Title page for etd-0601110-165055


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URN etd-0601110-165055
Author Chih-Hsien Hung
Author's Email Address No Public.
Statistics This thesis had been viewed 5571 times. Download 3590 times.
Department Finance
Year 2009
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Dynamic Volatility Linkage between Taiwan MSCI Index and International Stock Markets
Date of Defense 2010-05-31
Page Count 68
Keyword
  • Sub-prime mortgage crisis
  • DCC-GARCH
  • Infection Clustering Effects
  • Dynamic Correlation
  • Abstract This paper uses multivariate DCC-GARCH model to investigate the volatility of dynamic correlation between MSCI Taiwan stock index and the USA, China, Japan , Asia and global stock market. The existence of stock market volatility asymmetry, volatility spread of infection and clustering effects also are analysed, while in case of the U.S. sub-prime mortgage crisis and triggered the global financial tsunami. It discusses the Taiwan stock market fluctuations and structural changes in the international markets and the market dynamics related to change of influence and change.
    The main findings are (1)The volatility of continuity between the spread of infection and the clustering effect between the Taiwan stock market and international market fluctuations, (2) During the global financial tsunami, the correlation between changes in the international market and the market Correlation of different dynamic fluctuations and structural changes occurring in different time point also show the impact of changes of individual markets (3)The correlation between MSCI Taiwan stock index and the USA, China , Japan, indicates that the impact of change of stock the Japanese stock market on the MSCI Taiwan stock index is low, while China and the MSCI Taiwan stock index-related enhances, (4) market structure changes, the MSCI Taiwan stock index and the global dynamic fluctuations in the market is still a significant, The visible impact of the shock oscillation is wide and return to equilibrium of adjustment is still ongoing.
    Advisory Committee
  • Shyh-weir Tzang - chair
  • Chih-hsing Hung - co-chair
  • David S. Shyu - advisor
  • Files
  • etd-0601110-165055.pdf
  • indicate accessible in a year
    Date of Submission 2010-06-01

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