東協五國匯市報酬率與波動性因果關係研究

• Main Author: 張財旺
• Other Authors: 倪衍森
• Format: Others
• Language: zh-TW
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/14518083787356838957

碩士 === 淡江大學 === 管理科學學系 === 87 === This paper examines the Granger causality of returns and volatilities among currency markets of Southeast Asian nations(Singapore、Indonesia、Malaysian、Philippine and Thailand) in the period between 1995 January and 1998 August. We use unit root test、vector autoregressive(VAR) and different type data(day,week,month) to investigate the Granger causality of returns and volatilities among currency markets of Southeast Asian nations. We get the following results： 1. All type of data don’t reject the existence of unit root and indicate that the currency markets of Southeast Asian nations follow the model of random walk. 2. Next，we use GARCH models to estimate the volatilities and VAR model to investigate the Granger causality of returns and volatilities respectively and the spillovers of currency markets in differ type data are the same. Results show that the Granger Causality of all currency markets are significant but the relationship in day data is more significant than in week or month data. In addition, we also find that the relationship among Malaysian、Indonesia and Singapore are more significant than Thailand and Philippine. 3. After finanical crisis of southeast Asian nations,the Granger causality of volatilities among currency markets of southeast Asian nations are more significant than before. 4. The Granger causality of returns and volatilities of exists in individual currency market .