| Summary: | 碩士 === 國立臺北大學 === 統計學系 === 96 === The prosperity of stock market leads people urging in the stock investment in Taiwan. Many investors choose stock investment as their invest tool. Pursuing high return in the treacherous stock market is the common purpose of investors. Unfortunately, high return is always accompanied with high risk latently. Therefore, risk hedging becomes an important concept which cannot be negligible of investors. For the above purpose, this research adopts DCC-MVGARCH model, proposed by Engle (2002), to investigate the dynamic correlation between major sectors of Taiwan stock market. Some results of this research will helpful for making hedging strategy.
There are two major findings of empirical study. First, using the dynamic correlation coefficient to evaluate the influence between sectors is more significant than using fixed correlation coefficient in gasping the relevant changes of correlation. Next, the dynamic correlation between electronic sector and electro-mechanical sector is the highest; and that between electronic sector and construction sector is the lowest. Understanding the dynamic correlation between sectors, hedging operation may be carried out through the swapping of investing sectors. The findings of this research may help investors to understand the dynamic correlation between sectors of the Taiwan stock market, and provide the investors a reference tool in finance management and making hedging decision.
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