| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 91 === Since Grubel (1968) extended the concept which indicated the risk can be lowered by investing less correlative various assets in the portfolio selection theory, from what used to apply in the single country market to international capital market, many people believe that international investment can lower the risk. But Markridakis & Wheelwright（1974）think to fulfill the potential profit from international diversification, it must satisfy the necessary condition that the correlation coefficients among international stock markets should be less than 1, and the sufficient condition that investors can predict relations among different countries’ stock market. It explains that if the international correlation coefficients are not stationary, performing international portfolio may not get the potential benefit of lowering risk.
After forming portfolio, how to manage risk is another important task. Value at Risk (i.e. VaR) is an internationally fast developed risk controlling tool. This thesis studied dynamic correlation coefficients and VaR, by collecting the daily return rates data of Taiwan and other Asia-Pacific stock markets in the period between January 1, 1998 and September 30, 2002. First, we used cross-correlation analysis, selecting the four countries, the United States of America, South Korea, Hong Kong and Singapore, which have closer relation with Taiwan’s stock market, then used TRI-GARCH model to estimate and test the coefficients, and calculated the dynamic correlation coefficients. Second, we tested them with the State Space Model, and under the strategy of different investment weights, used the Monte Carlo Simulation to calculate the portfolio return rate and risk, in order to evaluate the portfolio. The results can be summarized as follows:
1. In the relation of the return rate between Taiwan and Asia-Pacific stock markets, the United State of America, South Korea, Hong Kong and Singapore stock markets have lead impact on Taiwan’s stock market. It is probably because Taiwan isn’t in the economy leader position, and there is up and down limit and government control in the stock market. But because the leading period contains only one term at most, it shows Taiwan responds quickly to the information of Asia-Pacific markets. Therefore, Taiwan stock market is still an efficient market. In the volatility relation of return rate between Taiwan and other Asia-Pacific countries, the pervious term compared to the current term, most shows positive effect. It represents the return rate of the stock market for each country has volatility clustering. In the aspect of volatility spillover effect, the volatility of the previous term of Taiwan stock market has the obvious influence on that of the current term of Hong Kong and Singapore’s stock markets. Except Hong Kong stock market, every other country’s volatility of the previous term of the stock market will have the obvious influence on that of the current term of Taiwan’s stock market. So we can see the both lead positions of Taiwan and Singapore.
2. The correlation coefficients of return rate between Taiwan and Asia-Pacific countries’ stock markets show stationary and stochastic characteristics. That is, the correlation coefficient is a dynamic series, not a fixed number.
3. Based on the dynamic correlation coefficients between Taiwan and Asia-Pacific countries, by adjusting portfolio weights daily, we can minimize the average investment lost and maximize the days of minimum investment lost, presenting the capability of diversifying investment risk. So, for investors in Taiwan, they should pay attention to the changes of the correlation coefficients between Taiwan and Asia-Pacific stock markets, adjust the portfolio weights, in order to gain the benefit of lowering risk from international investment.
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