資產間的外溢效果與投資人情緒因子和景氣循環的關係

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：18

、訪客IP：18.222.67.251

姓名

謝炘翰(Shin-han Shie) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

資產間的外溢效果與投資人情緒因子和景氣循環的關係
(The cross-asset spillovers with investor sentiment and business cycle)

相關論文

★ 國內股票型共同基金異常報酬之特徵研究	★ 台灣境外高收益債券型基金績效分析
★ 財富管理客戶選擇銀行之因素探討	★ 境外匯回專法實施前後境外資金解決方案比較－以個案分析為例
★ 利用隨機優勢方法探究商品指數之投資績效	★ 承銷關係是否會影響未來承銷業務?
★ 併購動能:以台灣市場為例	★ 機構法人對股票報酬與公司價值之影響
★ 投資者情緒與期貨價格關聯性	★ 避險基金指數是否能夠提供風險分散效果？- 利用均異擴張檢定
★ Model-Free隱含波動度價差之遠期資訊	★ 公開市場購回股票之研究
★ Modeling Long Run Risk with Macroeconomic Fundamentals	★ Exploration of Jumps and Cojumps in Financial Markets
★ 社會責任指數與環境、社會及公司治理之關聯性分析-以FTSE4Good系列指數為例	★ 運用檢定資產價格泡沫模型建構動態財務危機預警之驗證

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

從投資組合的資產配置或是風險分散的層面來看, 市場之間的連結性逐漸成為重要的議題。但是在過去的文獻裡僅侷限在市場間的相關性, 而對於市場連結的強弱或影響的傳遞之討論並不完整。這篇論文使用 Diebold and Yilmaz (2009) 所提出的方法來探討黃金、石油、股票、外匯和債券市場間報酬與波動的外溢效果, 並且從市場的雙向影響至整體市場的連結程度來探討市場間影響傳遞的大小。我們發現市場間的連結會隨著總體環境以及投資人心理的氛圍有所改變,而非固定不變,且當經濟景氣處於衰退或是投資人對於市場逐漸悲觀,會加強市場間的連結。除此之外,根據市場狀況的不同而從市場相關係數與外溢效果挑選投資組合,結果顯示外溢效果大的投資組合的績效優於外溢效果低的投資組合。本研究證實外溢效果對於投資或風險分散的決策上扮演著重要的角色。

摘要(英)

Markets connectedness is a crucial issue in portfolio management , because it distort s the effects of asset allocation and risk diversification. However, the most relevant literature only focuses on whether markets connectedness exists and does not refer to the intensity and transmission of market connectedness. This paper employs the method developed by Diebold and Yilmaz (2009) that estimates market spillover (gold, oil, stock, bonds and exchange rates) from pairwise through system-wide. Additionally, we investigate what effect investor sentiments and business cycles lead to market linkage changes. We find that market linkage is changed by the macroeconomic environment and investment atmosphere. Further, that most market return spillovers and volatility spillovers are reinforced as the investor sentiment index decreases or the economy is in recession. Finally, in accordance with market states to construct portfolios from correlations and spillovers with our results showing the performance of portfolios with close linkages outperform those that do not. This is evidence that markets spillovers are important and useful for decision making on asset allocation and risk diversification.

關鍵字(中)

★ 外溢效果
★ 情緒因子
★ 景氣循環

關鍵字(英)

★ Spillover
★ Investor sentiment
★ Business cycle

論文目次

Contents iv
1 Introduction 1
2 Literature 3
3 Methodology 7
3.1 Correlation Analysis 8
3.2 Granger Causality 8
3.3 Spillover Index 9
3.4 Regression 13
4 Empirical Data 14
4.1 Data 14
4.2 Correlation Analysis 15
4.3 Granger Causality Analysis 17
5 Empirical Spillover 18
5.1 Spillover Table 18
5.2 Total Spillover with Investor Sentiment and Business Cycle 20
5.3 Total Directional Spillover with Investor Sentiment and Business Cycle 22
5.4 The Markets Spillover Reinforce or Suppress with Investor Sentiment and Business Cycle 24
5.5 The market spillover augmented in the portfolio investment 26
6 Conclusion 29
Reference 30

