股、匯市非線性互動、波動平滑轉換與外溢效果之研究：STVEC DCC-STGARCH模型之應用及新興與已開發國家之個案

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股、匯市非線性互動、波動平滑轉換與外溢效果之研究：STVEC DCC-STGARCH模型之應用及新興與已開發國家之個案

The Study on Nonlinear Interactions and Volatility Smooth Transition ,Spillover Effect Between Stock and Foreign Exchange Markets：The Application of STVEC DCC- STGARCH and Evidence of Emerging and Developed Countries

羅卓伯鴻 , Masters　　Advisor：劉祥熹　　

繁體中文

平滑轉換迴歸模型；平滑轉換GARCH模型；平滑轉換速度；效率性； Smooth transition regression ； Smooth transition GARCH ； Transition coefficient ； Market efficiency

Abstract │ Reference (45) │ Altmetrics

Abstract 〈TOP〉

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This thesis tries to investigate the stock and foreign exchange markets in developed（Germany, England, Japan, Canada）and emerging（India, South Africa, Brazil, Poland）country. The application of nonlinear smooth transition vector error correction model（STVEC）to dynamic adjustment process in different regime can understand the degree of perfect market or the homogeneity of transaction costs in stock and foreign exchange markets of developed and emerging country. Finally, STVEC as conditional mean equation can improve the linear model of interaction between variables in the past, the combination of STGARCH in order to catching up asymmetric effect of volatility in smooth process.

The empirical results verify that the rise of emerging stock market will stimulate the influx of hot money, leading to the appreciation of currency, investors are less afraid of the risk of overheating emerging stock market. Whether long or steady regime in the rise of developed stock market, which indicated that the excess market liquidity, the concern of inflation will lead to depreciation of currency. Every stock market are positively affected by return of global factor（S&P500 index）in different regime of exchange rate. The dynamic adjusted process in developed stock and foreign exchange market are faster, which indicated that the market efficiency in developed country is higher than emerging country, and indicated that the lower heterogeneity of the transaction costs. The unexpected shock from stock market will apparently affect the volatility of itself, the good or bad news from stock market make the volatility’s smoothing transition. Investors who invested in the stock market should pay attention to the impact from foreign exchange market, because the impact from foreign exchange market will much more efficiently affect the stock market’s volatility.

This thesis included three events decided by ICSS algorithm：Subprime mortgage crisis, Financial Tsunami and Debt crisis in Europe. In the STVEC DCC - STGARCH model, we test whether the DCC coefficients during the crisis period differs from that in the pre-crisis stable period. Empirical findings show that most of the countries demonstrate a significant increase of the dynamic conditional correlation coefficients across stock and foreign exchange market after the crisis in comparison to periods before the crisis.

Reference ( 45 ) 〈TOP〉

1. Adler, M., Dumas, B., 1984, “Exposure to Currency Risk : Definition and Measurement.” Financial Management Vol. 13, pp.41-50.
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4. Assoé, K., 2001, Volatility spillovers between foreign exchange and emerging stock markets. Ecole des Hautes Etudes Commerciales, Montréal, Canada.
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5. Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Financial Economics, Vol.31, pp. 307-327.
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6. Bekaert, G., Harvey, C.R., 1997, “Emerging equity market volatility.” Journal of Financial Economics 43, pp.29-77.
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7. Bekaert, G., Harvey, C.R., Lundblad, C., 2003, “Equity market liberalisation in emerging markets.” Journal of Financial Research 24, 3, pp.275-299.
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