金融危機期間股票報酬風險貼水與貶值效果

Risk Premium and Depreciation Effect in Stock Returns over the Asian Financial Crisis

方文碩(Wen-Shwo Fang)

《風險管理學報》 2卷1期 (2000/05) Pp. 39-68

https://doi.org/10.30003/JRM.200005.0003

摘要

本文在GARCH-M模型架構上，使用涵蓋亞洲金融危機的日資料，實證探討風險貼水與通貨貶值在台灣股市報酬過程中的行為。金融危機引發股市波動與台幣貶值，本文證實金融危機期間，台灣股市報酬過程存在隨時間變動的風險貼水與負的貶值效果，然而面對亞洲金融危機引起的金融市場不穩定，風險貼水並未隨市場風險的增加而增加；同時，台幣貶值誘使投資人以高報酬的美元資產替代股票，進一步降低股票價格與報酬。本文証據顯示不穩定的外匯市場衝擊股市報酬與波動，因此，通貨貶值引發的股票市場投資風險，應是計劃投資台灣股市的（國內及國際基金經理人決策的）一個重要評估要件，投資決策僅考慮股票市場自身的指標，忽略外匯市場條件，可能導致偏誤的判斷。

關鍵字

亞洲金融危機 ； 股票報酬 ； 風險貼水 ； 貶值效果 ； GARCH-M模型

並列摘要

Using GARCH-M models, this paper investigates the behavior of risk premium and currency depreciation in Taiwan stock retum process over the Asian financial crisis, characterized by unstable stock and foreign exchange markets since July 1997.Using daily data as an example, the evidence documents significantly a time-varing risk premium and a negative depreciation effect. Nevertheless, the increased volatility caused by the financial crisis has not raised stock holders to require larger riskpremium for compensation. Meanwhile, domestic cuηency depreciation shifts assetholdings from stocks to foreign exchanges (e.g. the US dollars), leading to a further decline in stock retums. The evidence for the negative depreciation effect in the stock return process suggests that domestic investors and intemational-funds managers who plan to invest Taiwan stock market have to evaluate situations in stock and foreign exchange markets simultaneously to avoid biased judgement.

並列關鍵字

Asian Financial Crisis ； Stock Returns ； Risk Premium ； Depreciation Effect ； GARCH-M Model