美國恐慌指數對兩岸股價之非線性影響探討

本研究以非線性平滑移轉模型探討以VIX變動率、臺灣股市指數報酬率以及中國滬深300指數報酬率為樣本，以VIX變動率做為門檻變數，並加入匯率以及消費者物價指數等變數去探討兩岸股價指數報酬率在不同門檻下之影響。實證結果發現，在研究期間內臺灣加權指數報酬率在VIX變動率達門檻時，VIX變動率及消費者物價指數對臺灣加權指數報酬率的影響，呈負向關係，美元匯率則呈正相關。VIX變動率遠離門檻時，VIX變動率對於臺灣加權指數報酬率的影響為正向關係，而美元匯率與消費者物價指數則無顯著影響關係；滬深300指數在VIX變動率低於門檻值時，VIX變動率對滬深300指數的影響呈正相關，美元兌人民幣匯率、消費者物價指數則無顯著相關；高於門檻值時則變為無顯著影響關係。美元兌人民幣匯率及消費者物價指數則分別變為正相關及負相關。

關鍵字

VIX ；股價報酬率；平滑移轉模型

並列摘要

This thesis used the non-linear smooth transition model to explore the relationship between the VIX fluctuation rate, exchange rate and the CPI on Cross-strait stock markets. The VIX fluctuation rate was used as the threshold variable, and add the exchange rate and CPI. Variables to be independent variable, to explore the impact of cross-strait stock price returns below or above their respective thresholds. The empirical results showed that there was significant correlation between the VIX fluctuation rate and Taiwan's stock returns during the research period, when the Taiwan's stock returns reached the threshold of the VIX fluctuation rate, the impact of the VIX fluctuation rate and CPI on Taiwan's stock returns were significantly negatively correlated, and the US dollar exchange rate was positively correlated. When the VIX fluctuation rate was far from the threshold, the VIX fluctuation rate had a positive relationship with Taiwan's stock returns, while the US dollar exchange rate and CPI had no significant impact; When the CSI 300 stock returns was lower than the threshold, the impact of the VIX fluctuation rate on the CSI 300 stock returns was positively correlated. The US dollar exchange rate and the CPI were not significantly correlated; when the threshold is higher than the threshold, it became no significantly effect. The US dollar exchange rate and the CPI became positively correlated and negatively correlated respectively.