中美貿易戰對全球股市收益率及波動性的影響

Impact of Sino-US Trade War on the Returns and Volatility of Global Stock Market

石曜彰(Yao-Chang Shih)

指導教授 ： 胡毓彬

國立暨南國際大學/管理學院/國際企業學系/碩士(2020年)

https://doi.org/10.6837/ncnu202000009

摘要

本研究將針對全球股票市場大盤指數及台灣類股指數的股價收益率使用基本的敘述統計量觀察2017年到2018年中美貿易戰前後期間的差異，再使用ARMA-GARCH(1,1)模型來描繪全球股票市場在中美貿易戰期間的波動情形，由基本到複雜的統計分析更能全面的觀察中美貿易戰發生期間全球股票市場所遭受的影響程度，目的是提供投資者有效參考數據以利於投資決策。

關鍵字

全球股價收益 ； 中美貿易戰 ； 敘述統計 ； ARMA-GARCH(1,1)

並列摘要

The research focuses on global stock returns by using descriptive statistics to observe the differences of US-China trade war from 2017 to 2018 . Then use the ARMA-GARCH (1,1) model to describe the volatility of global financial markets during the Sino-US trade war. From basic to complex statistical analysis, it is possible to more comprehensively observe the global stock markets suffered during the Sino-US trade war. The degree of impact is to provide investors with effective data to facilitate investment decisions.

並列關鍵字

global stock returns ； Financial crisis ； Descriptive statistics ； ARMA-GARCH (1, 1)

參考文獻

參考文獻

一、英文部分

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