| Summary: | 碩士 === 國立中興大學 === 應用經濟學系所 === 102 === In this thesis, we apply the DCC MV-GARCH (Dynamic Conditional Correlation Multivariate GARCH) model, proposed by Engle(2001), to discuss the effect of
dynamic condition correlation between the Fubon MSCI Taiwan fund’s return rate and exchange rate between new Taiwan Dollar and US dollar. And then, we use the conditional variance of the DCC MV-GARCH to formulate a equation of volatility spillover. The equation of volatility spillover is refer to Feng(2001), and it was applied to examine the volatility spillover between the Fubon MSCI Taiwan fund’s return rate and the exchange rate varying. The data in this thesis is collected from 2008/02/14 to 2013/12/31. Our result shows that exchange rate varying is negatively related to the return rate
of the Fubon MSCI Taiwan fund significantly in a period. The probably reason is that the effect of asset substitution between US dollar and the stocks in Taiwan, and that shocks the domestic stock index fund’s returns indirectly. Meanwhile, there is volatility spillover effect between the exchange rate varying and the mutual fund’s return rate varying significantly. Therefore, the raising of the exchange rate varying will increase
the level the Fubon MSCI Taiwan fund’s return rate varying.
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