The Empirical Study on the Relationship between Interest Rate Spreads and Stock Index.

• Main Authors: Chan Chian Hui, 詹千慧
• Other Authors: Cheng Yen-Shin
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/d27snp

碩士 === 國立高雄科技大學 === 金融資訊系 === 107 === This study is to explore the relationship between the US central bank's interest rate， bond index and stock price index using a single root test of non-constant measurement method， vector self-regression model， co-integration test， causality test and error correction model to check whether the variable is in the long term There is a balance relationship， and the adjustment of short-term imbalances is analyzed and the causal correlation between the research variables is discussed. Finally， the differences in investment returns between different debts and stock types of commodities are discussed. The study period was from January 1982 to January 2019. The main empirical results of this study are summarized as follows: 1. The US central bank's interest rate has a one-way causal relationship between emerging market debt， global high-yield debt， and US high-yield debt; the US 10-year public debt has a one-way causal relationship to emerging markets， global high-yield bonds， and US high-yield bonds. There is a long-term co-integration relationship between US central bank interest rates， US 10-year public debt， emerging market debt， global high-yield debt， and US high-yield debt. 2. Emerging market stocks have a one-way causal relationship with US 10-year public debt， emerging market debt，global high-yield debt， and US high-yield debt; global stock index for US 10-year public debt， emerging market debt， global high-yield debt， and US high There is a one-way causal relationship between income bonds. There is a long-term co-integration relationship between emerging market equities， global stock indices， US 10-year public debt， emerging market debt， global high-yield debt， and US high-yield debt. 3. In terms of index investment performance， high-yield bonds are better than 10-year bonds， emerging market bonds， and stock markets， regardless of the rate of return or risk-to-risk ratio (RRR). But the extreme risk index risk value (VAR) high-yield debt is significantly higher than emerging market debt and 10-year public debt， but significantly lower than the stock market. The rolling investment performance of each commodity consistent with the long-term investment performance shows that the high-yield bond rate of return or the ratio of return-to-risk ratio (RRR) is superior to other commodities， and as long as the positive return probability of long-term high-yield bonds during investment period is close to that of traditional debt.