台灣股市與國際股市之連動性研究

A Study of the Interdependence Between Taiwanese and International Stock Markets

張家銘(Chia-Ming Chang)

指導教授 ： 葉小蓁

國立臺灣大學/管理學院/財務金融學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.00701

摘要

這篇論文研究了台灣股價指數與國際股價指數間的連動關係，我們選了那斯達克綜合指數、道瓊工業平均指數、台灣加權指數、日經225指數、香港恆生指數、上證綜指做為我們的研究標的。在此篇論文中，我們同時考慮了週資料與月資料，而且考量到金融海嘯的發生可能會對兩國股票市場的連動性產生影響，我們亦將資料分成了金融海嘯前與金融海嘯後以期能使研究結果更精確反映在金融海嘯前後台灣股價指數與國際股價指數間的連動關係。

關鍵字

極端值理論 ； 極端報酬相關性 ； 外溢效果

並列摘要

This paper examines the interdependence between Taiwanese and international stock market indices. We choose NASDAQ Composite index, Dow Jones Industrial Average index, TSEC weighted index, NIKKEI 225 index, Hang Seng index, SSE Composite index as our research objects. In this paper, we use both weekly data and monthly data for our analyses. As the Financial Tsunami may change the interdependence between any two indices, raw data will be divided into Pre-Tsunami and Post-Tsunami period for further consideration.

並列關鍵字

Extreme value theory ； Extreme-returns correlation ； Spillover effect

參考文獻

17. Jian-Hsin Chou and Shu-Min Chan (2008), “A study of the Correlation of Extreme Returns Between Taiwanese and International Equity Markets,” Chiao Da Management Review, 28(1), 205-250.

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