| Summary: | 碩士 === 國立臺北大學 === 國際企業研究所 === 106 === This study tries to investigate the interactions, volatility spillovers and smooth transition effects among stock price, exchange rate of Taiwan as well as the investor sentiment and contagion effects of the global financial crises by STVE-STGARCH-DCC (Smooth Transition Vector Error Correction-Smooth Transition GARCH with Dynamic Conditional Correlation) model. Basically, the empirical results prove that the existence of nonlinear interactions, volatility spillovers, smooth transition and asymmetric effects among stock price, exchange rate and investor sentiment. Our results also verify that facing the financial crisis events such as subprime mortgage & global financial crisis and the European debt crisis, there are the higher the correlation coefficients between stock-exchange rate, stock-investor sentiment as well as exchange rate-investor sentiment in the period of the special crisis events compared to the non-crisis period, which meaning the interactions among the three variables occur not just from fundamental co-movements, but are also affected by the excess propagation of shocks as contagion effect from the occurrence of financial crisis events. Hoping these empirical results and suggestions are useful for financial risk assessors, government regulators and portfolio investors to make the better decision for obtaining the diversification benefits among stock, exchange rate market and investor sentiment.
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