Mixture Coupla Model with Contagion Probability Applying on Empirical Study of the Financial Crisis

• Main Authors: Kai-Ping Liu, 劉凱平
• Other Authors: Wen-Chin Chen
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/22928628546326847843

博士 === 中華大學 === 科技管理博士學位學程 === 102 === This thesis is focusing the stock index of the following U.S., U.K, France and German, also Japan, Taiwan, Hong Kong, Korea and Singapore from the period from Jan. 1, 2005 to Oct. 18, 2013. In this period, some severe financial events occurred like subprime mortgage crisis. To make research on the relationship between the crisis and the impact on these mature stock markets, and to get the contagion effect in Asian Stock market and U.S., U.K, France and German stock market. This study applies copula functions with properties of asymmetric dependence structures, in the model of Gumbel Copula、Clayton Copula and Mixture Copulaand extreme value and the GJR-GARCH model with skewed-t distribution (GJR-GARCH-ST) from the stock market of U.S., U.K, France and Germany to estimate the marginal and joint distributions of stock returns in Taiwan, Hong Kong, Japan, South Korea and Singapore. Furthermore, this study applies the conditional probability of contagion to investigate the possibility of the extreme co-movement among Asian stock markets given that an extreme positive or negative shock occurs in one of them. The empirical results are as follows: (1) On the time of U.S. stock market dropping sharply, then the stock market of Singapore was affected mostly. The long side should lower the holding of Singapore assets. On the other hand, when the U.S. stock market was affected positively, the Hong Kong stock market was affected sharply too. It represented that the short side would cover the shorted assets in Hong Kong.(2) In the time of hitting hardly in the U.S. and European market, the most affected country would be Singapore no matter the scale of collapse. Meanwhile, the stock market of U.S play a most important role the stock market of Hong Kong. And, the stock market of U.K. German and France affect Singapore barely.(3)For the stock market in Taiwan, we scarcely found the connection between Taiwan stock market and U.S. or European market. The conclusions can help bullish and bearish investors realize the co-movement between Asian markets and U.S. or European market where the investor can allocate their assets to evaluate diversify risks under extreme impact but also the government can make the policy reduce the impact of financial crisis.