南華大學機構典藏系統:Item 987654321/25811
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    Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/25811


    Title: 中央銀行透明度對股票市場的波動影響之全球實證分析
    Other Titles: The Impacts of Central Bank's Transparency on Stock Market Volatility: International Evidence
    Authors: 陳泊羽
    CHEN, BO-YU
    Contributors: 財務金融學系財務管理碩士班
    陳昇鴻
    CHEN, SHENG-HUNG
    Keywords: 股票市場波動度;中央銀行透明度;縱橫資料隨機效果模型
    Stock Market Volatility;Central Bank's Transparency;Panel Data with Random Effect
    Date: 2017
    Issue Date: 2017-12-08 13:17:36 (UTC+8)
    Abstract: 　　本研究依據1998年至2016年間亞洲地區(包括：香港、日本、新加坡、中國、印度、南韓、菲律賓、泰國個等8國)股票市場報酬率波動性的年資料，使用最大概似估計法(Maximum Likelihood Estimation, MLE)估計縱橫資料隨機效果模型，實證探討中央銀行透明度對股票市場波動度的影響。實證結果指出亞洲地區國家整體中央銀行透明度愈高時，可以顯著地降低股票市場波動度，且當股票市場周轉率與股票市場交易量佔GDP比率愈高，則顯著提升股票市場波動度。然而，股票市場市值佔GDP比率愈高與股票市場上市公司家數愈多時，則顯著降低股票市場波動度。此外，個別的中央銀行透明度指數對股票市場報酬率波動性的影響為負向且顯，此與整體的估計結果一致。
    　　Based on the annual data on the volatility of stock market returns in Asia (including Hong Kong, Japan, Singapore, China, India, South Korea, Philippines, and Thailand) from 1998 to 2014, the maximum approximate estimation method Maximum Likelihood Estimation (MLE) is used to estimate the effect of the transparency of the central bank on the volatility of the stock market. The empirical results show that the higher the transparency of the central bank of the Asian countries, the more significant declining in the stock market volatility. Moreover, the higher stock market turnover and stock market capitalization over GDP ratio have the significant increase in the stock market volatility. However, the higher the market capitalization of the stock market and the higher the number of listed companies in the stock market cause the significant reduction in the stock market volatility. In addition, the impact of the individual central bank transparency index on the volatility of stock market returns is negative and significant, which is consistent with overall effects.
    Appears in Collections:[Department of Finance, The M.A. Program of  Financial Management] Disserations and Theses

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