| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 87 === The purpose of this thesis is to examine the co-movements of stock returns in four international markets by characterizing the time-varying cross-market covariances and correlations. Using a generalized positive definite multivariate GARCH model and the errors are assumed to be form a multivariate Student-t distribution, we find that all pairs of markets (U.S.-Taiwan, Japan-Taiwan, and Hong Kong-Taiwan) examined display significant permanent and transitory covariance. We also find that, while conditional correlations between returns are generally small, they change considerably over time. An event analysis suggests that basing diversification strategies on these conditional correlations is potentially beneficial.
|
|---|
