歐元對歐洲股票市場整合之影響：產業實證分析

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姓名

陳欣儀(Hsin-Yi Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

歐元對歐洲股票市場整合之影響：產業實證分析
(The Euro and European Stock Market Integration: Evidence from the Industry Level)

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摘要(中)

本篇論文將利用三種不同分析方法，包括了主成分分析、GJR-GARCH-t模型和條件下的copula相依模型，探究歐洲國家不同產業的股票市場在使用歐元後的整合情形，所採用的樣本期間為西元1994年至2005年。由實證結果發現股市的整合程度會依產業而不同，即使是同一產業下各國整合程度也不相同；基本上，在同一產業之下，規模較大的市場整合程度會高於規模較小的市場。既然市場的整合程度會依產業和國家不同而有所高低，那麼本篇的結果將對資產配置和風險管理有所助益。此外，實證結果顯示英國和瑞典兩個非歐元國家在不同的產業中都呈現與歐元區國家的高度整合；這樣的結果也符合這兩個國家未來可能加入採用歐元的行列之臆測。

摘要(英)

In this thesis, we use three kinds of methodologies, which are principle components analysis, GJR-GARCH(1,1)-t model and conditional copula dependence model, to provide an comprehensive analysis of equity market integration between European countries under the industry level during the period from 1994 to 2005. The results show that the degree of integration is varied among industries and different among countries in the same industry after the introduction of the Euro. Basically, the degree of integration is higher in large equity markets than that in small equity markets. Since the impact exhibits different patterns for different industries, our results will have important implications for international portfolio and risk management. Meanwhile, the two non-Euro countries, UK and Sweden, present further integration with the Euro area across industries. This finding is consistent with the interpretation that these countries may be expected to joint the Euro in the future.

關鍵字(中)

★ 股票市場
★ 歐元
★ 整合
★ 主成分分析
★ 產業

關鍵字(英)

★ Euro
★ Copula
★ GJR-GARCH
★ Principle Components Analysis
★ Integration
★ Industry
★ Stock Markets

論文目次

1. Introduction 1
2. Integration of European Financial Markets 5
3. Methodology 11
3.1 Principle Components Analysis 11
3.2 GJR-GARCH(1,1)-t Model 13
3.3 The Time-varying Copula Dependence Model 16
3.3.1 Theory of Conditional Copulas 16
3.3.2 Time-varying Copula Dependence Theory-Estimation of Parameters 17
3.3.3 Models for Marginal Distributions 19
3.3.4 Models for Bivariate Distributions 20
4. Data description 22
5. Empirical Results 24
5.1 Results for Principle Components Analysis 24
5.2 Results for GJR-GARCH(1,1)-t Model 35
5.3 Results for Copula Dependence Model 42
6. Conclusion 61
References 63
Appendix 1 65
Appendix 2 66

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指導教授

王耀輝(Yaw-Huei Wang)

審核日期

2006-6-15

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