美國股市及其總體經濟變數間關連性與波動性之研究－VEC GJR DCC-GARCH-M之模型應用

An Investigation on Volatility and the Interrelationship between the US Equity Market and Macroeconomic Variables--An Application of the VEC GJR DCC-GARCH-M Model

劉祥熹(Hsiang-His Liu) ； 涂登才(Teng-Tsai Tu)

《經濟研究》 48卷1期 (2012/01) Pp. 139-189

https://doi.org/10.29765/TEI.201201.0004

摘要

台灣經貿與證券投資情形常隨美國經濟景氣與股市投資有連動關係，瞭解美國股市及其經濟變數關聯性與波動效果之相關資訊能提供國內外投資人在股市投資決策上有所助益，又國內外文獻大多認為股票市場與總體經濟具有互動性。因此，本文嘗試建立VEC GJR DCC-GARCH-M (vector error correction GJR dynamic conditional correlation-GARCH in mean) 模型以進行美國股價與其總體經濟變數間關連性、波動性、不對稱現象及風險變動效果之質證研究。基於該項上述研究動機與目的，本文研究變數分別選取美國那斯達克（National Association of Securities Dealers Automaled Quotation, NASDAQ）綜合指數、消費者物價指數（consumer price index, CPI）、貨幣供給量（M(下標 1b)）與美元指數進行實證分析。基本上，質證結果發現本研究所選取之總體經濟變數皆能預測美國股價報酬率之走勢，且亦證實美國股票市場為該國景氣的領先指標。本研究亦同時驗證美國股市具有高風險高報酬之風險溢酬效果。另外，波動性效果方面，美國股價報酬率變異數會受其本身前一期之影響，此意謂美國股價報酬率之波動性具備GARCH效果且可藉由本身前一期的條件變異數加以預測。至於美國國內波動之外溢效果，負向非預期衝擊將比正向非預期衝擊引起更大之波動，故美國股價報酬率與匯率變動率變異數存在波動不對稱性之槓桿效果（leverage effect），此意謂好壞消息造成股價波動有不同的效果，大抵而言壞消息波動效果大於好消息之波動效果。

關鍵字

股價指數 ； 總體經濟變數 ； 共整合檢定 ； VEC GJR DCC-GARCH-M模型

並列摘要

The trading and investment activities in Taiwan usually vary with the business cycle and equity investment in the US. Many studies indicate that the equity market is closely related to the macroeconomic environment. Therefore, the purpose of this study is to construct a multivariate VEC GJR DCC-GARCH-M model to investigate the volatility and the interrelationship between the US equity market and macroeconomic variables. The variables chosen in the empirical analysis include the US NASDAQ (National Association of Securities Dealers Automated Quotation) price index, the CPI (Consumer Price Index), M1b and the exchange rate of the US dollar. Furthermore, the empirical results of this study signify that the US stock rate of returns can be forecasted by the behavior of the macroeconomic variables and the US stock index leads the indicators of the business cycle in the US. The evidence verifies the existence of a risk premium effect in the US equity market. The empirical results also indicate that the stock volatility exhibits a GARCH effect and can be forecasted by the previous period's conditional variance. Finally, we also find that there are significant effects of volatility clustering and asymmetric volatility (the leverage effect) in the US equity market.

並列關鍵字

Stock Price Index ； Macroeconomic Variable ； Cointegration Test ； VEC GJR DCC-GARCH-M Model

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