台灣上市股票類股報酬率動態相關之探討

A Study on the Dynamic Correlation of Index Return among Major Sectors of Taiwan Stock Marke

曾菀瑩(WAN-YING TSENG)

指導教授 ： 李孟峰

國立臺北大學/商學院/統計學系/碩士(2008年)

摘要

台灣股票市場的熱絡帶動國人對股票投資的熱潮，讓許多投資人踴躍於運用股票作為投資的標的。在詭譎多變的股票市場獲取高報酬是許多投資人共同的目的，但是追求高報酬的同時也伴隨著高風險，因而規避風險成為投資理財不能忽略的觀念。本研究採用Engle (2002) 提出的DCC--MVGARCH模型來探討台灣股票市場中各大類股對數報酬之間的動態相關，希望研究結果能運用於避險策略上。研究結果發現有二：一為採用動態相關係數來衡量不同類股對數報酬率彼此的影響較固定相關係數更能掌握相關性的變化。另一為電子與機電類股對數報酬率動態相關性最高，電子與營建類股對數報酬率動態相關性最低。瞭解類股對數報酬率之間的動態相關性後，可進一步經由投資標的轉換來進行避險操作。本研究結果可使投資人瞭解台灣上市股票類股對數報酬率之間的動態相關性，提供投資人投資理財及避險操作的參考工具。

關鍵字

動態相關、相關性、多變量GARCH、DCC-MVGARCH、DCC

並列摘要

The prosperity of stock market leads people urging in the stock investment in Taiwan. Many investors choose stock investment as their invest tool. Pursuing high return in the treacherous stock market is the common purpose of investors. Unfortunately, high return is always accompanied with high risk latently. Therefore, risk hedging becomes an important concept which cannot be negligible of investors. For the above purpose, this research adopts DCC-MVGARCH model, proposed by Engle (2002), to investigate the dynamic correlation between major sectors of Taiwan stock market. Some results of this research will helpful for making hedging strategy.
There are two major findings of empirical study. First, using the dynamic correlation coefficient to evaluate the influence between sectors is more significant than using fixed correlation coefficient in gasping the relevant changes of correlation. Next, the dynamic correlation between electronic sector and electro-mechanical sector is the highest; and that between electronic sector and construction sector is the lowest. Understanding the dynamic correlation between sectors, hedging operation may be carried out through the swapping of investing sectors. The findings of this research may help investors to understand the dynamic correlation between sectors of the Taiwan stock market, and provide the investors a reference tool in finance management and making hedging decision.

並列關鍵字

Dynamic Correlation、Correlation、DCC-MVGARCH、DCC

參考文獻

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