Asymmetric Study of Taiwan Stock Market Return Rate- Case for Telecommunication Industry
| Autor: | Mei-Yu Huang, 黃美裕 |
|---|---|
| Rok vydání: | 2006 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 94 While the liberalization and globalization of Taiwan’s financial market, the investors and the authority face a highly changeable stock market. There are many factors would raise the risk of investment in Taiwan stock market, such as the return of Taiwan stock market, exchange rate, interest rate and foreign investment. This thesis investigates the relationship existed in the stock return process of Taiwan telecommunication companies, the return series of Taiwan stock, the exchange rate, the interest rate and foreign investment via GARCH model. Using daily data as an example, the evidence significantly documents that the stock return process of Taiwan telecommunication companies displays the phenomenon of volatility clustering and conditional heteroskedastic variance. Its volatility also exhibits an asymmetric effect that the volatility increases when the bad information arrived. The examination of the fitness shows that EGARCH model has the best performance comparing to the other fitted models. The empirical results show that the stock return process of the three Taiwan telecommunication companies directly affects the stock return. During the investigating period, the volatility of foreign capital and exchange rate do not affect the stock return of the three telecommunication companies, and the volatility of interest rate also do not affect the stock return of Chunghua Telecom Company and Taiwan Mobile. The reason might be the not volatile financial market during this period in Taiwan, but the volatility of interest rate affects the stock return of Far East Tone. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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