Browsing by Author "Cheng, Chien-Ling"

Now showing 1 - 2 of 2

A study of US and China's volatility spillover effects on Hong Kong and Taiwan
(2011-07-04)
Sheu, Her-Jiun
;
Cheng, Chien-Ling
;
經營管理研究所
;
Institute of Business and Management
Many international investors have taken interest in the Hong Kong, Taiwan, and China stock markets for diversification to explore higher returns owing to their rapid economic growth and increased link with international capital markets over the past decades. As correlation is primary component for asset risk managing, asset pricing and portfolio allocating, which are concerns for investors, it is crucial to clarify the co-movement of these stock markets. The aim of this paper was to compare the effect of volatility of China and U.S. stock market respectively on the Taiwan and Hong Kong. Both vector autoregressive (VAR) and multivariate generalized autoregressive conditional heteroskedastic (MGARCH) model were employed for two separated sub-periods: 1996-2005 and 2006-2009. Results indicated that while China's rapid economic growth and its integration with Taiwan and Hong Kong, its stock market was considerably independent and its co-moments with other (international) markets were still not significant. It's useful information for investors that China stock market, with low co-moments with others, would be a good risk diversified investment and that U.S. stock market, with high co-moments with others, would be a good pricing indicator.
SYSTEMIC RISK IN TAIWAN STOCK MARKET
(2012-11-01)
Sheu, Her-Jiun
;
Cheng, Chien-Ling
;
經營管理研究所
;
Institute of Business and Management
Recent financial crises resulted from systemic risk caused by idiosyncratic distress. In this research, taking Taiwan stock market as an example and collecting data from 2000 to 2010 which contained the 2001 dot-corn bubble and the 2007-2009 financial crisis, we adopt the CoVaR model to empirically explore the impact of sector-specific idiosyncratic risk on the systemic risk of the system and attempt to investigate the links between financial crises, systemic risk and the idiosyncratic risk of a sector-specific anomaly. The result showed sector-specific marginal CoVaR, i.e., Delta CoVaR, perfectly explained Taiwan stock market disturbance during the 2001 dot-corn bubble and 2007-2008 financial crisis. Thus, by identifying the larger Delta CoVaR sectors, i.e. the systemic importance sectors, and by exploring the risk indicators, independent variables, of these systemic importance sectors, investors could practically employ the sector-specific Delta CoVaR measure to deepen the systemic risk scrutiny from a macro into a micro prudential perspective.