臺灣大盤指數與各類股間的相依性

The Linkages between Taiwan Capitalization

張庭瑄(Ting-Hsuan Chang)

指導教授 ： 牟萬馨

中原大學/商學院/財務金融研究所/碩士(2022年)

https://doi.org/10.6840/cycu202200068

摘要

本篇研究主要為利用Diebold and Yilmaz在2012年所提出的外溢效果計算方法，來分析在過去十年間臺灣市場面臨當沖交易稅減半、開放盤中零股交易、美中貿易戰、新冠疫情及貨幣政策的改變對於臺灣前八大產業類股及臺灣大盤間面臨上述事件時其報酬率及波動度的外溢性產生的變化。其結果表明貨幣政策的調整與美中貿易戰及新冠疫情均對各產業外溢效果產生衝擊。

關鍵字

相依性 ； 外溢效果 ； 大盤指數 ； 類股指數 ； 貨幣政策 ； 新冠肺炎

並列摘要

In the past 10 years, stock market in Taiwan has experienced trading and monetary policy adjustments, China–United States (U.S.) trade war and the COVID-19 pandemic. In order for investors to understand the linkages between the Taiwan Capitalization Weighted Stock Index and 8 major industry indices and carry out investment strategies, this paper employs Diebold and Yilmaz’s method (2012, 2014), the research calculate the change of the Taiwan stock market top 8 Industry Index, Taiwan Capitalization Weighted Stock Index return and volatility spillovers effect in the past ten tears. The results show that monetary policy, COVID-19 pandemic, and China-U.S. trade war determine the spillovers among stock returns and volatility.

並列關鍵字

Spillovers ； Monetary Policy ； Stock Index ； industry indices ； COVID-19

參考文獻

英文文獻：

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