頁籤選單縮合
題 名 | 匯率與股票市場之不對稱相關性=Asymmetric Dependence between the Exchange Rates and the Stock Markets |
---|---|
作 者 | 陳麗君; 陳俊杰; 徐慈陽; 傅承德; | 書刊名 | 中國統計學報 |
卷 期 | 51:3 2013.09[民102.09] |
頁 次 | 頁274-291 |
分類號 | 563.54 |
關鍵詞 | 關聯結構模型; 不對稱相關性; 超額關聯性; 金融風暴事件; Copula model; Asymmetric dependence; Exceedance correlation; Financial crisis; |
語 文 | 中文(Chinese) |
中文摘要 | 本文應用不同的關聯結構函數探討美國及其主要貿易國匯率與股票市場間的不對稱相關性。藉由2005年至2010年美國及其主要貿易國匯率與股票市場的資料,觀察到在2008年全球金融風暴後,其市場之間逐漸顯示具有不對稱相關性的現象。本文以月報酬率、季報酬率、半年報酬率及年報酬率來做分析,實證分析發現不同頻率的資料都顯示不對稱相關性,且隨著資料頻率的降低,不對稱相關性的現象愈趨明顯。 |
英文摘要 | In this paper, we study the correlation between exchange rates and stock markets for United States, Canada, and Mexico between 2005 and 2010, especially the period of the global financial crisis. For the dependence structure between a exchange rate and a stock market, a copula model is exploited due to the asymmetry dependence observed. Note that the asymmetric dependence leads to be significantly stronger as putting money into the long-term investment. In order to specify the exact correlation, the tail dependence and exceedance correlation are both employed. In our empirical analyses, the phenomenon of asymmetric dependence between exchange rates and stock markets all occur in United States, Canada, and Mexico after the global financial crisis, meaning that arbitrage exists. |
本系統中英文摘要資訊取自各篇刊載內容。