| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 94 === Abstract
Stock markets have always played a pivotal role in the financial markets of industrialized nations worldwide. Along with the internationalization and the liberalized trade development in vogue, as well as the speedy development of Internet, information science and technology, significant information between the international financial markets can be rapidly transmitted to worldwide. Therefore, trading and funding in different countries become more frequent as compared to before. The international stock market has a contagion effect that enables these stock markets to have the special interaction relationship. So, how does Taiwan’s stock market be affected by foreign stock markets and vice versa. If possible, any international investor or fund mananger would like to have further understanding about the volatility co-movement across the various stock markets, it may achieve the goal of enhancement investment reward and reduce the investment risk. This study investigates the determinants of volatility co-movement across the international stock markets and volatility co-movement clustering using the quantile regression. The empirical results show that volatility co-movement across the international stock markets reveals clusters. In addition, interest rate differential is the important factor of volatility co-movement across the international stock markets. Furthermore, volatility co-movement across the international stock markets is becoming more significant after 1997 Asian financial crisis.
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