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| 研究生： |
葉 彬 Diep, Quang-Viet |
|---|---|
| 論文名稱： |
全球事件發生期間 產業效應之探討 CHECKING THE INDUSTRY EFFECT DURING GLOBAL EVENTS |
| 指導教授： |
王馨徽
WANG, SHIN-HUEI 張焯然 CHANG, JOW-RAN |
| 口試委員: |
謝佩芳
HSIEH, PEI-FANG 黃啟瑞 HUANG, CHI-JUI |
| 學位類別： |
碩士 Master |
| 系所名稱： |
科技管理學院 - 國際專業管理碩士班 International Master of Business Administration(IMBA) |
| 論文出版年： | 2020 |
| 畢業學年度： | 108 |
| 語文別： | 英文 |
| 論文頁數： | 61 |
| 中文關鍵詞： | 產業效應 、相關 、次貸危機 、中美貿易戰 、2019冠状病毒病疫情 |
| 外文關鍵詞： | industry effect, correlation, subprime crisis, the US-China trade war, Covid-19 |
| 相關次數： | 點閱：2 下載：0 |
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The aim of this paper is to examine the role of industry effect in the US stock market. We test the change of correlation of stocks returns between each industry over time. The data is classified into 11 industries, including Information Technology (IT), Consumer Discretionary (CD), Communication Services (CS), Financials (FI), Health Care (HC), Consumer Staples (CT), Energy (EN), Utilities (UT), Real Estate (RE), Industrials (IN) and Materials (MA). We collect the top 20 stocks returns based on market capitalization over a period from 01/01/2006 to 31/05/2020. We also calculate the moving 〖CD〗_AR test for each industry to explore how each industry react to the change of market, especially in the subprime crisis period, the US-China trade war and Covid-19 event.
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