人民幣匯率與英鎊匯率貶值對大中華地區地區股價報酬之實證研究DCC-GARCH模型之應用

The Influence of Devaluation of RMB and GBP on the Stock Markets of the Greater China Area, An Application of DCC-GARCH Model

蔡佳尼(Jia-Ni Cai)

指導教授 ： 楊永列

嶺東科技大學/財經學院/財務金融系碩士班/碩士(2017年)

摘要

近年來，金融國際化不斷演進，人民幣強勢崛起，其國際化腳步不斷加快，對周邊經濟體的影響不斷加深。特別是和中國大陸有著十分密切經貿往來的香港和台灣。人民幣匯率市場和其他重要國際貨幣匯率市場變動對中國大陸、香港、台灣的股票市場的影響也日益凸顯。本研究利用變動相關雙變量GARCH模型，探討2012年3月23日至2017年3月23日，實證結果指出，台灣、香港、上海及深圳股價報酬受英鎊匯率波動大於人民幣匯率波動。

關鍵字

股價報酬 ； 匯率貶值 ； DCC-GARCH模型

並列摘要

In the past few years, the evolution of financial internationalization had a huge impact on the growth of RMB. The pace of its internationalization had significantly increaseed and the influence on economies around China area have gotten deeper and deeper, especially towards Hong Kong and Taiwan. The exchange rate of RMB and other international currency have also made impacts on the stock markets around China, Hong Kong and Taiwan. This research evaluates the influence of devaluation of RMB and GBP on the stock markets of the greater China area from March 23th, 2012 to March 23th, 2017 by using Bivariate and Garch model. Based on the empirical evidence of the research, GBP has greater impact on the stock markets of Taiwan, Hong Kong, Shanghai and Shenzhen than RMB.

並列關鍵字

Stock Market ； Return Exchange Rate Volatility ； GARCH-DCC Model

參考文獻

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