Title

人民幣匯率波動及中國股市對台股之報酬與風險傳遞效果之研究

Translated Titles

The Transmission Mechanism of Return and Risk from RMB exchange rate and China Stock Market to Taiwan Stock Market

Authors

洪府聰

Key Words

GARCH模型 ; 人民幣匯率 ; 中國股市 ; 台灣股市 ; GARCH Model RMB Exchange ; China Stock Market ; Taiwan Stock Market

PublicationName

嶺東科技大學財務金融系碩士班學位論文

Volume or Term/Year and Month of Publication

2016年

Academic Degree Category

碩士

Advisor

楊永列

Content Language

繁體中文

Chinese Abstract

本研究利用GARCH模型,探討自2010年起至2016年2月止,人民幣匯率波動及中國上證綜合指數報酬對台灣大盤股價報酬之報酬與風險的傳遞分析。實證結果顯示變異數方程式ARCH及GARCH均為正向顯著的影響。台股報酬受前一天上証股價報酬及前一天人民幣匯率報酬均為負向,但上証股價報酬的統計效果大於人民幣匯率報酬。

English Abstract

The study adopted GARCH model to investigate the return and risk transmission effect of RMB Exchange Rate and China Stock Market to Taiwan Stock Market, in the period of in the beginning of 2010 to February of 2016. The empirical results indicate the return of RMB Exchange Rate and the return of China Stock Market have negative influence to the the return of Taiwan stock markets. The influence of China Stock Market to Taiwan Stock Market is more Statistical significance than the influence of RMB Exchange Rate.

Topic Category 財經學院 > 財務金融系碩士班
社會科學 > 財金及會計學
社會科學 > 法律學
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