美元及歐元匯率波動對台灣股市之報酬與風險傳遞效果之研究

Return and Risk Transmission Effect from US and EURO Dollar Exchange Rate to Taiwan Stock Market

張孟珠(Meng-Chu Chang)

指導教授 ： 歐益昌

嶺東科技大學/財經學院/財務金融系碩士班/碩士(2016年)

摘要

本研究利用GARCH模型，探討自2010年至2016年，美元及歐元匯率波動對台灣股市之股票現貨市場大盤指數報酬風險的傳遞分析。實證結果顯示估計結果看出美元匯率波動估計係數-0.262大於歐元匯率波動估計係數-0.193，顯示美元匯率波動對台灣股市報酬影響較為顯著；變異數方程式估計結果表示美元及歐元匯率對台灣未來的波動會受到前期未預期變動(新訊息)與前期報酬波動(舊訊息)的影響且變異數是非固定的是隨時間而改變。

關鍵字

台灣股市報酬 ； 匯率風險 ； GARCH模型

並列摘要

The study adopted GARCH model to investigate the return and risk transmission effect of US and EURO Dollar Exchange Rate to Taiwan Stock Market, in the period of 2010 to 2016. The empirical results indicate the return of US Dollar Exchange Rate influence the stock markets of Taiwan significantly. The wave of the stock markets of Taiwan is influenced by the both of unpredicted new and old news of US and EURO Dollar Exchange Rate.

並列關鍵字

Stock Returns ； Exchange Rate ； GARCH- Model

參考文獻

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