參考文獻

Ajayi, R.A., Friedman, J., and Mehdian, S.M. (1998), “On the relationship between stock returns and exchange rates: tests of granger causality.”, Global Finance Journal, 9, 241–251.
Ajayi, R.A. and Mougoue, M. (1996), “On the dynamic relation between stock prices and exchange rates.”, The Journal of Financial Research, 19, 193–207.
Amano, R.A. and Norden, S. (1998), “Oil prices and rise and fall of the us real exchange rate.”, Journal of International Money and Finance, 17, 299–316.
Apergis, N. and Miller, S.M. (2009), “Do structural oil market shocks affect stock prices?”, Energy Economics, 31(4), 569–575.
Baker, M. and Wurgler, J. (2007), “Investor sentiment in the stock market.”, Jorunal of Economic Perspective, 21(2), 129–151.
Baur, D. and Lucey, B.M. (2010), “Is gold a hedge or a safe haven? an analysis of stocks, bonds and gold.”, The Financial Review, 45, 217–229.
Baur, D. and McPemott, T. (2010), “Is gold a safe haven?”, International evidence, 34, 1886–1898.
Brown, G.W. and Cliff, M.T. (2004), “Investor sentiment and the near-term stock market.”, Journal of Empirical Finance, 11, 1–27.
Brown, G.W. and Cliff(2005), “Investor sentiment and asset valuation.”, Journal of Business,78(2), 405–440.
Chan, K.F., Treepongkaruna, S., Brooks, R., and Gray, S. (2011), “Asset market linkages: Evidence from financial, commodity and real estate assets.”,Journal of Banking and Finance, 35, 1415–1426.
Chaudhuri, K. and Daniel, B.C. (1998), “Long-run equilibrium real exchange rates and oil prices.”, Economics Letters, 58(2), 231–238.
Chen, S.S. and Chen, H.C. (2007), “Oil price and real exchange rate.”, Energy Economics, 29, 390–404.
Connolly, R., Stivers, C., and Sun, L. (2005), “Stock market uncertainty and the stock-bond return relation.”, Journal of Financial and Quantitative Analysis, 40(1), 161–194.
Diebold, F.X. and Yilmaz, K. (2009), “Measure financial asset return and volatility spillovers, with application to global equity markets.”, The Economic Journal, 119, 158–171.
Diebold, F.X. and Yilmaz, K.(2011), “On the network topology of variance decompositions: measuring the connectedness of financial firms.”, NBER Working Paper Series.
Filis, G. (2010), “Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?”, Energy Economics, 32(4), 877–886.
Fleming, J., Kirby, C., and Ostdiek, B. (1998), “Information and volatility linkages in the stock, bond, and money markets.”, Journal of Financial Economics, 49(1), 111–137.
Granger, C.W.J., Huang, B.N., and Yang, C.W. (2000), “A bivariate causality between stock prices and exchange rates: evidence from recent asian flu.”, The Quarterly Review of Economics and Finance, 40, 337–354.
Hau, H. (2005), “Exchange rates, equity prices, and capital flows.”, Review of Financial Studies, 19(1), 273–317.

Jones, C.M. and Kaul, G. (1996), “Oil and the stock markets.”, Journal of Finance, 51(2), 463–491.
Kanas, A. (2000), “Volatility spillovers between stock returns and exchange rate changes: international evidence.”, Journal of Banking and Finance, 27,306–686.
Lee, W.Y., Jiang, C.X., and D.C., Indro (2002), “Stockn market volatility, excess returns, and the role of investor sentiment.”, Journal of Banking and Finance, 26, 2277–2299.
Nandha, M. and Faff, R. (2008), “Does oil move equity prices? a global view.”, Energy Economics, 30(3), 986–997.
Neal, R. and Wheatley, S.M. (1998), “Do measures of investor sentiment predict returns?”, Journal of Financial and Quantitative Analysis, 33(4), 523-547.
Pachenko, V. and Wu, E. (2009), “Time-varying market integration and stock and bond return concordance in emerging markets.”, Journal of Banking and Finance, 33, 1014–1021.
Pesaran, H.H. and Shin, Y. (1998), “Generalized impulse response analysis in linear multivariate models.”, Economics Letters, 58, 17–29.
Phylaktis, K. and Ravazzolo, F. (2005), “Stock prices and exchange rate dynamics.”, Journal of International Money and Finance, 24, 1031–1053.
Pukthuanthong, K. and Roll, R. (2011), “Gold and the dollar (and the euro, pound, and yen).”, Journal of Banking and Finance, 35, 2070–2083.
Sjaastad, L. (2008), “The price of gold and the exchange rates: Once again.”, Resources Policy, 32(2), 118–124.
Yang, J., Zhou, Y., and Wang, Z. (2009), “The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence.”, Journal of Banking and Finance, 33, 670–680.

指導教授

葉錦徽(Jin-huei Yeh)

審核日期

2013-7-9

推文