動態條件相關，機率分配與共移性之研究—東京，倫敦及紐約日圓兌美元匯市之實證

Dynamic Conditional Correlation, Probability Distribution, Co-movement and Spillover in Tokyo, London and New York Yen/Dollar FX Markets

朱良珮(Liang-Pei Chu)

指導教授 ： 俞海琴 ； 黃敏章

中原大學/商學院/國際貿易研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600158

摘要

本文章意欲探討在日圓兌美元匯率於東京、倫敦及紐約三大外匯市場之中的共移性 (Comovement)及外溢性 (Spillover)之交互關係。我們發現，使用1994至2003年之日資料中，在東京、倫敦及紐約市場中皆存在著共移性及外溢效果。

估計出三市場間之動態條件相關係數 (DCC)機率分配之後，共移性及外溢效果與機率分配存在著一致的結論。(i) 藉由東京與倫敦市場之間的DCC機率分配，由於倫敦市場的高主導性而顯示出高風險伴隨著高DCC值。(ii) 在倫敦及紐約市場間之DCC機率分配顯示出高風險及低風險的DCC分配幾乎重疊。及 (iii) 由於只存在紐約市場對東京市場風險之外溢效果，故顯示出高風險之於高DCC值，以及高DCC值之機率分配相較低DCC值之機率分配上相對較廣。假使我們可以清楚明瞭大部份情況之DCC機率分配，我們便可因此而重設在全球投資怖局與潛在風險上的管理。

關鍵字

多變量一般性自我迴歸條件異質變數 ； 共移性 ； 機率分配 ； 動態條件相關係數 ； 外溢效果

並列摘要

This work investigates how volatility comovement and spillover effects interact with each other in Yen/Dollar FX markets of Tokyo, London, and New York. Using spot rate intraday returns from 1994 to 2003, it is found that there exists volatility comovement and spillover effects between Tokyo, London and New York markets.

After estimating the probability distributions of Dynamic Conditional Correlation between the three markets, some consistent conclusions associated with comovement and spillover were conducted. (i) Through DCC probability distribution by Tokyo and London, showing phenomena of high volatility accompany with high DCC value because of London’s dominant. (ii) The phenomena of DCC probability distribution by London and New York shows almost overlapping pattern. (iii) only New York has spillover effect to Tokyo’s variance, however, Tokyo does not have any impacts to New York’s variance, the high-DCC distribution is wider than low-DCC distribution. If we realize clearly on the most situations of DCC probability distribution, we can therefore reset our global investment portfolio and manage the latent risk.

並列關鍵字

Comovement ； Dynamic Conditional Correlation ； Probability Distribution ； Spillover ； Multivariate GARCH

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