The Impacts of Central Bank's Transparency on Stock Market Volatility: International Evidence

• Main Authors: CHEN, BO-YU, 陳泊羽
• Other Authors: CHEN, SHENG-HUNG
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/3ku2xq

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 105 === 　　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.