歐元引入對歐元國股票市場波動性與風險貼水之影響

The Effects of Euro Introduction on the Volatility of Stock Markets and Risk-Premium in Eurozone Countries

陳柏夆(Po-Feng Chen)

指導教授 ： 巫春洲 ； 江長周

中原大學/商學院/國際貿易研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500154

摘要

歐元引入後必然會改變歐洲國家各國交易市場的動態均衡，但由於歐元區國家的經濟情況彼此並不相同，歐元引入後對個別國家的股票市場所造成的衝擊也必然有所差異，本文以歐元引入前後，探討歐元區內主要國家股票市場的波動性變化情形。就經濟直觀而言，歐元的引入會導致波動性的增加，因而使得股票市場的波動加劇。因此，可以藉由歐元引入前後，驗證股票市場實際交易資料相關的波動性參數變動來檢視歐元的引入是否如預期地改善各會員國個別股票市場中資訊傳遞的速度與品質。
本研究利用1995年1月至2004年6月歐元區內主要國家股票市場指數日資料，以歐元正式引入之時間點1999年1月1日為切割點，針對歐元引入前後的期間，股票市場的資訊傳遞過程是否發生變化進行討論，並以GARCH族模型為主要分析工具，實證結果發現，歐元的引入僅對於經濟體質較佳的國家(如法國、德國)有正面的助益。其次，就歐元區主要國家而言，在歐元引入前，干擾衝擊(innovation shocks)造成的波動持續性程度較久，反之，在歐元引入後，外生干擾衝擊對股票市場的波動持續現象確有下降。此外，若就結構轉變模型的觀點而言，歐元的引入並未能影響歐元區國家股票市場的波動性，可能因為歐元引入的訊息早在歐元正式引入時間點之前就已經是公開資訊，因而造成各國股票市場均出現提前反應的現象。

關鍵字

歐元 ； 波動性 ； GARCH模型 ； 資訊傳遞

並列摘要

It’s essential to change the dynamic equilibrium of stock markets for European countries after the introduction of the euro, and the impulses to each country may be different because of the different economic conditions. Thus, we intend to discuss the changing of volatility for main Eurozone stock markets for pre-and-post the euro introduction. Intuitively, the introduction of the euro will lead to the increase in volatility, therefore aggravates the fluctuation of the stock market. Thus, we examine real data of stock markets which react volatility parameter to prove whether the introduction of the euro can improve the speed and quality of information transmission for Eurozone stock markets.
We use the daily data of stock index from 1995/1 to 2004/6 for main Eurozone stock markets and set the critical point on 1999/1/1 to discuss the changing of the information transmission of stock markets for pre-and-post euro. Using GARCH family model, we find that the introduction of the euro only has positive benefits to the stronger countries such as France and Germany. Then, the innovation shocks to the stock market persist for a long period for the pre-euro, but there is a little decline for post-euro. Besides, we observe that the introduction of the euro can not influence the volatility of Eurozone stock markets from the model of structural changes, because the information of euro introduction is public information before the real time of the introduction, it causes the Eurozone stock markets to react available information previously.

並列關鍵字

Volatility ； GARCH Model ； Information Transmission ； Euro

參考文獻

姜淑美、鄭婉秀、邱建良(2003)「外資交易行為、股市及匯市動態關係之研究」，風險管理學報，第5卷第1期，頁45-64。

Abhyankar, A., Copeland, L. S., and Wong, W. (1995) "Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence From the United Kingdom." Enonomic Journal, 105, 864-880

Alessandro P. and Schinasi G. J. (1999) "EMU and International Capitals Market: Structural Implications and Risks." IMF Working Paper.

Antoniou, A. and Holmes, P., (1995) "Futures Ttrading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH." Journal of Banking and Finance, 19, 117-129.

Baillie, R., and DeGennaro, P. (1990) "Stock Return and Volatility." Journal of Financial and Quantitative Analysis, 25, 203-214.