MEASURING THE RETURN AND THE VOLATILITY CONNECTEDNESS OF TAIWAN''S EQUITY MARKET

• Main Authors: Yuan-Han Wang, 王元翰
• Other Authors: 管中閔
• Format: Others
• Language: en_US
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/8zz8q2

碩士 === 國立臺灣大學 === 經濟學研究所 === 105 === The empirical objective of this study is to measure the connectedness of stock prices in nine different market segments in Taiwan. For both the return and the volatility of stock prices, this research demonstrate that the connectedness level in different market segments significantly differs from one another. Moreover, the results suggest that the time-varying natures between the return and the volatility connectedness of stock prices are drastically different from each other. In addition, this paper aims to identify the key factors that strengthen or weaken the return and the volatility connectedness of stock prices. The findings suggest that both of them are profoundly influenced by economic downturns and the market structure of the industry.