| Summary: | 碩士 === 淡江大學 === 國際貿易學系 === 90 === The paper development multivariate Error Correction GJR GARCH-M with Threshold Conditional Correlation Model to examine the return and volatility transmission among U.S. Stock, Taiwan Stock and Taiwan Bond Markets, as well as the investigation of error corrections, risk premium, volatility clustering, volatility asymmetry effect, own volatility transmission and day-of-week effect. The empirical findings are summarized as follows:1.Based on likelihood ratio test, AIC and SC criterions, our innovative model provides significant performance improvement over traditional methods, implying the importance to specify the error corrections terms and threshold conditional correlation into model considerations. 2.There exists significant return transimmion form U.S. to Taiwan Stock market, but volatility in Taiwan Stock market are mainly influenced by own-volatility spillovers rather than cross-volatility spillovers. Moreover, the strongly significant return and volatility transimission effects appear from Taiwan Stock to Taiwan Bond market. 3.Exchange rate is an important explanatory factor on the return of stock and bond market. In addition, exchange rate volatility has the significant effect on the volatility of Taiwan stock markets; whereas interest rate shows significant effect on the volatility of Taiwan bond markets.4.The evidence indicates that the correlation relationship between stock and bond markets change from negative to positive sign while exchange rate depreciate on some certain degree, implying that correlation between stock and bond are time varying.
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