美國和台灣股票期現貨市場之動態關聯：一般化多變量GARCH模型的應用

The Dynamic Linkage among U.S. and Taiwan Future and Sort Markets: A More General Multivariate Garch Approach

王凱立(Kai-Li Wang) ； 陳美玲(Mei-Ling Chen)

《經濟論文》 30卷4期 (2002/12) Pp. 363-407

https://doi.org/10.29628/AEP.200212.0001

摘要

本研究提出一般化多變量MEGB2 GJR GARCH-M模型，針對美股收盤、摩台指開盤、台股開盤及台股開收盤價格間之動態關聯作探討。有別傳統文獻多僅專注跨國股市現貨市場間的傳導研究，本研究發現期貨市場資訊納入體系中考量，對跨國市場價格傳導機制的瞭解及模型配適效能提昇具明顯助益。實証結果顯示，美股收盤價對摩台指開盤具顯著價格領先功能，而美股收盤及摩台指開盤資訊又對台股現貨隔夜報酬具高度解釋能力。其次，美股收盤價對台股日間報酬具顯著影響，說明遞延傳導效果的存在。此外，美股收盤非預期的負向衝擊，對摩台指開盤呈現顯著的跨市場波動不對稱傳導；而摩台指開盤報酬衝擊又對台股隔夜報酬波動扮演重要的傳導角色。

關鍵字

股市 ； 期貨 ； 動態關聯 ； 多變量(G)ARCH模型 ； 分佈

並列摘要

This paper analyzes the dynamic linkages among U.S. futures and spot, SIMEX futures and Taiwan spot markets by adopting a general multivariate MEGB2 GJR GARCH model. In addition to the linkages of returns and volatility between U.S. and Taiwan spot markets, the information from SIMEX futures has also been incorporated into models to better reflect the simultaneous interactions among U.S. futures and spot, SIMEX futures and Taiwan spot markets. The empirical results indicate that U.S. futures and spot, and SIMEX futures markets are important to the overnight return of Taiwan's spot market. Further investigation suggests that SIMEX futures have a bigger impact on the overnight return of Taiwan 's spot index than that of the U.S. market. In addition, we find that the U.S. market has positive effects on the daytime return of Taiwan 's stock market, implying the existence of a transmission effect. Moreover, volatility transmission exists from SIMEX futures to that of Taiwan's spot market; whereas the U.S. stock market has a substantial influence on the volatility of SIMEX futures.

並列關鍵字

Stock market ； Futures ； The multivariate GARCH model ； Transmission effects

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