匯率、油價及成交量之波動率對股票市場報酬之衝擊：南韓股票市場之實證研究

An Impact of Exchange Rates, Oil Prices and Turnover Volumes' Volatility Rate on the Stock Market Returns: An Evidence Study of South Korea's Stock Market

許蕙心(Hui-Hsin Hsu) ； 洪萬吉(Wann-Jyi Horng) ； 許鎦響(Liu-Hsiang Hsu)

《Journal of Data Analysis》 5卷2期 (2010/04) Pp. 25-47

https://doi.org/10.6338/JDA.201004_5(2).0003

摘要

本文依Brooks（2001）所提出之單變數雙門檻GARCH模型及Glosten，Jaganathan & Runkle（1993）所提出之GJR-GARCH模型的想法，提出一個三變數之雙門檻－IGRACH模型，利用此模型探討成交量、油價及匯率波動率對南韓綜合股價指數報酬率波動之影響，且以成交量、油價及匯率波動率的正負值作為門檻，其研究資料期間是採用1999年1月5日到2006年12月28日的南韓綜合股價指數、成交量、油價及匯率的資料。由實證結果顯示：三變數之雙門檻－IGRACH（1，1）模型對探討成交量、油價及匯率波動率對南韓股票市場報酬的影響是合適的，且反應出南韓股票市場具有不對稱的效果。由實證結果也顯示：在成交量、油價及匯率波動率正負值的8種組合之下，成交量、油價及匯率波動率之信息將會影響股票市場報酬的波動，且反應出成交量、油價及匯率波動率也將會影響股票市場報酬波動的變異風險。

關鍵字

股票市場報酬 ； 成交量 ； 油價 ； 匯率 ； 雙門檻－IGARCH

並列摘要

This paper combines the idea of simple variable double GARCH model (Brooks, 2001) and the idea of GJR-GARCH model (Glosten, Jaganathan & Runkle, 1993), proposed a double threshold-IGRACH model of the three variables, we uses this model to discuss the influence of the turnover volume, the oil price and the exchange rate volatility rate on the South Korea stock price return volatility, and takes the threshold by the turnover volume, the oil price and the exchange rate volatility rates' positive and negative value. By the empirical diagnosis results demonstrate that the double threshold-IGRACH (1, 1) model of the three variables to discuss the turnover volume, the oil price, and the exchange rate volatility rate to the South Korea stock market return influence is appropriate, also responded the South Korea stock market has an asymmetrical effect. By the empirical diagnosis result also shows that the eight kind combinations of the positive and negative value for the turnover volume, the oil price and the exchange rate volatility rate, the turnover volume, the oil price and the exchange rate volatility rate information actually affects the stock market return volatility. This result also shows that the turnover volume, the oil price and the exchange rate volatility rate can affect the variation risk of the stock market return volatility.

並列關鍵字

stock market returns ； turnover volume ； oil price ； exchange rate ； GJR-GARCH ； double threshold-IGARCH

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