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題 名 | 亞洲金融風暴對臺灣股匯市影響:跳躍-擴散模型應用=Asian Financial Crisis Impacts on Taiwan Stock and Foreign Exchange Markets: An Application of Jump-Diffusion Model |
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作 者 | 李彥賢; 姜淑美; 邱建良; | 書刊名 | 朝陽商管評論 |
卷 期 | 5:1民95.01 |
頁 次 | 頁1-22 |
分類號 | 563.54 |
關鍵詞 | 跳躍-擴散模型; GARCH-ARJI模型; GARCH-CJ模型; 金融風暴; Jump-diffusion model; GARCH-ARJI model; GARCH-CJ model; Asia finance crisis; |
語 文 | 中文(Chinese) |
中文摘要 | 本文以GRCH-ARJI與GARCH-CJ兩種跳躍-擴散模型,探討金融風暴事件對股匯市所產生跳躍狀態的頻率與跳躍狀態的變異。實證結果發現不管利用GARCH-CJ模型與GARCH-ARJI模型的估計結果皆顯示股匯市報酬率均存在著異常資訊所造成不連續的跳躍行為。再者,本研究利用Schwarz Criterion與概似比檢定發現GARCH-ARJI模型的配適度相較於GARCH-CJ模型更加適合。最後在加入金融風暴事件至GARCH-ARJI-D模型發現股匯市的跳躍行為特性依然存在著,而在金融風暴期間的跳躍大小的變異數與跳躍頻率皆有顯著的增加。此外,跳躍過程所引發的變異比例均高於擴散過程所引發的變異數,除了加權股價指數外。且在金融風暴事件期的跳躍過程所引發之變異比例均較非金融風暴事件期間提高約15-30%。 |
英文摘要 | This study employs GARCH-ARJI and GARCH-CJ models to examine jump frequency and risk of Taiwan stock and foreign exchange markets during Asia Finance Crisis period. Empirical results show that the returns of Taiwan stock and foreign exchange markets exist jump behavior resulting from unexpected events, no matter which GARCH-ARJI and GARCH-CJ models applied. Second, this study finds that the GARCH-ARJI model better than GARCH-CJ model, using Schwarz Criterion and LR test. Finally, considering Asia Finance Crisis events in GARCH-ARJI-D model, the returns of Taiwan stock and foreign exchange markets also exist jump behavior resulting form unexpected events; and further, their jump risk and frequency have enhance during Asia Finance Crisis event. Furthermore, during Asia Finance Crisis period the jump-induced variances are higher than diffusion-induced variance except Taiwan stock index; and further, they increase 15% to 30% more than non-Asia Finance Crisis period. |
本系統中英文摘要資訊取自各篇刊載內容。