高階動差的國際資訊傳遞效果－台灣與美國股價指數之實證研究

International Information Transmission Effect of Higher Moment-An Empirical Study of Taiwan and US Stock Indices

劉筱盈(Hsiao-Ying Liu)

指導教授 ： 邱建良

共同指導教授 ： 陳玉瓏

淡江大學/商學院/財務金融學系碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.01035

摘要

本文有別於以往文獻在探討國際股市間波動外溢效果時，僅止於一階與二階動差的傳導效果，擬將台灣與美國股市間訊息傳遞效果的議題，延伸擴展至偏態的傳遞效果，探討美國對台灣股市之影響及股票市場間之國際傳導，擬使用單變量GARCHS模型(Harvey and Siddique, 1999; León et al., 2005)搭配兩階段的估計方法，探討於1998年1月5日至2006年12月29日，美國與台灣股價指數間之報酬率、波動性與偏態之外溢效果，以提供投資者進行國際投資組合及政府制定未來經濟政策之參考。
研究結果發現美股主要指數對台灣加權股價指數無論以日資料或是週資料估計，皆存在顯著的報酬率與波動外溢效果，此結論與以往文獻相同。而在偏態係數的外溢效果方面，本文僅發現以日資料估計時，史坦普500指數與那斯達克對台股指數存在偏態係數外溢效果，此結果對於具有偏態偏好的投資者或是以報酬率、變異數與偏態係數作投資組合選擇的投資者具有重要的實際意義。

關鍵字

訊息傳遞效果 ； 偏態的傳遞效果 ； GARCHS模型 ； 兩階段估計

並列摘要

Previous studies of international information transmission effect only focused on the first and second moment spillover effects. This study extends this issue to examine the third moment spillover effect among Taiwan and U.S. stock markets. The univariate GARCHS model (Harvey and Siddique, 1999; León et al., 2005) with two-step estimation procedure is adopted to investigate the mean, variance and skewness spillover effects during the sample period of Jan 5, 1998 to Dec 29, 2006 in order to provide some implications for the international investors and government economic policy.
The empirical results indicate that the U.S. stock markets have significant mean and volatility spillover effects to Taiwan stock markets when estimating with daily and weekly data, which is consistent with previous studies. As for the skewness spillover effect, we find that only S&P 500 and Nasdaq have skewness spillover effect to Taiwan stock market when estimating with daily data. The evidences reported here have important practical meanings to skewness-preferred investors and those who make portfolio selection with mean, variance and skewness.

並列關鍵字

Information transmission effect ； Skewness spillover effect ； GARCHS model ； Two-step estimation

參考文獻

77. Wang, K. L. and C. Fawson (2001), “Modeling Asian stock returns with a more general parametric GARCH specification,” Journal of Financial Studies, 9(3), 21-52.

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