匯率與股票市場之不對稱相關性

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陳俊杰(Chun-Chieh Chen) 查詢紙本館藏

畢業系所

統計研究所

論文名稱

匯率與股票市場之不對稱相關性
(Asymmetric Dependence between the Exchange Rates and the Stock Markets)

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摘要(中)

本篇論文主要探討美國及其主要貿易國匯率與股票市場之間的相關性，在經過全球金融風暴這個重大事件後，他們之間開始呈現出不對稱相關性的現象。藉由 2005 年至 2010 年美國、加拿大、墨西哥匯率與股票市場的資料，我們觀察到匯率與股票市場的不對稱相關現象，並利用不同的關聯結構函數 (Copula) 找出最適合其資料的模型。資料的投資期間主要分成月報酬率、季報率、半年報酬率及年報酬率，研究發現不同長度的投資期間，皆會發生不對稱的現象。而不對稱的現象會隨著投資期間增長，變得越來越明顯。

摘要(英)

Using the data of exchange rates and stock markets between 2005 and 2010 for United States, Canada and Mexico, this thesis studies the correlation between the exchange rates and the stock markets after the global financial crisis. We observe the asymmetry structure of the exchange rates and the stock markets, and identify the most suitable model by different copula models. The investment periods of data are including: monthly return, seasonally return, half-yearly return and yearly return. We find the phenomenon of asymmetric dependence in each investment periods. However, the asymmetry is more obvious as the investment period increases.

論文目次

摘要 i
Abstract ii
誌謝 iii
目錄 v
圖目次 vii
表目次 viii
第一章緒論 1
第二章預備知識 4
2.1 關聯結構函數 (Copula) 4
2.1.1 定理 Sklar’’s Theorem 4
2.2 尾端相關性 (Tail dependence) 5
2.3 超額關聯性 (Exceedance correlation) 6
第三章研究方法 7
3.1 雙量關聯結構函數模型 7
3.1.1 Gaussian copula 7
3.1.2 Clayton copula 8
3.1.3 Rotated Gumbel copula 8
3.2 關聯結構函數之參數的估計方法 9
第四章實證分析 11
4.1 資料來源 11
4.2 原始資料相關性分析 11
4.3 Copula 模型配適 18
4.4 選擇模型 23
第五章結論與未來展望 32
參考文獻 33

參考文獻

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[9] Ma, C.K. and Kao, G.W (1990). “On exchange rate changes and stock price reactions.” Journal of Business Finance and Accounting, 17, 441-449.
[10] Nelsen, R. B. (2006). ”An Introduction To Copulas. 2nd Ed.” Springer Verlag, New York.
[11] Patton, A. J. (2004). ”On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation.” Journal of Financial Econometrics, 2, 130-168.
[12] Shamsuddin, A.F.M. and Kim, J.H. (2003). ”Integration and interdependence of stock and foreign exchange rate markets: an Australian perspective.” Journal of International Financial Markets, Institutions and Money, 13, 237-254.
[13] Sklar, A. (1959). “Fonctions de Répartition à n Dimensions et Leurs Marges.” Publ. Inst. Statis. Univ. Paris, 8, 229-231.
[14] 郭秋榮(2009). ”全球金融風暴之成因、對我國影響及因應對策之探討” 經濟研究, 第 9 期, 59-89 頁.

指導教授

傅承德(Cheng-Der Fu)

審核日期

2012-6-19

推文