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dc.contributor.author陳秉佑en_US
dc.contributor.authorBing-You Chenen_US
dc.contributor.author周雨田en_US
dc.contributor.authorRay Yeutien Chouen_US
dc.date.accessioned2014-12-12T03:08:24Z-
dc.date.available2014-12-12T03:08:24Z-
dc.date.issued2006en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT009437534en_US
dc.identifier.urihttp://hdl.handle.net/11536/81816-
dc.description.abstract本文主要研究分析各國股市間動態相關係數行程,探討相關係數行程的大小 以及變動情形。以美國、日本和英國股票市場對十個其他亞洲股票市場的日資料 為主要分析對象,研究期間為1997 年7 月1 日至2007 年3 月9 日。應用Engle ( 2002 )提出的動態條件相關係數(dynamic conditional correlation, DCC)模型結 合Chou (2005)提出的條件變幅自我相關模型(Condition Autoregressive Range, CARR)模型估計動態條件相關係數。實證結果發現:第一,地區性股票市場對 亞洲股市的相關性比全球性市場對亞洲股市的相關性還高。第二,美國、日本對 亞洲發展較成熟的市場相關性較高。第三,美國、日本、英國對高經濟成長國家 的相關性較低。第四,在日本對台灣、日本對新加坡、日本對南韓的動態條件相 關係數平均數變化與股價趨勢呈正向關係。zh_TW
dc.description.abstractThis paper investigates the international stock market dynamic correlations between U.S., Japan, U.K., and ten Asian stock markets. Daily data are from 1990/7/1 to 2007/3/9. We use Condition Autoregressive Range (CARR) model of Chou (2005),as an alternative to the univariate GARCH in the dynamic conditional correlation (DCC) model of Engle(2002) first-step estimation. First, The correlations between Asian stock markets and a local idiosyncratic stock market are higher than the correlations between Asian stock markets and a global stock market. Second, the correlations between the mature Asian stock markets and Japan & U.S are higher than others. Third, the correlations between high economic growth Asian countries and international stock markets are much lower. Fourth, there is a positive relation between the mean of dynamic conditional correlations and stock price index in Taiwan, Singapore, and Korea with Japan.en_US
dc.language.isozh_TWen_US
dc.subjectDCC 模型zh_TW
dc.subjectCARR 模型zh_TW
dc.subject變幅zh_TW
dc.subject動態條件相關係數zh_TW
dc.subjectDCC modelen_US
dc.subjectCARR modelen_US
dc.subjectrangeen_US
dc.subjectdynamic correlationen_US
dc.title國際主要股市對亞洲股市相關性研究-DCC-CARR 模型的應用zh_TW
dc.titleApplication of Range-Based Dynamic Conditional Correlation Model in the International Stock Market Correlations: Evidence from the U.S., Japan, and the U.K. to Asian Countriesen_US
dc.typeThesisen_US
dc.contributor.department經營管理研究所zh_TW
Appears in Collections:Thesis