總體經濟變數對台灣股價波動性之長、短期影響 --以CARR模型分析

The Long-Short Term Influence of Taiwan Stock Price Volatility by Macroeconomic Variables --Analyze With CARR Model

潘勝昱

指導教授 ： 冼芻蕘

國立清華大學/科技管理學院/經濟學系/碩士(2013年)

https://doi.org/10.6843/NTHU.2013.00645

摘要

本文研究台灣發行量加權股價指數，
分別以日資料與月資料探討不同的總體經濟變數是否會對其波動性有顯著的解釋能力。
在金融市場上，
波動性即是風險，
若能夠準確的捕捉到其他變數對波動性的影響，
那將可以對市場的風險加以控管，
以達到減少損失的目的。
在實證的模型上，
本文採取了Chou(2005)所提出的CARR模型
(Conditional Autoregressive Range model)
來作為主要的風險模型，
並且透過不同的總體經濟變數組合，
檢視這些組合對台灣股價波動性的影響程度。
實證結果發現，
短期股價波動受國際金融市場和國內金融市場影響較為顯著，
但匯率日報酬率較沒有顯著的效果。
而長期股價波動受到匯率月報酬率和美國政府公債的影響較為顯著。
因此，
金融市場短期較容易受到市場上的信息而產生風險，
但長期則受經濟環境的影響居多。

關鍵字

風險 ； 波動性 ； CARR ； 總體經濟

並列摘要

The report influence that Taiwan Weight Stock Index different with daily data and monthly data,
investigate macroeconomic variables if it volatility significant explanatory power.
Volatility is the risk in the financial market.
To make sure that capture well effect volatility by the other variables.
The goal will be control by market risk in order to reduce losses.

In the empirical model selection,
we adopt CARR model(Conditional Autoregressive Range model)
proposed by Chou(2005)
to be the major risk-model,
with kinds of macro combination,
shows the effect level of these combination to Taiwan stock price volatility.
Concluded, short term volatility is more significant between global financial market and internal financial market,
but daily return rate of foreign exchange is not very outstanding.
The long term volatility is more significant between monthly return rate of foreign exchange and U.S. government bond.
So, the risk will get from the short term financial market,
on the other side, long term affect from economics environment.

並列關鍵字

risk ； volatility ； CARR ； macroeconomic

參考文獻

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