| Summary: | 碩士 === 國立交通大學 === 經營管理研究所 === 95 === This paper investigates the international stock market dynamic correlations
between U.S., Japan, U.K., and ten Asian stock markets. Daily data are from 1990/7/1
to 2007/3/9. We use Condition Autoregressive Range (CARR) model of Chou
(2005),as an alternative to the univariate GARCH in the dynamic conditional
correlation (DCC) model of Engle(2002) first-step estimation. First, The correlations
between Asian stock markets and a local idiosyncratic stock market are higher than
the correlations between Asian stock markets and a global stock market. Second, the
correlations between the mature Asian stock markets and Japan & U.S are higher than
others. Third, the correlations between high economic growth Asian countries and
international stock markets are much lower. Fourth, there is a positive relation
between the mean of dynamic conditional correlations and stock price index in
Taiwan, Singapore, and Korea with Japan.
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