- 期刊
全球金融危機對台灣股價結構性轉變之研究
The Study of Structural Changes on Taiwan's Stock Market Price during the Global Financial Crisis
摘要
本文以ARMA-EGARCH-M模型分析結構變動對台灣股票報酬率的影響，結果發現台灣股票市場參與者大多是風險規避者。在結構變動前，受兩天前價格資訊影響，有效性較低；結構變動後，可吸引風險愛好者進入股市，且雖然此時波動期稍長，並沒有明顯地衝擊不對稱的槓桿效應。因此，沒有非常劇烈變動的異常現象。
並列摘要
In this paper, we used the ARMA-EGARCH-M model to analyze the impact of structural change on the Taiwan stock returns. The results showed that the Taiwan stock market participants are mostly Risk – averse. Before the structural break point, they are affected by the price information changes from two days before and have lower efficiency. After the structural break point, it will attract risk-preferring investors into the stock market, and although the period of volatility is longer, there is no obvious leverage effect of asymmetric shock. Therefore, there is no abnormal phenomenon of drastic changes.
延伸閱讀
- 蔡穗馥、吳億亭（2013）。金融危機事件對台灣股票市場的報酬與波動性之影響。東吳經濟商學學報，(81)，69-93。https://www.airitilibrary.com/Article/Detail?DocID=02593769-201306-201404070011-201404070011-69-93
- 李劍儀（2009）。全球金融風暴對台灣經濟影響之探討〔碩士論文，長榮大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0015-2107200914564800
- 馬道（2008）。全球金融風暴對台灣的影響及省思。經濟前瞻，(121)，87-92。https://doi.org/10.30071/EOB.200812.0017
- 黃育珺（2013）。世界金融海嘯前後台灣債券市場與總體變數間的關聯性分析〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2013.00236
- 鄭晶心（2012）。The Impact of Volatility among European,US and Taiwanese Stock Markets during the Financial Crisis〔碩士論文，嶺東科技大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0103-2805201214103600