不同的景氣條件下股價波動與產出波動之間相關性的探討

The Analysis of the Relationship between Stock Return Volatility and Output Growth Volatility under Different Business Cycles

李源明(Yuan-Ming Lee)

《致遠管理論叢》 1卷1期 (2006/09) Pp. 69-94

https://doi.org/10.6596/DJM.2006.1(1).5

摘要

以多國月資料為研究基礎，先透過GARCH家族模式取得波動替代變數，再配合負向修改後景氣衰退指標(MCDR)作為門檻變數，建構出五變量門檻向量自我迴歸(TVAR)模型，其目的在於檢視不同景氣條件下，股價波動與產出波動之間的因果關係？
實證結果發現，在兩體制內發現股價波動與產出波動等兩種單向因果關係均成立，多數國家產出波動與股價波動具有相關性，在景氣擴張期間具有不對稱性，而且發現貨幣波動或利率波動對於股價波動也有顯著的解釋能力。本文所得之實證結果不同於Schwert (1989)等以往文獻的論點。

關鍵字

波動 ； 門檻向量自我迴歸 ； 當期景氣衰退指標

並列摘要

To analyze the causal relationship between the stock return volatility and the output growth volatility along with different business cycles. This paper develops a special framework where the volatility obtained through GARCH family models combines with the threshold variable represented by MCDR (the negative modified current business depth of recession) in order to estimate the five-variate threshold vector autoregressive model.
With monthly data, it is found that the interaction, within two regimes, between output growth rate volatility and stock return volatility is significant in most countries and that two kinds of uni-directional causal relationship are asymmetric under expansion period. Further, it is found that the volatility of money supply and of interest rate also have explanatory power over the fluctuation of stock return. These findings are quite different from arguments of Schwert (1989).

並列關鍵字

volatility ； threshold vector autoregressive ； current business depth of recession