台灣產業指數的外溢效果

Industrial Spillover Effects in the Taiwan Stock Market

郭維裕(Wei-Yu Kuo) ； 李淯靖(Yu-Ching Li) ； 陳致綱(Jhih-Gang Chen) ； 林建秀(Chien-Hsiu Lin)

《經濟論文叢刊》 43卷4期 (2015/12) Pp. 407-442

https://doi.org/10.6277/TER.2015.434.1

摘要

本研究應用Diebold and Yilmaz（2012）所提出的外溢指標（spilloverindex）檢視台灣股票集中市場八大產業指數之報酬率與波動度的外溢效果，藉此探討台灣產業間的連動性因果關係。在去除共同因子的影響後，本研究實證結果顯示：台灣產業指數間的外溢效果相當顯著；換言之，台灣各產業間存在著密切的連動性。此外，各產業影響其他產業以及受其他產業影響的程度並不一致。就全樣本下的淨外溢效果而言，營建業為其他產業的主要影響者，而電子業與金融業對其他產業的外溢效果並不如預期地高。實證結果亦發現：在不同子樣本期間內，各產業間的連動性結構亦不盡相同。以美國次級房貸危機引發全球金融風暴的期間為例，金融產業對其他產業的外溢效果最為顯著。最後，本研究利用滾動視窗估計法（rolling windowestimation）描繪外溢指標的動態行為，結果發現外溢指標的確具備隨時間改變的動態特性，且指數波動度對於衝擊發生時的反應程度較指數報酬率更為劇烈。

關鍵字

外溢效果 ； 連動性 ； 外溢指標 ； 變幅波動度估計 ； 多重結構性變化檢定

並列摘要

In view of the important role played by industrial factors in explaining the cross-sectional stock returns, we apply the spillover index of Diebold and Yilmaz (2012) to investigate the return and volatility spillover effects among industrial indices in the Taiwan stock market. Our empirical results indicate that there exist significant spillover effects among industrial indices; that is, the comovement of industries in Taiwan is evident. We also find that while most industries are receivers of spillover effects, a few industries are the main exporters of return and volatility spillover effects. In particular, the construction industry in Taiwan is the key transmitter of spillover effects. In contrast, the electronic industry and financial industry do not have as significant net spillover effects as we expected. Moreover, based on the robustness analysis, we find that key exporters of spillover effects are actually quite different within sub-samples. For instance, the financial industry has the most significant net spillover effects on other industries during the period of the subprime debt crisis in 2008. Finally, we utilize the method of rolling window estimation to illustrate the dynamics of industrial spillover effects. In fact, the results reveal apparently dynamic behavior of industrial spillover effects in the Taiwan stock market.

並列關鍵字

spillover effect ； comovement ； spillover index ； range-based volatility estimate ； multiple structural breaks test

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