次級房貸風暴下台灣、中國與美國股市的連動關係：三元 GJR GARCH-X 之應用

The Interaction among Taiwan Stock Market, China Stock Market, and American Stock Market in Subprime Mortgage: An Analysis in a Trivariate GJR GARCH-X Framework

嚴仕良(Shih-Liang Yan)

指導教授 ： 黃瑞靜

共同指導教授 ： 楊泰和

崑山科技大學/商業管理學院/企業管理研究所/碩士(2010年)

摘要

由於美國在2007年的次級房貸金融風暴，對全球股市的衝擊甚劇。因此本研究主要的目的，是希望以美國、中國與台灣這三個國家來探討各股市的連動關係，再進一步觀察因次級房貸所產生的連動影響。本研究以美國道瓊指數、美國S&P500指數、中國滬深300指數與台灣加權指數為基礎，將此三國分為兩組樣本，第一組：美國道瓊指數、中國滬深300指數、台灣加權指數。第二組：美國S&P500指數、中國滬深300指數、台灣加權指數，並分別利用三元GJR GARCH-X模型，來檢視台灣股市、中國股市以及美國股市三個市場間於金融風暴前後的連動關係。
　　本研究結果顯示在報酬傳遞方面：美國道瓊與S&P500指數在風暴前與風暴後，均不受中國滬深300指數與台灣加權指數的影響。中國滬深300指數於風暴前與風暴後，除了受到美國道瓊、S&P500與台灣加權指數的影響外，亦存在其他因素的影響。台灣加權指數在風暴前與風暴後，除了受到美國道瓊、S&P500與中國滬深300指數的影響外，同時存在其他因素的影響。
　　至於波動傳遞方面：(1)於風暴前，美國道瓊指數受到自身前期、中國滬深300指數與台灣加權指數的未預期波動與預期波動的影響，而美國S&P500指數則無。風暴後，美國兩指數除了受自身前期的影響之外，皆受到中國滬深300指數與台灣加權指數預期波動的影響。(2)中國滬深300指數於風暴前與風暴後皆被自身前期、美國道瓊、美國S&P500與台灣加權指數預期波動所影響，且風暴前對美國道瓊與台灣加權指數的壞消息反應較大。(3)台灣加權指數於風暴前與風暴後，皆受到美國道瓊、S&P500與中國滬深300指數預期波動的影響，而風暴前，對美股道瓊與中國滬深300指數的壞消息反應較大，風暴後則擴大為對四個指數的壞消息反應較大，風暴後台灣加權指數除了受美國道瓊、S&P500與中國滬深300指數的影響外，亦存在其他因素影響。

關鍵字

次級房貸 ； 股市連動關係 ； GJR GARCH模型

並列摘要

Because the global stock markets were hardly shocked by the financial meltdown of subprime mortgage, the purpose of this research is the relationship of the stock markets in American, China and Taiwan. This study is based on American DJIA, S&P500 index, ChinaCSI300 and Taiwan weighted stock index. There are two samples of the three countries. The first one is for DJIA, China CSI300 and Taiwan weighted stock index. The second one is for American s&p500 index, ChinaCSI300 and Taiwan weighted stock index. The module of Trivariate GJR GARCH-X is used to analyze structured connection in the stock markets of Taiwan, China and America.

The effect of the return transmission in this research: DJIA and S&p500 index were not affected by the China CSI300 and Taiwan weighted stock index before the meltdown. They were not affected after the meltdown either. Besides effect of DJIA, American S&p500 index and Taiwan weighted stock index, there were still some factors. Before and after the meltdown, Taiwan weighted stock index was affected by the DJIA, America nS&P500 index and China CSI300 . Besides, there were some factors.

About volatility transmission: (1) Before the meltdown, DJIA was affected by the unexpected and expected volatility of China CSI300 and Taiwan weighted stock index, but American S&P500 index was not. (2) After the meltdown, the two index of America were affected by itself in earlier time. Besides, they were also affected by the expected volatility of China CSI300 Industrial Average and Taiwan weighted stock index. Before the meltdown, there were more bad news impact in DIJA and Taiwan weighted stock index. (3) Before and after the meltdown, Taiwan weighted stock index was affected by the expected volatility of DIJA, CSI300 and American S&p500 index. Before the meltdown, there were more bad news impact in DIJA and China CSI300 . After the meltdown, there was bad news in the four indexes. Taiwan weighted stock index were affected by DJIA, American S&P500 index and China CSI300 after the meltdown. Besides, there were other factors effective.

並列關鍵字

Subprime Mortgage ； Trivariate GJR GARCH-X ； Interaction

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