亞洲金融危機對我國股市條件波動結構之影響

The Impacts of Asia Financial Crisis on the Structure of the Conditional Volatility in Taiwan Stock Market

林楚雄(Chu-Hsiung Lin)

《Asia Pacific Management Review》 5卷3期 (2000/09) Pp. 315-330

https://doi.org/10.6126/APMR.2000.5.3.05

摘要

本文主要探討亞洲金融危機對於我國股市條件變異數的影響。本文研究的重點在於比較金融危機前後我國股市條件波動結構是否有改變的現象。本文應用Fornari and Male（1997）的波動轉換GARCH模型（Volatility-Switching GARCH Model）探討我國股市集中市場與店頭市場於金融危機前後條件波動水準、波動自我迴歸、未預期衝擊與波動不對稱性的變化情形。本文研究的期間是從1995年11月1日到1999年7月15日為止，而以1997年7月2日區分金融危機前後兩段子樣本期間的基準日。本文實證的研究結果發現金融危機前後，我國股市集中市場與店頭市場條件波動的結構皆產生變化。在集中市場股價報酬波動的行為上，波動自我相關結構與不對稱性發生改變；而店頭市場股價波動的變化行為發生於條件波動水準、波動自我相關結構與不對稱性的改變。

關鍵字

金融危機 ； 股票市場 ； 條件波動

並列摘要

This study primarily discusses the impact of the Asian financial crisis on conditional volatility of our TSE and OTC market. Based on the Volatility-Switching GARCH Model of Fornari and Mele (1997), this article discusses the conditional volatility level, auto-regression of volatility, unexpected innovation, and asymmetrical volatility of Taiwan's stock market before and after Asia Financial Crisis. The sample period is collected from November 1, 1995 to July 15, 1999 in this paper. The overall sample period is distinguished before and after stages of the Asian Financial Crisis based on the date July 2, 1997.The study of this article identifies the change of structure of conditional volatility in the TSE and OTC markets before and after the Asian Financial Crisis. For the volatility behavior of the stock return in TSE, there were changes in the auto-regression of volatility. For the structure of volatility behavior in the OTC market, there were changes in the level of conditional volatility, auto-regression of volatility, and asymmetry.

並列關鍵字

financial crisis ； stock market ； conditional volatility

參考文獻

Akaike, H.(1973).Proceedings of the Second International Symposium of Information Theory.Budapest:Akademiai Kiado.

Akaike, H.(1969).Fitting Autoregressive Models for Prediction.Annals of the Institute of Statistical Mathematics.22

Antoniou, Antonios, Holmes, Phil, Priestley, Richard(1998).The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News.Journal of Futures Markets.18(2)

Baillie, R. T., DeGennaro, R. P.(1990).Stock Returns and Volatility.Journal of Financial and Quantitative Analysis.25

Berndt, E. K., Hall, B. H., Hall, R. E., Hausman, J. A.(1974).Estimation and Inference in Non-Linear Structural Models.Annals of Economic and Social Measurement.2006/3/4