭文 - 指導教授
  • 黃振聰 - 指導教授
  • 口試日期 2012-06-12 繳交日期 2012-06-23

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