A Study Of Stock Markets Volatility Between The United States And Asia-Pacific－An Application Of Multivariate GARCH Model

• Main Authors: Chang,chenyuan, 張宸源
• Other Authors: Cheng,Kuangfu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/du9e6g

碩士 === 嶺東科技大學 === 財務金融研究所 === 100 === In this study, the three countries of the Asia-Pacific, Taiwan, Indonesia, Vietnam, the three countries, the stock market for the empirical, with fluctuations in the U.S. stock market share price and the market return pass to the impact analysis, to provide investors with the reference of the international portfolio. In addition to the GARCH model to investigate the compensation of fluctuations and information transmission fluctuations, due to the pass-through effect of the fluctuations between the U.S. and Asian stock markets are non-linear nature of, and thus followed a change bivariate GARCH - DCC model, do a more realistic description of the analysis were collected from October 11, 2006 December 2011 30, a total 1146 document the daily data information for analysis. The empirical get the following conclusions: the United States and the Asia-Pacific shares did not pass the cointegration test showed no long-run equilibrium relationship. Granger causality test shows that the U.S. market return on one-way influence the market returns of the three countries of Taiwan, Indonesia, Vietnam. The daily return data for the United States and the Asia-Pacific stock markets all the ARCH effect. The GARCH model shows that the Asia-Pacific three countries subject to United States a positive impact on market returns, and its current stock price fluctuations will be early is not expected to change (new information) and the positive impact of pre-return volatility (old messages). Estimates of the GARCH- DCC analysis further shows that stock market returns in the Asia-Pacific three by former U.S. paid a positive effect on current return volatility is also stocks pre unexpected positive impact of return volatility.