| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 98 === This thesis empirically tests the dependence structure between equity market and foreign exchange market using the data of seven emerging countries – Taiwan, South Korea, Singapore, Malaysia, Thailand and Philippines and four developed countries – USA, Japan, UK and Germany, to construct three-part analyses by market approach, time varying copula approach and economic cycle approach.
In the analysis of market, I build the copulas for the dependence structure between returns of equity and exchange rate for each country. The result shows that the emerging countries belonged to saucer-shallow economic scale because their correlations between two markets were much higher than developed countries.
In the time varying copula approach analysis, the dependence structure between the two markets had a regime-switching after Lehman Brothers Holdings Inc. announcing their bankruptcy protection, so I can determine that the correlation will be affected by the impact of serious events. At last, I analyze the economic cycles of Taiwan, Japan and South Korea. Under different economic cycles, the correlations were highly divergent between these three countries. The correlation of Taiwan became much higher during economic booms. However, South Korea had a high correlation in an opposite condition, and Japan had similar correlations under every economic condition. This thesis summarizes that this discrepancy concerns the different policies and targets of each country’s central bank.
|
|---|
