- 學位論文
台灣、香港、中國股市共同波動與波動外溢效果之實證研究 －兼論外資、匯率之介入效果－
An Empirical Study on the Common Volatility and Volatility Spillovers among Taiwan, Hong-Kong and Mainland China Stock Markets：The Moderating Effects of Foreign Capital and Exchange Rates
摘要
近年台灣股票市場與世界其他國家之金融體系整合快速，使台灣與國際金融市場間的關連性 加大，同屬亞太地區的台灣、中國大陸股市以及香港股市，兩兩國家雙向貿易與投資增加，均提 高三地股市在國際金融市場的互動性，此互動性反應在台灣、香港、中國大陸股市之間股票市場 報酬相關性增加，以及股票報酬及波動性產生連動效果。又由於此三地股市同屬亞太股票市場， 在交易時間有重疊下，因重大資訊而使股市連動產生同時性的變化，產生波動共移的特性，此也 造成不同股市間的波動外溢效果。一般所知，國際股市連動中，外資與匯率常扮演重要中介因子 ，為股市互動共移的重要因子，本文亦進一步探討外資與匯率影響三地股市報酬與波動互動之中 介效果。 本文建構VEC-GJR GARCH-M模型，進行台灣、中國大陸、香港股市的共同波動與波動外溢 效果並檢測外資與匯率的中介效果，其中發現在不同模型下台灣與香港皆存在有雙向因果關係， 台灣與香港市場幾乎在不同模型下的短期誤差修正項皆顯著為負，上海市場的風險溢酬在不同模 型下幾乎顯著為正。在波動持續性效果部分，可知外資買賣超與匯率中介因子介入後，皆會使波 動持續性與波動外溢效果降低，表示這些中介因子分別對於三地市場的條件變異數存有影響效果 ；綜上所述，針對實證效果所獲資訊，提供國際投資者做為投資多角化、避險決策、價格發現， 進而冀望對台灣投資大眾的股價趨勢預測、企業經營策略的擬定及政府單位制定相關政策之參考 。
並列摘要
The financial system of the Taiwan stock market has integrated fast with other countries in recent years. This is also enlarges the high linkages effects between Taiwan and other international financial markets. Since Taiwan, Mainland China and Hong Kong are located in Asia-Pacific area, there is an increase in bidirectional investment and trade from these three stock markets. This enhances the interactions among these international markets. It also drives the co-movement effects among the Taiwan, Hong Kong and Mainland China stock markets. Moreover, because of the non-synchronous trading, these three stock markets may have the common volatility and volatility spillover effects which are inspired by important information. According to past references, foreign capital and exchange rates play important roles as moderating factors in these stock markets. This study tries to establish the VEC-GJR GARCH-M model to prove the common volatility and volatility spillover effects among Taiwan, Hong Kong and Mainland China stock markets. Further, it also proves the moderating effects by incorporating foreign capital and exchange rates into the model. In these six models, we estimated it had found that the Taiwan and Hong Kong markets have a two-way causality relationship. The error correction term of Taiwan and Hong Kong almost proves negative and the risk premium appearing positive in China market. Moreover, foreign capital and exchange rates prove important moderating effects to conditional variance. In brief, the information based on the empirical results can provide investment suggestions to investors and policy implications to government agency.