An Analysis of Stock Markets Volatility Correlation of BRICs
| Autor: | Cheng-Chang Lu, 呂承璋 |
|---|---|
| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 With the internationalization of financial markets and deregulation, so that international capital flows freely, not only in the global market, but also to reduce the investment restrictions in international financial markets, however, the progress of modern Internet technology and mass media developed, the investors through the Internet and the mass media will be able to quickly grasp the latest and fastest cases of international stock market transactions. Therefore, the stock market ups and downs countries will have different interactions with each other, so we are in Taiwan's investment to be the occasion not only to master the country's economic situation, the volatility of the foreign stock market also need extra attention in order to grasp the first investment opportunities. Globalized investment warm feelings, increasing the correlation between national stock markets closely, whether investment banks, professional managers, or generally the investor the goal of investment wants to make a profit, therefore, based on investment risk, countries influence the stock market mutual concern for many investors. The focus of this study is between the U.S. and BRICs Stock correlation between returns and the interaction between each other, ｍainly to use the GARCH model analysis US, China, India, Brazil, Russia, various countries' stock price return rate volatility persistence, and their possible relationship between the explanatory factors, first of all investigate the stock returns between different countries of the differences in volatility persistence, and then from the long-term view and the character of the stock market standpoint, discusses the continuing volatility of stock returns variation. Is actually the cause in the constitutive change or from the transaction behavior creates in the stock market itself? The distinction consideration works as factor influences and so on under time reward and preceding issue of reward, Influence effect which possibly produces regarding this five country various countries stock price return rate fluctuation long-enduring institute, and as well as after considering these factors to the stock price condition fluctuation produces the results whether to have the possibility to substitute for the GARCH effect. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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