新興市場規模波動的訊息傳遞校應－臺灣股票市場為例

Message Transmission Effect of Size Volatility on Emerging Market as Evidence from Taiwan Stock's Market

陳宗仁(Jen-Tseng Chen) ； 林顯達(Hsien-Ta Lin) ； 鍾世和(Philip Shuee-Ho Chung) ； 王憲斌(Hsien-Bin Wang) ； 魏石勇(Shih-Yung Wei)

《環球科技人文學刊》 18期 (2014/03) Pp. 49-64

摘要

新興市場的規模傳遞效應過去一直很少人進行研究，主因為新興市場缺乏規模性的股票指數。為了建立規模指數，本文擬臺灣股票市場（上市、上櫃）的公司為樣本，並以公司的市值當作公司規模的代理變數。將本文期間將所有樣本（扣除成交量較低的5%）依其市值給與排序，分成10組（每組110家公司），並利用加權股價的概念，計算出各類規模的指數。其中大型股指數以最大公司規模組的指數代替之；小型股指數以最小規模組的指數代替之，中型股則以排序在中間110家的公司之規模指數代替之。於建立各類規模指數後，本文研究利用DCC-GARCH探討金融海嘯前後期（前期：2003/9/1~2006/8/31，後期：2007/9/1~2010/8/31）之規模傳遞效應。研究結果發現，在金融海嘯前期臺灣股票市場規模指數波動的訊息傳遞效應是不顯著的；在海嘯過後，反而規模指數波動的訊息傳遞效應有顯著的影響。此一研究結果將提供投資人一個投資決策的建議：在金融突發事件後，以大規模指數來進行投資的決策，將有利於投資獲益及風險的降低。

關鍵字

訊息傳遞效應 ； 公司規模 ； 規模指數

並列摘要

There are few researches focusing on firm size transmission effect over the past in the emerging markets, because they lack relevant information such as firm size stock index. For research purpose, this study firstly established firm size stock indices by taking the sample from the stock market in Taiwan. The market value of the company was assigned as the proxy variable of firm size. All samples in the study period were ranked and then divided into 10 groups (110 company/group) (excluding the lowest 5% in their net volume) by using the concept of weighted price to calculate the index of all sizes. The largest group of firm size index was assigned as a proxy variable of the large stock index. And the smallest group of firm size index was represented as the small stock index. The midcap stock index was made up from the middle size group of 110 firms. The study adopted DCC-GARCH to analysis firm size stock indices to explore the firm size transmission effect by comparing the changes between per- and post-financial tsunami. The firm size transmission effect was not significant for pre-financial tsunami in volatility of each firm size in the Taiwan stock market. Whereas, the post-financial tsunami, the firm size transmission effect was found out significant in changes. The finding of this study would provide investors an investment decision suggestion that, after the financial emergency, the investors should pay a lot attention on the large firm size index to make up their investment decisions in order to benefit the profit of their investment and avoid their risks.

並列關鍵字

Message Transmission Effect ； Firm Size ； DCC-GARCH ； Size Index