本研究首先以套利定價理論(APT)為基礎,應用GARCH模型探討影響台灣大型權值股個股報酬的國內外風險因子。其次,進一步以台灣50指數為對象,應用向量自我迴歸模型(VAR)及Granger的因果關係檢定、衝擊反應分析及預測誤差變異數分解等研究方法,來分析台灣50指數報酬與黃金報酬及VIX指數報酬間之關聯性。本研究期間為2004年1月5日至2011年12月23日,共計1,805筆日資料。 實證結果發現:(一)台灣大型權值股股價報酬之主要風險因子除大盤指數報酬外,以黃金報酬及VIX指數報酬較為顯著;(二)台灣50指數報酬存在週四效應,亦即週四報酬顯著高於其它交易日;(三) VIX指數報酬顯著影響台灣50指數報酬與黃金報酬,VIX指數報酬亦顯著對台灣50指數報酬及黃金報酬有單向領先落後關係,衝擊反應函數及預測誤差變異數分解亦都顯示VIX指數報酬是台灣50指數報酬與黃金報酬自身以外較重要之影響因素。
The purpose of this study is first to utilize the Generalized Autoregressive Conditionally Heteroscedastic (GARCH) model to the Arbitrage Pricing Theory (APT) to explore possible domestic and international risk factors on returns of Taiwan most highly capitalized stocks. An application of Vector Autoregression (VAR) model and the Granger Causality test, the impulse response functions, and the forecast error variance decompositions are further employed to TW50, VIX, and Gold returns to analyze possible relationships among them. The research period is from January 5, 2004 to December 23, 2011, a total of 1,805 daily data. Major findings of this study are as follows. First, the returns on Taiwan most capitalized stocks are found to be significantly related to the market index returns, gold returns, and the returns of the VIX index. Second, returns of Taiwan 50 Index are found to appear the Thursday effect. Third, the VIX index returns are found to have significant impact on gold returns and Taiwan 50 Index returns. The VIX index returns are shown to have significant one-way leading relationship to Taiwan 50 index returns and gold returns. Other than themselves, the impulse response functions and forecast error variance decompositions show that the VIX index returns are important factors affect the Taiwan 50 index returns and gold returns.