| Summary: | 碩士 === 淡江大學 === 產業經濟學系 === 92 === Title of Thesis :
High-low volatility and stock VS. exchange rate return Total Pages : 55
Name of Institute : Graduate Institute of Industrial Economics, Tamkang University
Graduate Date : June 2003 Degree Conferred : Master
Name of Student : Ching-Chung Hung Advisor : Dr. Jer-Yuh Wan
洪 慶 鐘 萬 哲 鈺 博士
Abstract:
This paper uses a two-stage approach to analyze whether the relationship between returns of stock and exchange rate is different under different volatility regime. At first-stage, we use the markov-switching model to separate the different volatility regime for each variable. Then, at second stage we adopt the garch model to examine the relationship between the stock and exchange rate returns. The main conclusions of this paper are following:
1. The returns of all variables in this research have both high and low volatility regime.
2. Under different volatility regime, the returns of stock has different impacts on the returns of exchange rates, and vice versa.
Key Word : GARCH, stock returns, exchange rate returns, Markov-switching
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