High-low volatility and stock VS. exchange rate return

• Main Authors: Ching-Chung Hung, 洪慶鐘
• Other Authors: Jer-Yuh Wan
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/37624224563684120906

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