Empirical Comparison of Common Dynamic Features in Stock Returns between Taiwan and Thailand Stock Markets

Empirical Comparison of Common Dynamic Features in Stock Returns between Taiwan and Thailand Stock Markets

黃宇瀚(Rattanasekson, Sakol)

指導教授 ： 王克陸

國立交通大學/管理學院/財務金融研究所/碩士(2011年)

https://doi.org/10.6842/NCTU.2011.00696

摘要

The purpose of this study is to investigate the empirical comparison of common dynamic differences and similarities between stock returns. We introduce a volatility-based method for clustering analysis of financial time series. Using the threshold generalized autoregressive conditional heteroskedasticity (TGARCH) model, we calculate the distances of the stock return volatilities parameters between stocks from the certain measures. The proposed method uses the volatility behavior of the time series and takes into account the problem of different lengths in time. In this study, we examine the similarities between stocks in two international stock markets, Taiwan and Thailand, using daily stock prices with sample sizes from 21 April 2005 to 6 May 2010. We employ the clustering to investigate further the similarities and dissimilarities between the constituent stocks used to compute the FTSE TWSE Taiwan 50 and SET 50 indices.

關鍵字

TGARCH model ； Cluster analysis ； Dendrogram ； Cophenetic correlation

並列摘要

The purpose of this study is to investigate the empirical comparison of common dynamic differences and similarities between stock returns. We introduce a volatility-based method for clustering analysis of financial time series. Using the threshold generalized autoregressive conditional heteroskedasticity (TGARCH) model, we calculate the distances of the stock return volatilities parameters between stocks from the certain measures. The proposed method uses the volatility behavior of the time series and takes into account the problem of different lengths in time. In this study, we examine the similarities between stocks in two international stock markets, Taiwan and Thailand, using daily stock prices with sample sizes from 21 April 2005 to 6 May 2010. We employ the clustering to investigate further the similarities and dissimilarities between the constituent stocks used to compute the FTSE TWSE Taiwan 50 and SET 50 indices.

並列關鍵字

TGARCH model ； Cluster analysis ； Dendrogram ； Cophenetic correlation

參考文獻

Baba, Y., Engle, R., Kraft, D. and Kroner, K. (1990). “Multivariate simultaneous generalized ARCH”, mimeo, UCSD.

Bekaert, G. and Wu, G. (2000). "Asymmetric volatility and risk in equity markets", Review of Financial Studies, 13, 1-42.

Bollerslev, T. (1986). "Generalized autoregressive conditional heteroskedasticity", Journal of Econometrics, 31, 307-327.

Bollerslev, T., Chou, R. and Kroner, K. (1992). "ARCH modeling in Finance", Journal of Econometrics, 52, 5-59.

Bonanno G., Lillo F., and Mantegna, R. (2001). "High-frequency cross-correlation in a set of stocks", Quantitative Finance, 1, 96-104.