The Influence of Financial Crises on Structural Breaks in the Financials Index and the Electronics Sector Index

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陳彥彰(Yen-Chang Chen) 查詢紙本館藏

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企業管理學系

論文名稱

(The Influence of Financial Crises on Structural Breaks in the Financials Index and the Electronics Sector Index)

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摘要(中)

本研究探討金融危機對台灣金融股與電子股指數報酬率波動性的結構改變。本研究先利用GJR-GARCH模型得到條件波動性，接著利用Bai and Perron (1998)多重結構改變模型找出結構改變點。首先，導致金融股與電子股指數報酬率波動發生結構改變的因素包括貨幣政策、金融制度改變與外在國際總體經濟情勢衝擊。再來，在已知重大事件中，亞洲金融風暴、網路泡沫與金融海嘯期間金融股與電子股指數報酬波動性皆檢測出結構改變。國內影響因素包含房地產泡沫與匯率升值造成結構性改變，電子股指數則受到國際總體經濟情勢影響。研究結果顯示在重大事件影響期間國際市場的負向衝擊顯著增加金融股與電子股指數報酬率波動性，因此面對相關重大衝擊時，必須注意結構改變的變化。隨著近年來台灣股市市場的國際化與開放，金融股與電子股指數的波動度之持續性顯著增加而其群聚性顯著降低。

摘要(英)

This research discusses structural breaks caused by financial crises in the return volatility of the financials and the electronics sector indices of Taiwan. This study uses the generalized autoregressive conditional heteroscedasticity model advanced by Glosten, Jagannathan, and Runkle to determine the conditional volatility and then uses the models of multiple structural change proposed by Bai and Perron to discover the break points. First, the factors causing the structural breaks in the return volatility of the financials and the electronics sector indices include monetary policies, changes in financial institutions, and the external impacts of international economic situations. Second, in the highest-profile events (e.g., Asian financial crisis, dot-com bubble, and global financial crisis), the structural breaks are detected in the return volatility of the financials and the electronics sector indices. The domestic influencing factors include exchange rate appreciation, which causes structural breaks. In addition, the electronics sector index is affected by international economic situations. Previous studies show that the negative impacts on the international market patently increased the return volatility of the financials index and electronics sector index during prominent events; thus, when encountering such prominent impacts, we must focus on the changes caused by structural breaks. The stock market in Taiwan has become more internationalized and open in recent years. The volatility of the financials and the electronics sector indices clearly continues to increase, whereas the clustering of the volatility is clearly decreasing.

關鍵字(中)

★ 金融危機
★ 結構轉變
★ 波動性
★ 金融股指數
★ 電子股指數

關鍵字(英)

★ Financial crisis
★ Structural breaks
★ volatility
★ Financials index
★ Electronics sector index

論文目次

Chinese Abstract iv
Abstract vi
1. Introduction 1
1.1 Research Motivation 1
1.2 Research Purpose 4
2. Literature Review 7
2.1 The Spillover Effect and the Contagion Effect of Major Economic Events on Stock Markets 7
2.2 The Influence of Various Countries’ Stock Market Indices 10
2.3 Related Conditions of Major Economic Events Affecting Stock Market Indices 12
2.4 The Methods to Study the Time Series of Stock Market Indices 13
3. Methods 19
3.1 Generalized Autoregressive Conditional heteroscedasticity, GARCH 19
3.2 The Examination of Structural Breaks 21
4. Empirical Results 23
4.1 Data Analysis of the Financials Index 23
5. Conclusions 36
Reference 40

參考文獻

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指導教授

蔡文賢(Wen-Hsien Tsai)

審核日期

2015-10-12

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